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Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance

Chan-Lau, Jorge A. - 2006

traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial …

Persistent link: https://www.econbiz.de/10014400516

A closed form multivariate linear filter

Boadway, Robin W.; Vitek, Francis - 2018

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...

Persistent link: https://www.econbiz.de/10011978601

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 … economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge …

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

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 … optimal to sell many higher-risk assets when a shock to one asset occurs …

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

Exchange Rate Risk Measurement and Management : Issues and Approaches for Firms

Papaioannou, Michael G. - 2006

Measuring and managing exchange rate risk exposure is important for reducing a firm''s vulnerabilities from major … traditional types of exchange rate risk faced by firms, namely transaction, translation and economic risks, presents the VaR … approach as the currently predominant method of measuring a firm''s exchange rate risk exposure, and examines the main …

Persistent link: https://www.econbiz.de/10014400190

Model-based globally-consistent risk assessment

Andrle, Michal; Hunt, Benjamin F. - 2020

This paper outlines an approach to assess uncertainty around a forecast baseline as well as the impact of alternative policy rules on macro variability. The approach allows for non-Gaussian shock distributions and non-linear underlying macroeconomic models. Consequently, the resulting...

Persistent link: https://www.econbiz.de/10012251371

Aggregate Uncertainty and the Supply of Credit

Valencia, Fabian - 2013

examines one particular channel at work: the supply of credit. It presents a model in which a bank, even if managed by risk …

Persistent link: https://www.econbiz.de/10014394461

Model Uncertainty. Learning, and the Gains from Coordination

International Monetary Fund - 1988

The paper considers gains from international economic policy coordination when there is uncertainty concerning the functioning of the world economy, but also learning about the “true” model on the part of policymakers. The paper reports estimates of plausible alternative versions of a...

Persistent link: https://www.econbiz.de/10014395854

Macroeconomic Uncertainty, Precautionary Savings and the Current Account

Ostry, Jonathan David - 1992

The relationship between current account developments and changes in the macroeconomic environment remains a key issue in open economy macroeconomics. This paper extends the standard intertemporal optimizing model of the current account to incorporate the effects of macroeconomic uncertainty on...

Persistent link: https://www.econbiz.de/10014396005

Trade Reforms of Uncertain Duration and Real Uncertainty : A First Approximation

Calvo, Guillermo - 1994

and real shocks, and the credibility component depends on the mean and risk of real asset returns. Thus, observed booms …

Persistent link: https://www.econbiz.de/10014396072