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Estimating and Testing Long-Run Risk Models: International Evidence 评估和检验长期风险模型:国际证据
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-06-01 DOI: 10.2139/ssrn.3857366
Andras Fulop, Junye Li, Hening Liu, Cheng Yan
{"title":"Estimating and Testing Long-Run Risk Models: International Evidence","authors":"Andras Fulop, Junye Li, Hening Liu, Cheng Yan","doi":"10.2139/ssrn.3857366","DOIUrl":"https://doi.org/10.2139/ssrn.3857366","url":null,"abstract":"We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model features a representative agent who has recursive preferences with a time preference shock, a persistent component in expected consumption growth, and stochastic volatility in fundamentals characterized by an autoregressive Gamma process. We construct a comprehensive dataset with quarterly frequency in the post-war period for ten developed countries and employ an efficient likelihood-based Bayesian method that exploits up-to-date sequential Monte Carlo methods to make full econometric inference. Our estimation provides international evidence in support of long-run risks, time-varying preference shocks, and countercyclicality of the stochastic discount factor.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128304860","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: 0
Distributionally Robust Reinsurance With Value-at-Risk and Conditional Value-at-Risk 具有风险价值和条件风险价值的分布稳健再保险
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-05-19 DOI: 10.2139/ssrn.3849078
Haiyan Liu, Tiantian Mao
{"title":"Distributionally Robust Reinsurance With Value-at-Risk and Conditional Value-at-Risk","authors":"Haiyan Liu, Tiantian Mao","doi":"10.2139/ssrn.3849078","DOIUrl":"https://doi.org/10.2139/ssrn.3849078","url":null,"abstract":"A basic assumption of the classic reinsurance model is that the distribution of the loss is precisely known. In practice, only partial information is available for the loss distribution due to the lack of data and estimation error. We study a distributionally robust reinsurance problem by minimizing the maximum Value-at-Risk (or the worst-case VaR) of the total retained loss of the insurer for all loss distributions with known mean and variance. Our model handles typical stop-loss reinsurance contracts. We show that a three-point distribution achieves the worst-case VaR of the total retained loss of the insurer, from which the closed-form solutions of the worst-case distribution and optimal deductible are obtained. Moreover, we show that the worst-case Conditional Value-at-Risk of the total retained loss of the insurer is equal to the worst-case VaR, and thus the optimal deductible is the same in both cases.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121152089","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
Market Risk Prediction under Illiquid Market Environments: A Comparison of Alternative Modeling Techniques 非流动性市场环境下的市场风险预测:不同建模技术的比较
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-05-18 DOI: 10.2139/ssrn.3847066
Mazin A. M. Al Janabi
{"title":"Market Risk Prediction under Illiquid Market Environments: A Comparison of Alternative Modeling Techniques","authors":"Mazin A. M. Al Janabi","doi":"10.2139/ssrn.3847066","DOIUrl":"https://doi.org/10.2139/ssrn.3847066","url":null,"abstract":"This paper bridges the gap in trading risk management literatures, and particularly from the perspective of emerging and illiquid markets. We find that under certain trading strategies, such as short-selling of stocks, the sensitivity of L-VaR statistics are rather critical to the selected internal asset liquidity model in addition to the degree of correlation factors among trading assets.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131480626","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: 0
Inflexible Hedging in the Presence of Illiquidity and Jump Risks 存在非流动性和跳跃风险的不灵活套期保值
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-05-16 DOI: 10.2139/ssrn.3855780
Yuan Gao, Yuheng Wu, Mingrui Duan
{"title":"Inflexible Hedging in the Presence of Illiquidity and Jump Risks","authors":"Yuan Gao, Yuheng Wu, Mingrui Duan","doi":"10.2139/ssrn.3855780","DOIUrl":"https://doi.org/10.2139/ssrn.3855780","url":null,"abstract":"Market in the real world is inevitably incomplete, and a lot of delicate models under the complete market assumption fails in such a scenario. This paper deals with the hedging problem in incomplete market. It deals with three sources of incompleteness: non-continuous asset prices, illiquidity, and discrete transaction dates. It proposes a jump-diffusion model to describe asset dynamics. Under this model, three neutral network models (RNN, LSTM, Mogrifier-LSTM) with three types of loss functions are implemented and compared. All neutral networks show promising results, and the Mogrifier-LSTM is the fastest model in diverging speed.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114083805","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
Modelling NMDs - A Review nmd模型研究综述
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-05-04 DOI: 10.2139/ssrn.3839381
A. Miemiec
{"title":"Modelling NMDs - A Review","authors":"A. Miemiec","doi":"10.2139/ssrn.3839381","DOIUrl":"https://doi.org/10.2139/ssrn.3839381","url":null,"abstract":"In this article we are going to review the modelling of NMDs via replicating portfolios due to the revived interest in NMDs in the context of the interest rate risk of the banking book (IRRBB). The main goal is to provide a self contained presentation of the replicating portfolio approach from scratch. It intends to clarify the underlying assumptions and the methodology of the replicating portfolio approach, i.e. it derives the theory from simple basic principles while collecting all relevant information in one place. Because using this model is a major methodological decision we will pay particular attention to the challenges this modelling approach is exposed to in a low interest environment, which is characterised by a pronounced regime switch with respect to the interest rates of the eligible investment products.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131439842","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: 0
Assessing and Mitigating Fire Sales Risk Under Partial Information 部分信息下的火灾风险评估与缓解
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-04-25 DOI: 10.2139/ssrn.3833975
R. Pang, L. Veraart
{"title":"Assessing and Mitigating Fire Sales Risk Under Partial Information","authors":"R. Pang, L. Veraart","doi":"10.2139/ssrn.3833975","DOIUrl":"https://doi.org/10.2139/ssrn.3833975","url":null,"abstract":"We consider the problem of assessing and mitigating fire sales risk for banks under partial information. Using data from the European Banking Authority's stress tests, we consider the matrix of asset holdings of different banks. We first analyse fire sales risk under both full and partial information using different matrix reconstruction methods. We then investigate how well some policy interventions aimed at mitigating fire sales risk perform if they are applied based on only partial information. We compare the performance of policy interventions under full and partial information. We find that even under partial information, using suitable network reconstruction methods to decide on policy interventions can significantly mitigate risk from fire sales. Furthermore, we show that some interventions based on reconstructed networks significantly outperform ad hoc methods that decide on interventions only based on the size of an institution and do not account for overlapping portfolios.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114864356","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: 0
Do Well-Behaved Firms Attract More Market Makers? Evidence from the CDS Market 行为良好的公司会吸引更多做市商吗?来自CDS市场的证据
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-04-24 DOI: 10.2139/ssrn.3833324
Yubin Li, Xinjie Wang, Z. Zhong
{"title":"Do Well-Behaved Firms Attract More Market Makers? Evidence from the CDS Market","authors":"Yubin Li, Xinjie Wang, Z. Zhong","doi":"10.2139/ssrn.3833324","DOIUrl":"https://doi.org/10.2139/ssrn.3833324","url":null,"abstract":"This paper explores whether corporate social performance impacts CDS market liquidity. We first document that better corporate social performance attracts more CDS market makers and induces more frequent CDS price updates. Second, we explore the influence mechanism of CSR on CDS market liquidity. Cross-sectional analyses show that the effect of CSR on liquidity provision is stronger for firms with smaller sizes, fewer analysts following, higher stock return volatility, higher systematic risk or higher credit risk. These findings are consistent with the notion that strong social performance attracts CDS dealers by reducing information asymmetry or offsetting firm risk. Our findings are robust to controlling for more variables, remain qualitatively similar for three subperiods around the 2008 financial crisis period and are robust to the acquisition of CSR data vendors. To our knowledge, this is the first study to focus on the relation between corporate social responsibility and financial market microstructure.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126594463","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: 0
New Construction and Mortgage Default 新建筑和抵押贷款违约
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-04-21 DOI: 10.2139/ssrn.3043559
Tom Mayock, K. Tzioumis
{"title":"New Construction and Mortgage Default","authors":"Tom Mayock, K. Tzioumis","doi":"10.2139/ssrn.3043559","DOIUrl":"https://doi.org/10.2139/ssrn.3043559","url":null,"abstract":"In this paper we argue that because of non-linear depreciation schedules, appraisal complications, and homebuilders' significant bargaining power, loans collateralized by new construction are more likely to go into default relative to purchase loans for existing homes. Using loan-level mortgage records for more than 3 million loans originated between 2004 and 2009, we provide strong empirical evidence in support of this hypothesis. The unconditional default rate for mortgages used to purchase new construction was 5.6 percentage points higher than the default rates for other purchase loans in our sample. In our richest models that include extensive controls for borrower and loan characteristics as well as Census-tract-origination-year fixed effects, we find that loans for new homes were roughly 1.8 percentage points more likely to default.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127958976","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: 0
Cash CVA -- Credit Valuation Adjustment in the Cash Form 现金CVA——现金表中的信用估值调整
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-04-18 DOI: 10.2139/SSRN.3829303
W. Lou
{"title":"Cash CVA -- Credit Valuation Adjustment in the Cash Form","authors":"W. Lou","doi":"10.2139/SSRN.3829303","DOIUrl":"https://doi.org/10.2139/SSRN.3829303","url":null,"abstract":"Credit default swaps (CDS) are unfunded, or the synthetic form of credit exposure, while bonds are fully funded, thus the cash form. Borrowing this industry jargon, credit valuation adjustment (CVA) would be seen synthetic, because it is defined as the present value of buying a default protection on counterparty exposure through CDS. This article presents the cash form of counterparty risk, Cash CVA. It links directly to counterparties’ senior unsecured bond curves, thus no longer requiring recovery rate and CDS curve inputs. Replacing CVA with cash CVA is necessitated, because single name CDS is no longer liquid following massive dealer-bank exit from CDS trading business post the Financial Crisis of 2007-2008, while bond liquidity has significantly improved due to advances in corporate bond electronic trading.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129073743","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: 0
Mean-Reversion in Commodity Futures Volatility: An Analysis of Daily Range-Based Stochastic Volatility Models 商品期货波动的均值回归:基于日波动区间的随机波动模型分析
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-04-13 DOI: 10.2139/ssrn.3825894
Stephen Figlewski, Marco Haase, M. Huss, H. Zimmermann
{"title":"Mean-Reversion in Commodity Futures Volatility: An Analysis of Daily Range-Based Stochastic Volatility Models","authors":"Stephen Figlewski, Marco Haase, M. Huss, H. Zimmermann","doi":"10.2139/ssrn.3825894","DOIUrl":"https://doi.org/10.2139/ssrn.3825894","url":null,"abstract":"We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates than are otherwise prevalent in the commodity literature. We find that a one-factor range-based EGARCH-model (REGARCH) is not adequate to capture the very distinct long-run and short-run dynamic volatility components. While the long memory effect of volatility is numerically very small, it strongly affects the parameters of the short-run dynamics which become more stable and plausible in size. Moreover, long-run persistency in volatility shocks is practically unaffected after controlling for regimes which indicates that the stochastic movement of the long-run mean is not a statistical artefact. We also find that consistent with the theory of storage, long run volatility is positively related to lagged returns. Thus, asymmetry in volatility is not a short-run phenomenon.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"263 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132608039","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: 0
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