This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous change in financial intermediaries' preference for "high"...

This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance restrictions imposed. The shock proxies the banking sector's reluctance to lend to the real economy induced by an exogenous preference change for liquid assets. Through the lens of a DSGE...

Credit risk is crucial to understanding banks' production technology and should be explicitly accounted for when modeling the latter. The banking literature has largely accounted for risk by using ex-post realizations of banks' uncertain outputs and the variables intended to capture risk. This...

Several recent finance articles employ the Omega measure, proposed by Keating and Shadwick (2002) - defined as a ratio of potential gains out of possible losses - for gauging the performance of funds or active strategies (e.g. Eling and Schuhmacher, 2007; Farinelli and Tibiletti, 2008; Annaert et al., 2009;...

Credit risk is crucial to understanding banks’ production technology and should be explicitly accounted for when modeling the latter. The banking literature has largely accounted for risk by using ex-post realizations of banks’ uncertain outputs and the variables intended to capture risk....

This paper examines point and density forecasts from the European Central Bank’s Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and...

This article aims to build through the collection of inputs from prior research, regulatory input and practitioner's experience, a comprehensive definition of risk.Risk is not measurable uncertainty nor volatility. Risk is a three part concept: (1) risk is the potential that events may have an...

This paper answers two research questions: what is the appropriate modeling tool for NPL study? and whether the NPL rates in Thailand show improving or deteriorating trend? NPL is of interests to management decision makers because it serves as an indicator for assessing risk in commercial loans....

This paper analyzes the robustness of standard techniques for risk analysis, with a special emphasis on the Basel III risk measures. We focus on the difference between value-at-risk and expected shortfall, their small sample properties, the scope for manipulating risk measures and how estimation...

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze...