Showing 1 - 10 of 312
Abstract: Financial integration has been pursued aggressively across the globe in the last ?fty years; however, there is no conclusive evidence on the diversi?cation gains (or losses) of such e?orts. These gains (or losses) are related to the degree of comovements and synchronization among...
Persistent link: https://www.econbiz.de/10010763120
Abstract: Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among...
Persistent link: https://www.econbiz.de/10010763231
This paper analyzes the measure of systemic importance ΔCoVaR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. Inaddition, we develop a series of testing procedures, based on ΔCoVaR, toidentify and...
Persistent link: https://www.econbiz.de/10009146893
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011506748
This report describes the survey that was carried out in 122 communities in rural Colombia bythe consortium formed by the Institute for Fiscal Studies, Econometria and SEI as the baselinefor the impact evaluation of Familias en Acción, a programme to foster the accumulation of human capital in...
Persistent link: https://www.econbiz.de/10010288201
Abstract:Asset correlations are of critical importance in quantifying portfolio credit risk and economic capital in financial institutions. Estimation of asset correlation with rating transition data has focused on the point estimation of the correlation without giving any consideration to the...
Persistent link: https://www.econbiz.de/10010763851
Presents an overview of the situation of female migrant labourers and reviews the legislative framework, government policy and private initiatives to protect their rights.
Persistent link: https://www.econbiz.de/10010966159
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011272804
We propose a method for event studies based on synthetic portfolios that provides a robust data-driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data from the Colombian Stock Exchange. The results indicate...
Persistent link: https://www.econbiz.de/10012897016
This report describes the survey that was carried out in 122 communities in rural Colombia bythe consortium formed by the Institute for Fiscal Studies, Econometria and SEI as the baselinefor the impact evaluation of Familias en Acción, a programme to foster the accumulation of human capital in...
Persistent link: https://www.econbiz.de/10009619014