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Economic Policy Uncertainty : Persistence and Cross-Country Linkages
Aikins Abakah, Emmanuel Joel - 2020
This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...
Persistent link: https://www.econbiz.de/10012833734
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Bayesian inference for hedge funds with stable, distribution of returns
Güner, Biliana; Račev, Svetlozar T.; Edelmanz, Daniel; … - 2010
for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …
Persistent link: https://www.econbiz.de/10008653564
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10003965868
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10013094817
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Market Risk, Connectedness and Turbulence : A Comparison of 21st Century Financial Crises
Ahelegbey, Daniel Felix - 2020
interconnectedness, and global market risk, and for identifying systemically important markets, with the highest contribution to …
Persistent link: https://www.econbiz.de/10012835937
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Modeling Turning Points In The Global Equity Market
Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto - 2021
Turning points in financial markets are often characterized by changes in the direction and/or magnitude of market movements with short-to-long term impacts on investors' decisions. This paper develops a Bayesian technique to turning point detection in financial equity markets. We derive the...
Persistent link: https://www.econbiz.de/10013313479
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the … all liquidity risk models, methods, and measures.Led project management & scheduling and delivering high quality results …
Persistent link: https://www.econbiz.de/10013405318
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Loss Reserving : Past, Present and Future
Taylor, Greg - 2015
The paper reviews the development of loss reserving models over the past, classifying them according to an elementary … parameters. A generalisation of the Kalman filter is considered as a basis of adaptive loss reserving in this case. Real life … numerical examples are provided.Some implications of this type of data analysis for loss reserving are discussed, with …
Persistent link: https://www.econbiz.de/10013015528
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The effects of policy uncertainty on bank loan loss provisions
Tran, Dung Viet; Houston, Reza - In: Economic modelling 102 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012796594