Showing 1 - 10 of 23
Jamshidian and Zhu (1997) propose a discrete grid method for simplifying the computation of Value at Risk (VaR) for fixed-income portfolios. Their method relies on two simplifications. First, the value of fixed income instruments is modeled as depending on a small number of risk factors chosen...
Persistent link: https://www.econbiz.de/10012742933
We develop a multiple asset rational expectations model of asset prices to study the determinants of financial market contagion, and to provide an explanation for the pattern of contagion during the Asian financial crisis. Our findings show that the pattern and severity of financial contagion...
Persistent link: https://www.econbiz.de/10012740768
We develop a multiple asset rational expectations model of asset prices to explain financial market contagion. Although the model allows contagion through several channels, our focus is on contagion through cross-market rebalancing. Through this channel, investors transmit idiosyncratic shocks...
Persistent link: https://www.econbiz.de/10012774693
Persistent link: https://www.econbiz.de/10010724139
I study the finite sample distribution of one of Ait-Sahalia's (1996c) nonparametric tests of continuous-time models of the short-term riskless rate. The test rejects true models too often because interest rate data are highly persistent but the asymptotic distribution of the test (and of the...
Persistent link: https://www.econbiz.de/10005569935
Persistent link: https://www.econbiz.de/10007351461
The growing share of financial assets that are held and managed by large institutional investors whose desired trades move asset prices is at odds with the traditional competitive assumption that investors are small and take prices as given. This paper relaxes the traditional price-taking...
Persistent link: https://www.econbiz.de/10012736005
Many large financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation based methods, but the methods' properties are not well understood. This paper theoretically and empirically examines the historical simulation method, a variant of...
Persistent link: https://www.econbiz.de/10012742182
Nonparametric kernel density estimation has recently been used to estimate and test short-term interest rate models, but inference has been based on asymptotics. We derive finite sample properties of kernel density estimates of the ergodic distribution of the short-rate when it follows a...
Persistent link: https://www.econbiz.de/10012744404
We use data from 2001-2007 to assess the impact of mortgage and other forms of asset securitization on the insolvency risk, profitability, and leverage ratios of US bank holding companies. Using 3 different estimation techniques, we find that banks use mortgage securitization to reduce...
Persistent link: https://www.econbiz.de/10012725256