Econometric Modeling: Capital Markets - Risk eJournal最新文献_第8页

Liquidity in the Time of COVID COVID期间的流动性

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-05-29 DOI: 10.2139/ssrn.3840967

C. Albanese, Stefano Iabichino, Paolo Mammola

引用次数: 0

New Risk Measure VAR Squared (VAR (2)) and its Calculation Part II: Case of the General Law of Allocation of Damages. Comparison of VAR (2) and ES 新风险测度VAR平方(VAR(2))及其计算第二部分:损害赔偿分配通则案例VAR(2)与ES的比较

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-05-28 DOI: 10.2139/ssrn.3612643

V. B. Minasyan

引用次数: 0

Measuring Tail Operational Risk in Univariate and Multivariate Models under Extreme Losses 极端损失下单变量和多变量模型的尾部操作风险度量

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-05-22 DOI: 10.2139/ssrn.3607639

Yang Yang, Yishan Gong, Jiajun Liu

引用次数: 1

The Price of Safety: The Evolution of Municipal Bond Insurance Value 安全的价格:市政债券保险价值的演变

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-05-12 DOI: 10.2139/ssrn.3266890

Kimberly J. Cornaggia, John E. Hund, Giang Nguyen

{"title":"The Price of Safety: The Evolution of Municipal Bond Insurance Value","authors":"Kimberly J. Cornaggia, John E. Hund, Giang Nguyen","doi":"10.2139/ssrn.3266890","DOIUrl":"https://doi.org/10.2139/ssrn.3266890","url":null,"abstract":"Economic theory predicts that bond insurance lowers issuers’ financing costs by resolving asymmetric information and mitigating credit risk. With comprehensive data over the last 36 years, we find increasingly diminished empirical support for these models. The value of insurance in resolving asymmetric information beyond that resolved by credit ratings and other observable bond characteristics is economically minimal. The average gross value of insurance ranges from 4 to 14 bps when bond insurers offer Aaa-rated coverage. However, this gross value becomes insignificant after 2008 when Aaa-rated insurance no longer exists. Evidence suggests that the lack of insurance benefit in the postcrisis period is attributable to the deteriorated creditworthiness of insurance companies. Examining noninterest saving explanations for the continued use of insurance in the no-Aaa insurance market, we find evidence that issuers purchase insurance out of habit (with insurance value most diminished for habitual purchasers with low governance quality) and for the convenience it affords in default, but no evidence that insurance improves secondary market liquidity. This paper was accepted by Gustavo Manso, finance. Supplemental Material: The data files and online appendix are available at https://doi.org/10.1287/mnsc.2023.4813 .","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74302450","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms 具有VWAP和LOB定价机制的甩卖回购模型

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-05-11 DOI: 10.2139/ssrn.3701847

Maxim Bichuch, Zachary Feinstein

引用次数: 6

The Macroprudential Role of Stock Markets 股票市场的宏观审慎作用

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-04-27 DOI: 10.2139/ssrn.3586560

Kyriakos Chousakos, Gary B. Gorton, Guillermo Ordoñez

引用次数: 5

Stock Markets’ Reaction to Covid-19: Cases or Fatalities 股市对Covid-19的反应:病例还是死亡

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-04-26 DOI: 10.2139/ssrn.3585789

Badar Nadeem Ashraf

引用次数: 65

Risk Characteristics of Covered Bonds: Monitoring Beyond Ratings 担保债券的风险特征:超越评级的监控

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-04-01 DOI: 10.2139/ssrn.3578541

Magdalena Grothe, Jana Zeyer

引用次数: 2

Effects on Growth and Inflation of the Unraveling of Systemic Risk in the Euro Area Banking Sector: Lessons from the Financial Crisis 欧元区银行业系统性风险解体对增长和通胀的影响:金融危机的教训

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-03-28 DOI: 10.2139/ssrn.3565803

A. Kabundi, Francisco Nadal De Simone

{"title":"Effects on Growth and Inflation of the Unraveling of Systemic Risk in the Euro Area Banking Sector: Lessons from the Financial Crisis","authors":"A. Kabundi, Francisco Nadal De Simone","doi":"10.2139/ssrn.3565803","DOIUrl":"https://doi.org/10.2139/ssrn.3565803","url":null,"abstract":"This study has two objectives. It first assesses the output and inflation effects of systemic risk-taking in the euro area banking sector using a factor-augmented vector autoregressive model that exploits a 519 time-series rich dataset, including coherent measures of systemic risk in all its forms and its time dimension. Then, it evaluates whether the systemic risk measures can be used as early warning signals of severe negative nominal growth outcomes using the Receiver Operating Characteristic approach. The main findings are that, overall, real GDP growth and inflation react negatively to a one-standard deviation shock to systemic risk measures of the euro area banking industry. Inflation depicts a more pronounced response than GDP. There is heterogeneity in the strength of the responses across diverse forms of systemic risk and their time dimension. Specifically, short-term systemic risk measures tend to portray stronger effects on output and inflation than their conditional forward counterparts. In particular, systemic risk in the form of banking sector vulnerability associated with interconnectedness and contagion plays a considerable role in depressing economic activity in the euro area. Finally, all but one systemic risk measure predict with high accuracy the extreme macro-financial instability in the euro area that followed Lehman Brothers’ collapse. The systemic risk measures are potentially good candidates to be included in a macroprudential-policy toolkit for calibrating instruments at thresholds that reflect policymakers’ risk preferences.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83093939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Network-Based Measures of Systemic Risk in Korea 韩国基于网络的系统性风险测度

Econometric Modeling: Capital Markets - Risk eJournal Pub Date : 2020-03-26 DOI: 10.2139/ssrn.3561359

Jaewon Choi, Jieun Lee

{"title":"Network-Based Measures of Systemic Risk in Korea","authors":"Jaewon Choi, Jieun Lee","doi":"10.2139/ssrn.3561359","DOIUrl":"https://doi.org/10.2139/ssrn.3561359","url":null,"abstract":"The authors estimate systemic risk in the Korean economy using the econometric measures of commonality and connectedness applied to stock returns. To assess potential systemic risk concerns arising from the high concentration of the economy in large business groups and a few export-oriented sectors, the authors perform three levels of estimation using individual stocks, business groups, and industry returns. The results show that the measures perform well over the study’s sample period by indicating heightened levels of commonality and interconnectedness during crisis periods. In out-of-sample tests, the measures can predict future losses in the stock market during the crises. The authors also provide the recent readings of their measures at the market, chaebol, and industry levels. Although the measures indicate systemic risk is not a major concern in Korea, as they tend to be at the lowest level since 1998, there is an increasing trend in commonality and connectedness since 2017. Samsung and SK exhibit increasing degrees of commonality and connectedness, perhaps because of their heavy dependence on a few major member firms. Commonality in the finance industry has not subsided since the financial crisis, suggesting that systemic risk is still a concern in the banking sector.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74637019","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2