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Holmberg, Ulf - Institutionen för Nationalekonomi, Umeå Universitet - 2012

equilibrium. Paper [III] studies the risk-return profile of centralized and decentralized banks. We address the conditions that … potential borrowers may nevertheless give a decentralized bank a lower overall risk in the lending portfolio than when decisions … the calculation of the Value at Risk. In particular, a seller seeking to liquidate a large portfolio may not face …

Persistent link: https://www.econbiz.de/10010538873

Risk, Uncertainty, and Expected Returns

Bali, Turan G.; Zhou, Hao - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

Persistent link: https://www.econbiz.de/10010610573

The Risk of the Structure: Initial proposal

Staszkiewicz, Piotr W. - Volkswirtschaftliche Fakultät, … - 2010

The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected … sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was … shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was …

Persistent link: https://www.econbiz.de/10009325682

A Systematic approach to identify systemically important firms

al, Natasha Agarwal et - Indira Gandhi Institute of Development Research (IGIDR) - 2013

This paper uses the average of the percentile ranking of three measures of systemic risk - Granger Causality, Marginal … Expected Shortfall, and Conditional Value at Risk - to calculate a single systemic risk index (SRI) for a lrm. The SRI is used … quarter from 2000 to 2012, and lnds that the cumulative risk of the SIFs tracks the changes in systemic risk in India during …

Persistent link: https://www.econbiz.de/10010860121

Dynamic Panels with Threshold Effect and Endogeneity

Seo, Myung Hwan; Shin, Yongcheol - Suntory and Toyota International Centres for Economics … - 2014

This paper addresses an important and challenging issue as how best to model nonlinear asymmetric dynamics and cross-sectional heterogeneity, simultaneously, in the dynamic threshold panel data framework, in which both threshold variable and regressors are allowed to be endogenous. Depending on...

Persistent link: https://www.econbiz.de/10010945152

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - Deutsche Bundesbank - 2008

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

Persistent link: https://www.econbiz.de/10005082747

A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited

Coen, Alain; Racicot, Francois-Éric - Départment des sciences administratives, Université … - 2006

in the variables. To reduce the bias induced by measurement and specification errors, we transpose to the cost of equity …

Persistent link: https://www.econbiz.de/10005773131

Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns

Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2008

This paper proposes new Hausman-based estimators lying on cumulants optimal instruments. Using these new generated strong instruments in a GMM setting, we obtain new GMM estimators which we call GMM-C and its homologue, the GMM-hm. This procedure improves the method of moments for identifying...

Persistent link: https://www.econbiz.de/10005773132

Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors

Racicot, Francois-Éric; Théoret, Raymond; Coen, Alain - Départment des sciences administratives, Université … - 2006

) specification test and aimed at discarding measurement errors in the variables. The proposed empirical framework is general enough … to be used for correcting other financial and accounting models of measurement errors. Removing measurement errors is …

Persistent link: https://www.econbiz.de/10005828371

"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio"

Théoret, Raymond; Racicot, François-Éric - Volkswirtschaftliche Fakultät, … - 2010

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional...

Persistent link: https://www.econbiz.de/10009418474