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Modeling dollar losses for non-tradable/illiquid risks
Prakash, Puneet; Salandro, Daniel - In: Journal of financial education 41 (2015) 2, pp. 104-128
Persistent link: https://www.econbiz.de/10011338759
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Backtesting the tail risk of VaR in holding US dollar
Wong, Woon K. - In: Applied financial economics 19 (2009) 4/6, pp. 327-337
Persistent link: https://www.econbiz.de/10003828498
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Managing systemic liquidity risk in financially dollarized economies
Ize, Alain; Kiguel, Miguel A.; Levy Yeyati, Eduardo - In: Financial dollarization : the policy agenda, (pp. 216-240). 2006
Persistent link: https://www.econbiz.de/10003352474
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Managing Systemic Liquidity Risk in Financially Dollarized Economies
Levy Yeyati, Eduardo - 2005
This paper evaluates ways to protect highly dollarized banking systems from systemic liquidity runs (such as the ones that took place recently in Argentina, Uruguay, and Paraguay). In view of the limitations of available (private or official) insurance schemes, and the distortions introduced by...
Persistent link: https://www.econbiz.de/10014404199
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Financial Dollarization in Emerging Markets : Efficient Risk Sharing or Prescription for Disaster?
Christiano, Lawrence J.; Dalgic, Husnu; Nurbekyan, Armen - National Bureau of Economic Research - 2021
This paper pushes back against two views about the effects of dollarization. First, there is a view that the dollar is … widespread view that dollarization raises the risk of systemic banking and other crises. Although we identify sources of … fragility in some aspects of dollarization, the common view that financial dollarization is a source of fragility is over …
Persistent link: https://www.econbiz.de/10012599324
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Risk management of dollarization in banking : case of post-Soviet countries
Kaminskyi, Andrii; Versal, Nataliia - In: Montenegrin journal of economics 14 (2018) 2, pp. 21-40
Persistent link: https://www.econbiz.de/10012265611
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Backtesting the Tail Risk of VaR in Holding US Dollars
Wong, Woon K. - 2008
The US dollar is the most widely held currency in the world. In recent years, however, it suffered huge depreciation. In this paper, various risk models are used to forecast the Value-at-Risk (VaR) in holding the currency. Being a quantile measure, VaR disregards valuable information conveyed by...
Persistent link: https://www.econbiz.de/10014222328
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Central and commercial bank balance sheet risk before, during, and after the global financial crisis
Crowley, Joseph - 2015
Persistent link: https://www.econbiz.de/10011283242
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Strategische asset allocation in Lebensversicherungsunternehmen
Stephan, Thomas G. - 1995
Persistent link: https://www.econbiz.de/10000548004
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Global portfolio diversification : risk management, market microstructure, and implementation issues
Aggarwal, Raj (ed.); Schirm, David Craig (contributor) - 1995
Persistent link: https://www.econbiz.de/10000921137