Search Results

Showing results 1 to 10 of approximately 61.

(refine search)
Keywords:Financial risk management 

Remarks at Panel Discussion on OTC Derivatives Reform and broader financial reforms agenda

Remarks at the 2013 OTC Derivatives Conference, Paris, France.
Speech , Paper 113

Risk-management lessons from recent financial turmoil.

Presented by Eric S. Rosengren, President and Chief Executive Officer, Federal Reserve Bank of Boston, for the Conference on New Challenges for Operational Risk Measurement and Management, Boston, Massachusetts, May 14, 2008
Speech , Paper 13

Working Paper
Risk aversion, the labor margin, and asset pricing in DSGE models

In dynamic stochastic general equilibrium (DSGE) models, the household's labor margin as well as consumption margin affects Arrow-Pratt risk aversion. This paper derives simple, closed-form expressions for risk aversion that take into account the household's labor margin. Ignoring the labor margin can lead to wildly inaccurate measures of the household's true attitudes toward risk. We show that risk premia on assets computed using the stochastic discount factor are proportional to Arrow-Pratt risk aversion, so that measuring risk aversion correctly is crucial for understanding asset prices. ...
Working Paper Series , Paper 2009-26

Journal Article
What you don’t know can hurt you: keeping track of risks in the financial system

The financial crisis of 2007-2008 left in its wake new responsibilities for regulators to monitor the economy for risks to financial stability. The new task of monitoring financial stability includes tracking the risks of financial instruments and learning where these risks are located within the financial marketplace. One way to do this is to track the quantities of financial instruments and which institutions hold them. In this article, Leonard Nakamura discusses some limitations of the current data and the current data framework and the extent to which we can use the Flow of Funds for ...
Business Review , Issue Q1 , Pages 21-29

Journal Article
Financiers of the world, disunite

Diversity across banks and other financial firms promotes a resilient financial system because differing risk profiles reduce the likelihood of systemic crises caused by shared economic shocks. Consolidation and uniformity among banks and other financial intermediaries do the opposite. ; Yet some have suggested that any policy steps to reverse the financial system?s dramatic consolidation might yield little stability benefit because herd-like behavior among financial firms could still reduce diversity and mitigate any strengthening. If these firms moved in concert, the argument goes, they ...
Economic Letter , Volume 6

Reflections on the TALF and the Federal Reserve's role as liquidity provider

Remarks at the New York Association for Business Economics, New York City.
Speech , Paper 26

Working Paper
Nested simulation in portfolio risk measurement

Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws realizations of all risk factors up to the horizon, and in the inner step one re-prices each instrument in the portfolio at the horizon conditional on the drawn risk factors. Practitioners may perceive the computational burden of such nested schemes to be unacceptable, and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we question whether such short cuts are necessary. We show that a relatively small number of trials in the ...
Finance and Economics Discussion Series , Paper 2008-21

Some lessons from the crisis

Remarks at the Institute of International Bankers Membership Luncheon, New York City, October 13, 2009.
Speech , Paper 1

Working Paper
Temporal risk aversion and asset prices

Agents with standard, time-separable preferences do not care about the temporal distribution of risk. This is a strong assumption. For example, it seems plausible that a consumer may find persistent shocks to consumption less desirable than uncorrelated fluctuations. Such a consumer is said to exhibit temporal risk aversion. This paper examines the implications of temporal risk aversion for asset prices. The innovation is to work with expected utility preferences that (i) are not time-separable, (ii) exhibit temporal risk aversion, (iii) separate risk aversion from the intertemporal ...
Finance and Economics Discussion Series , Paper 2008-37

Journal Article
Part 5: Concluding observations: New Directions for Understanding Systemic Risk

The Federal Reserve Bank of New York released a report -- New Directions for Understanding Systemic Risk -- that presents key findings from a cross-disciplinary conference that it cosponsored in May 2006 with the National Academy of Sciences' Board on Mathematical Sciences and Their Applications. ; The pace of financial innovation over the past decade has increased the complexity and interconnectedness of the financial system. This development is important to central banks, such as the Federal Reserve, because of their traditional role in addressing systemic risks to the financial system. ; ...
Economic Policy Review , Volume 13 , Issue Nov , Pages 53-58


FILTER BY Content Type

Speech 23 items

Journal Article 20 items

Report 9 items

Working Paper 9 items


Dudley, William 10 items

Kambhu, John 9 items

Krishnan, Neel 7 items

Weidman, Scott 7 items

Bullard, James B. 3 items

Cumming, Christine M. 3 items

show more (58)

FILTER BY Keywords

Financial risk management 61 items

Financial crises 21 items

Financial stability 14 items

Financial markets 12 items

Bank supervision 11 items

Systemic risk 11 items

show more (101)