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Husted, Lucas; Rogers, John H.; Sun, Bo - 2017

We construct new measures of uncertainty about Federal Reserve policy actions and their consequences - monetary policy … uncertainty (MPU) indexes. We show that, under a variety of VAR identification schemes, positive shocks to uncertainty about …. Our analysis suggests that policy rate normalization that is accompanied by reduced uncertainty can help neutralize the …

Persistent link: https://www.econbiz.de/10011780289

Risk endogeneity at the lender/investor-of-last-resort

Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank portfolio credit risks associated with such...

Persistent link: https://www.econbiz.de/10011959298

Risk endogeneity at the lender/investor-of-last-resort

Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019

Persistent link: https://www.econbiz.de/10011981369

An unconventional fx tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

Persistent link: https://www.econbiz.de/10014433563

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

Persistent link: https://www.econbiz.de/10014439419

Risk measurement : a central bank perspective

Lowe, Philip - In: Bulletin / Reserve Bank of Australia (2006), pp. 22-27

Persistent link: https://www.econbiz.de/10003375485

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail...

Persistent link: https://www.econbiz.de/10014336426

An unconventional FX tail risk story

Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - In: Journal of international money and finance 148 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10015076252

Bank stress testing : a stochastic simulation framework to assess banks' financial fragility

Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54

We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...

Persistent link: https://www.econbiz.de/10011890804

Risk-averse two-stage distributionally robust optimisation for logistics planning in disaster relief management

Wang, Duo; Yang, Kai; Yang, Lixing - In: International journal of production research 61 (2023) 2, pp. 668-691

Persistent link: https://www.econbiz.de/10013531038