Testing for Financial Buffer Stocks in Sectoral Portfolio Models PDF Download
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Author: Dorian Owen
Publisher:
ISBN:
Category : Buffer stocks
Languages : en
Pages : 58
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Book Description
Author: Dorian Owen
Publisher:
ISBN:
Category : Buffer stocks
Languages : en
Pages : 58
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Book Description
Author: David E. A. Giles
Publisher:
ISBN:
Category : Least squares
Languages : en
Pages : 24
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Book Description
Author: Joseph G. Haubrich
Publisher: University of Chicago Press
ISBN: 0226921964
Category : Business & Economics
Languages : en
Pages : 286
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Book Description
In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Author: Neil Thompson
Publisher: Springer
ISBN: 1349228273
Category : Business & Economics
Languages : en
Pages : 223
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Book Description
The book is an in-depth review of the theory and empirics of the demand for money and other financial assets. The different theoretical approaches to the portfolio choice problem are described, together with an up-to-date survey of the results obtained from empirical studies of asset choice behaviour. Both single-equation studies and the more complete multi-asset portfolio models, are analysed.
Author: John P. Small
Publisher:
ISBN:
Category : Correlation (Statistics)
Languages : en
Pages : 36
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Book Description
Author: John P. Small
Publisher:
ISBN:
Category : Autocorrelation (Statistics)
Languages : en
Pages : 24
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Book Description
Author: Lucyna Gornicka
Publisher:
ISBN: 9781513554471
Category :
Languages : en
Pages : 54
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Book Description
We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools. The proposed approach is very flexible and is particularly useful when there is limited history of crisis episodes, when crises bring unanticipated shocks where past tail events offer little guidance and when structural shocks or changes in financial regulations have altered the loan default process. We apply the model to quantify mortgage lending risk in two distinct mortgage markets. For each application, we show a range of modeling adjustments that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk bucket and vintage, which enables us to take explicit account of the loan life cycle and to incorporate the housing and economic cycles. This feature facilitates a timely assessment of banks' loss-absorbing capacity and the buildup of systemic risk conditional on policy. It also enables counterfactual analysis and the evaluation of macroprudential policy interventions.
Author: John P. Small
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 32
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Book Description
Author: Judith Anne Giles
Publisher:
ISBN:
Category : Error analysis (Mathematics)
Languages : en
Pages : 34
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Book Description
Author: Mr.Tobias Adrian
Publisher: International Monetary Fund
ISBN: 1513520741
Category : Business & Economics
Languages : en
Pages : 73
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Book Description
This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
