Similar Search Results

Portfolio Diversification, Leverage, and Financial Contagion

Smith, T. Todd - 1999

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

Persistent link: https://www.econbiz.de/10014400415

International financial connection and stock return comovement

Ando, Sakai - 2019

This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock...

Persistent link: https://www.econbiz.de/10012103619

Foreign exchange intervention rule for central banks : risk-based framework

Lafarguette, Romain; Veyrune, Romain - 2021

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data …

Persistent link: https://www.econbiz.de/10012518276

Price Volatility and Financial Instability

Leon, H. L. - 2001

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

Persistent link: https://www.econbiz.de/10014399985

Firm-Level Evidenceon International Stock Market Comovement

Brooks, Robin - 2003

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10014403861

The present value of corporate profits : a forecasters’ survey perspective

Andrle, Michal - 2019

This paper presents and discusses the estimates of the present value of corporate profits in the United States from 1984 to 2018. To value the expected income stream, it uses the long-range forecasts of professional forecasters for pre-tax corporate earnings and long-term Treasury note yields,...

Persistent link: https://www.econbiz.de/10012001557

Schumacher, Liliana - 2011

This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank stylized United States banking system, we analyze...

Persistent link: https://www.econbiz.de/10014397686

Systemic risk modeling : how theory can meet statistics

Espinoza, Raphael A.; Segoviano, Miguel A.; Ji, Yan - 2020

We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire...

Persistent link: https://www.econbiz.de/10012251307

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos - 2007

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

Persistent link: https://www.econbiz.de/10014399716

Variance decomposition networks : potential pitfalls and a simple solution

Chan-Lau, Jorge A. - 2017

Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant...

Persistent link: https://www.econbiz.de/10011704426