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market and liquidity risks to the point it could be larger than the actual portfolio value. Put VaR – PVaR – as well as Put … Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than … is compared to the traditional risk measure, the Bullet Historical VaR to LIQUIDATION – i.e. VaR Historical …
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This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...
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investment, CDS spreads, exchange rates, and stock return volatility. Using over 8.6 million ticker transaction observations and … structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU …) significantly reduce foreign net buys, more than global market volatility (VIX). While global volatility drives CDS spreads, these …
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