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Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs

Corradin, Stefano - 2012

We generalize the classic Grossman and Laroque (1990) (GL) model of optimal portfolio choice with housing and transaction costs by introducing predictability in house prices. As in the GL model, agents only move to more expensive (cheaper) houses when their wealth-to-housing ratios reach an...

Persistent link: https://www.econbiz.de/10013100578

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008

new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …

Persistent link: https://www.econbiz.de/10011605003

Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks

Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

Persistent link: https://www.econbiz.de/10011605048

Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks

Castrén, Olli - 2009

Persistent link: https://www.econbiz.de/10012766583

On the optimal control of interbank contagion in the euro area banking system

Fukker, Gábor; Kok Sørensen, Christoffer - 2021

In this paper we present a methodology of model-based calibration of additional capital needed in an interconnected financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to controlling contagion in case of complete information about...

Persistent link: https://www.econbiz.de/10012605250

Implementing optimal control in cointegrated I(1) structural VAR models

Monti, Francesca V. - 2003

Persistent link: https://www.econbiz.de/10011604334

Agent-based model of system-wide implications of funding risk

Hałaj, Grzegorz - 2018

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent interactions between market participants in an agent-based...

Persistent link: https://www.econbiz.de/10011853309

Optimal portfolio choice with predictability in house prices and transaction costs

Corradin, Stefano; Fillat, José L.; Vergara-Alert, Carles - 2012

Persistent link: https://www.econbiz.de/10011605515

Dynamic balance sheet model with liquidity risk

Hałaj, Grzegorz - 2016

Theoretically optimal responses of banks to various liquidity and solvency shocks are modelled. The proposed framework is based on a risk-adjusted return portfolio choice in multiple periods subject to the default risk related either to liquidity or solvency problems. Performance of the model...

Persistent link: https://www.econbiz.de/10011605941

Bank capital structure and the credit channel of central bank asset purchases

Darracq Pariès, Matthieu; Hałaj, Grzegorz; Kok, … - 2016

With the aim of reigniting inflation in the euro area, in early 2015 the ECB embarked on a large-scale asset purchase programme. We analyse the macroeconomic effects of the Asset Purchase Programme via the banking system, exploiting the cross-section of individual bank portfolio decisions. For...

Persistent link: https://www.econbiz.de/10011605961