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Fat Tails in Indian Debt Market : Implications for Risk Modelling
Roy, Sunando - 2016
departures from Guaussian assumptions , and if so, what are the implications for risk modeling that assume normal distribution … of Value at Risk ( VaR) to determine market risk with a Garch model based on conditional volatility. Backtesting using … presence of thick tails, the parametric VaR that relies on normal distribution produces erroneous assessment of risk; (3) GARCH …
Persistent link: https://www.econbiz.de/10012987865
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Outside Liquidity, Rollover Risk, and Government Bonds
Luck, Stephan; Schempp, Paul - 2014
is associated with a rollover risk. This rollover risk either keeps intermediaries from providing liquidity optimally, or …
Persistent link: https://www.econbiz.de/10014142078
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Public debt sustainability and EMU : theory and some evidence
Valli, Silvia - 1999
Persistent link: https://www.econbiz.de/10001600926
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Essays on financial stability
Luck, Stephan - 2016
Persistent link: https://www.econbiz.de/10011448259
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A simple analytical model of the adverse real effects of inflation
Bastian, Eduardo F.; Setterfield, Mark - In: Journal of post-Keynesian economics : JPKE 38 (2015) 4, pp. 637-665
Persistent link: https://www.econbiz.de/10011509220
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Economic insecurity as systemic risk
Pârţachi, Ion; Gârlă, Eugeniu - In: Analele ştiinţifice ale Univerşităţii Alexandru … 62 (2015) 1, pp. 29-36
Persistent link: https://www.econbiz.de/10011478397
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Essays on financial integration and risk sharing among EMU members
Balli, Faruk - 2007
Persistent link: https://www.econbiz.de/10009696669
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Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities
Gupta, Rangan; Subramaniam, Sowmya; Bouri, Elie; Ji, Qiang - In: International review of economics & finance : IREF 71 (2021), pp. 289-298
Persistent link: https://www.econbiz.de/10012627782
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Essays on monetary policy, safe assets, and the repo market
Bechtel, Alexander - 2021
Persistent link: https://www.econbiz.de/10012647998
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Current developments in green finance
Liebich, Lena; Nöh, Lukas; Rutkowski, Felix; Schwarz, … - 2020
The transformation of economies towards significantly reduced CO2 consumption raises high investment and capital requirements. Financial and capital markets can help to mobilize the necessary funds for global investment needs and to steer capital towards sustainable investments. Moreover,...
Persistent link: https://www.econbiz.de/10012285421