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Risk modeling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009771092
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GFC-robust risk management under the Basel Accord using extreme value methodologies
Santos, Paulo Araújo; Jiménez-Martín, Juan-Ángel; … - 2011
Persistent link: https://www.econbiz.de/10009413652
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Extreme value theorems for optimal multidimensional pricing
Cai, Yang; Daskalákis, Constantínos - In: Games and economic behavior 92 (2015), pp. 266-305
Persistent link: https://www.econbiz.de/10011387490
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Risk allocation under liquidity constraints
Csóka, Péter; Herings, Peter Jean-Jacques - 2014
Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under …
Persistent link: https://www.econbiz.de/10010350439
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Life-cycle risk-taking with personal disaster risk
Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna - 2021
Persistent link: https://www.econbiz.de/10012583768
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Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023
Persistent link: https://www.econbiz.de/10014320683
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Fat-tails in VAR models
Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014
We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...
Persistent link: https://www.econbiz.de/10010339759
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Banking leverage procyclicality : a theoretical model introducing currency diversification
Pedrono, Justine - 2017
Persistent link: https://www.econbiz.de/10011745493
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Measuring the origins of macroeconomic uncertainty
Mumtaz, Haroon - 2018
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...
Persistent link: https://www.econbiz.de/10011895010
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Financial engineering: a flexible longevity bond to manage individual longevity risk
Zhou, Yuxin; Sherris, Michael; Ziveyi, Jonathan; Xu, Mengyi - 2020
Persistent link: https://www.econbiz.de/10012534761