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Displaying results 1 to 8 of 8.

  1. The impact of financial shocks on the forecast distribution of output and inflation
    Author: Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; Sala, Luca
    Published: [2023]
    Publisher:  Norges Bank, Oslo

    Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the left tail, financial shocks turn out to play a prominent role for distribution dynamics. Monetary policy shocks also play a role in shaping risk, although its effects are smaller than those of financial shocks. These findings are obtained using a novel econometric approach which combines quantile regressions and Structural VARs.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788283792645
    Other identifier:
    hdl: 11250/3058242
    Series: Working paper / Norges Bank ; 2023, 3
    Subjects: Tail Risk; Uncertainty; Skewness; Forecast Distribution; SVAR; Financial shocks; Monetary Policy Shocks; Quantile Regressions
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. The price of macroeconomic uncertainty
    evidence from daily options
    Author: Londono, Juan M.; Samadi, Mehrdad
    Published: [2023]
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: This version: June 2023
    Series: International finance discussion papers ; number 1376 (June 2023)
    Subjects: Variance Risk; Uncertainty; Risk Premium; Macroeconomic Releases; FOMC; Inflation; Tail Risk
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  3. Mind your language
    market responses to central bank speeches
    Author: Ahrens, Maximilian; Erdemlioglu, Deniz; McMahon, Michael; Neely, Christopher J.; Yang, Xiye
    Published: 02 June 2023
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18191
    Subjects: Central Bank Communication; Multimodal Machine Learning; Natural Language Pro-cessing; Speech Analysis; High-Frequency Data; Volatility; Tail Risk
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  4. Essays in derivatives markets
    Author: Mörke, Mathis
    Published: 2023

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 20.500.14171/107736
    5301
    Subjects: Optionsmarkt; Optionspreistheorie; Rohstoffmarkt; Aktienmarkt; Rohstoffe; Vorhersagbarkeit von Optionsrenditen; Machine Learning; Künstliche Intelligenz; Option Return Predictability; Tail Risk; Gamma Squeeze; Commodities
    Scope: 1 Online-Ressource (circa 335 Seiten), Illustrationen
    Notes:

    Dissertation, University of St.Gallen, 2022
  5. Nonparametric tail risk, stock returns and the macroeconomy
    Author: Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, José Valentim Machado
    Published: April 2016
    Publisher:  CIRANO, Centre interuniversitaire de recherche en analyse des organisations, Montréal

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Scientific series / CIRANO, Centre interuniversitaire de recherche en analyse des organisations ; 2016s-20
    Subjects: Tail Risk; Risk Factor; Risk-Neutral Probability
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  6. Volatility and systematic risks in financial markets
    Author: Würsig, Christoph Matthias
    Published: 2022
    Publisher:  Gottfried Wilhelm Leibniz Universität, Hannover

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Contributor: Prokopczuk, Marcel (AkademischeR BetreuerIn); Dierkes, Maik (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Marktmacht; Systematisches Risiko; Vorhersage von Aktienrenditen; Rohstoffmärkte; Volatilität; Extrem-Risiko; Market power; systematic risk; Return Predictability; Commodity Market; Volatility; Tail Risk
    Scope: 1 Online-Ressource (11, I-IV, 274 Seiten, 2.768 Mb), Diagramme
    Notes:

    Literaturverzeichnis

    Dissertation, Gottfried Wilhelm Leibniz Universität Hannover, 2022
  7. On climate tail risks
    Author: García, Pablo
    Published: August 2022
    Publisher:  Banque centrale du Luxembourg, Luxembourg

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Banque centrale du Luxembourg ; no 164
    Subjects: Climate change; Tail Risk; Tipping Point
    Scope: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  8. Adjusted expected shortfall
    Author: Burzoni, Matteo; Munari, Cosimo-Andrea; Wang, Ruodu
    Published: 2020
    Publisher:  Swiss Finance Institute, Geneva

    We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted... more

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    We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial position X to ensure that Expected Shortfall ESp(X) does not exceed a pre-specified threshold g(p) for every probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific application of interest. We devote special attention to the study of risk profiles defined by the Expected Shortfall of a benchmark random loss, in which case our risk measures are intimately linked to second-order stochastic dominance

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Research paper series / Swiss Finance Institute ; no 20, 120
    Subjects: Convex Risk Measures; Tail Risk; Adjusted Expected Shortfall; Stochastic Dominance; Capital Adequacy; Optimization With Risk Measures
    Scope: 1 Online-Ressource (circa Seiten), Illustrationen