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unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper … entropy and also permits more robust analysis. Using the two benchmarks side by side helps identify a range of possible …
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% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of …
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We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between...
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