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From Value at Risk to Stress Testing: The Extreme Value Approach
Longin, François - C.E.P.R. Discussion Papers - 1999
extraordinary periods. An approach based on extreme values to compute the VaR thus covers market conditions ranging from the usual … environment considered by the existing VaR methods to the financial crises which are the focus of stress testing. Univariate … extreme value theory is used to compute the VaR of a fully-aggregated position while multivariate extreme value theory is used …
Persistent link: https://www.econbiz.de/10005662233
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The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and …
Persistent link: https://www.econbiz.de/10009003376
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Extreme Correlation of International Equity Markets
Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation,...
Persistent link: https://www.econbiz.de/10005504611
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New Extreme-Value Dependence Measures and Finance Applications
Poon, Ser-Huang; Rockinger, Michael; Tawn, Jonathan - C.E.P.R. Discussion Papers - 2001
In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the...
Persistent link: https://www.econbiz.de/10005788871
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Market and Technical Risk in R&D
Gerlach, Heiko A.; Rønde, Thomas; Stahl, Konrad - C.E.P.R. Discussion Papers - 2002
We endogenize the market risk (at given technical risk) in firms’ R&D decisions by introducing stochastic R&D in the Hotelling model. It is shown that if the technical risk is sufficiently high, the market risk remains low even if firms pursue similar projects. This leads firms to focus on the...
Persistent link: https://www.econbiz.de/10005504272
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Vertical Relations under Credit Constraints
Nocke, Volker; Thanassoulis, John - C.E.P.R. Discussion Papers - 2010
We model the impact credit constraints and market risk have on the vertical relationships between firms in the supply chain. Firms which might face credit constraints in future investments become endogenously risk averse when accumulating pledgable income. In the short run, the optimal supply...
Persistent link: https://www.econbiz.de/10008468694
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Risky Investments with Limited Commitment
Cooley, Thomas F; Marimon, Ramon; Quadrini, Vincenzo - C.E.P.R. Discussion Papers - 2013
Over the last three decades there has been a dramatic increase in the size of the financial sector and in the compensation of financial executives. This increase has been associated with greater risk-taking and the use of more complex financial instruments. Parallel to this trend, the...
Persistent link: https://www.econbiz.de/10011083928
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Does Market Organization Speed Up Market Stabilization? First Lessons From the Budapest and Warsaw Stock Exchanges
Zalewska, Ania - C.E.P.R. Discussion Papers - 1999
This paper investigates whether different systems of financial market organization influence the way in which newly created stock markets become more (weak-form) efficient. The author conducts a detailed comparative analysis of stocks listed on the Budapest and Warsaw Stock Exchanges, 1991-98,...
Persistent link: https://www.econbiz.de/10005497754
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The Political Economy of Financial Systems: Evidence from Suffrage Reforms in the Last Two Centuries
Degryse, Hans; Lambert, Thomas; Schwienbacher, Armin - C.E.P.R. Discussion Papers - 2013
Initially, voting rights were limited to wealthy elites providing political support for stock markets. The franchise expansion induces the median voter to provide political support for banking development as this new electorate has lower financial holdings and benefits less from the uncertainty...
Persistent link: https://www.econbiz.de/10011084251
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Stock Markets and Corporate Performance: A Comparison of Quoted and Unquoted Firms
Alexander, Ian; Mayer, Colin - C.E.P.R. Discussion Papers - 1991
This paper examines the influence of stock markets on corporate performance. It compares large private and publicly listed companies in the UK. It finds that, controlling for size and industry, quoted firms invest more and grow more rapidly than unquoted firms. They earn higher profits and pay...
Persistent link: https://www.econbiz.de/10005656401