This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization. …

parameter estimation are discussed. …

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

specialization, wealth inequality, stock trading intensity, liquidity and return volatility. …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …

phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed …

and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …