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The crisis, Fed, Quants and stochastic optimal control
Stein, Jerome L. - In: Economic Modelling 28 (2011) 1, pp. 272-280
to identify potential threats to the stability of the US financial system. Alan Greenspan's retrospective indicates what …. Greenspan now focuses on desirable capital requirements, or leverage, for banks and financial intermediaries. I explain why the … Fed's and Greenspan's views stem from a lack of the appropriate tools of analysis of what is an excessive debt or leverage …
Persistent link: https://www.econbiz.de/10010577090
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Alan Greenspan, the quants and stochastic optimal control
Stein, Jerome L. - 2010
Alan Greenspan's paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First …
Persistent link: https://www.econbiz.de/10010300502
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
between asset price bubbles and financial crises. I evaluate the key studies with the respect to the following questions. To … what extent do the empirical relations in the existing literature help to identify asset price bubbles ex-ante or ex …
Persistent link: https://www.econbiz.de/10010266065
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Alan Greenspan, the quants and stochastic optimal control
Stein, Jerome L. - Institut für Weltwirtschaft (IfW) - 2010
Alan Greenspan's paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First …
Persistent link: https://www.econbiz.de/10008543004
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A Critique of the Literature on the US Financial Debt Crisis
Stein, Jerome L. - CESifo - 2010
between asset price bubbles and financial crises. I evaluate the key studies with the respect to the following questions. To … what extent do the empirical relations in the existing literature help to identify asset price bubbles ex-ante or ex …
Persistent link: https://www.econbiz.de/10008534053
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Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10010276757
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Application of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - CESifo - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10005094473
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Herding During the Stock Market Bubble : An Intraday Analysis
Patterson, Douglas M. - 2015
This paper tests for the presence of herding on the New York Stock Exchange (NYSE). We measure the degree of herding from 1998-2001, the “bubble” period and its collapse. We estimate the incidence of herding by applying a test of serial independence in the observed interarrival times of...
Persistent link: https://www.econbiz.de/10013023145
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Newton's Financial Misadventures in the South Sea Bubble
Odlyzko, Andrew - 2018
directions and perspectives on bubbles …
Persistent link: https://www.econbiz.de/10012932159
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Asset-liability management with ultra-low interest rates
Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015
On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...
Persistent link: https://www.econbiz.de/10011413495