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

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 …

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 …

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 …

volatility creates risks to service provision, possibly entailing sudden tax changes, or even requiring new borrowing. After … fiscal savings (reserves), and the impact alternate policy choices could have on revenue volatility …

extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic … Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three … global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact …