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De Nicolo, Gianni - 2015

Reliable early warning signals are essential for timely implementation of macroeconomic and macro-prudential policies. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial (systemic) risks. Forecasts are obtained from: (a)...

Persistent link: https://www.econbiz.de/10013024363

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

Gronwald, Marc - 2013

This paper applies different copulas in order to investigate the complex dependence structure between EU emission … correlations between returns of emission allowances and other financial variables. Secondly, considering time-varying copulas shows … that the estimated copula parameters are not constant over time. We find in particular that the dependence is stronger …

Persistent link: https://www.econbiz.de/10013093522

Weak and Strong Cross Section Dependence and Estimation of Large Panels

Chudik, Alexander - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process …

Persistent link: https://www.econbiz.de/10013158328

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de/10013316571

Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few … measures of cross-sectional dependence and how such measures are related to the behaviour of the aggregates defined as cross …. We refer to this as the exponent of cross-sectional dependence. We derive an estimator of this exponent from the …

Persistent link: https://www.econbiz.de/10013111367

Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation

Lahiri, Kajal - 2015

applicable in circumstances with weak serial correlation. A simulation experiment and an empirical application from … macroeconomics underscore the importance of taking care of serial correlation. We find that the conventional variances are too …

Persistent link: https://www.econbiz.de/10013024358

Credit Derivates and the Default Risk of Large Complex Financial Institutions

Calice, Giovanni - 2013

This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...

Persistent link: https://www.econbiz.de/10013092380

Complex Financial Networks and Systemic Risk : A Review

Bougheas, Spiros P. - 2014

In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is on studies that use network analysis paying...

Persistent link: https://www.econbiz.de/10013054029

Revealing Downturns

Schmalz, Martin C. - 2018

When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. The reason is that, in good times, less desirable...

Persistent link: https://www.econbiz.de/10012922837

Systematic Risk, Bank Moral Hazard, and Bailouts

Lucchetta, Marcella - 2018

We show that the impact of government bailouts (liquidity injections) on a representative bank's risk taking depends on the level of systematic risk of its loans portfolio. In a model where bank's output follows a geometric Brownian motion and the government guarantees bank's liabilities, we...

Persistent link: https://www.econbiz.de/10012922858