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Keywords:Financial risk management 

Speech
Asset bubbles and the implications for central bank policy

Remarks at The Economic Club of New York, New York City.
Speech , Paper 21

Speech
A new era of bank supervision

Remarks at the New York Bankers Association Financial Services Forum, New York City.
Speech , Paper 65

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

Speech
The U.S. financial system and macroeconomic performance

Delivered at the 119th Annual Arkansas Bankers Association & Tradeshow, Day with the Commissioner, Hot Springs, AR. May 1, 2009.
Speech , Paper 141

Journal Article
New directions for understanding systemic risk: a report on a conference cosponsored by the Federal Reserve Bank of New York and the National Academy of Sciences

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 i-83

Working Paper
Pricing counterparty risk at the trade level and CVA allocations

We address the problem of allocating the counterparty-level credit valuation adjustment (CVA) to the individual trades composing the portfolio. We show that this problem can be reduced to calculating contributions of the trades to the counterparty-level expected exposure (EE) conditional on the counterparty's default. We propose a methodology for calculating conditional EE contributions for both collateralized and non-collateralized counterparties. Calculation of EE contributions can be easily incorporated into exposure simulation processes that already exist in a financial institution. We ...
Finance and Economics Discussion Series , Paper 2010-10

Working Paper
Expected stock returns and variance risk premia

We find that the difference between implied and realized variances, or the variance risk premium, is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, with high (low) premia predicting high (low) future returns. The magnitude of the return predictability of the variance risk premium easily dominates that afforded by standard predictor variables like the P/E ratio, the dividend yield, the default spread, and the consumption-wealth ratio (CAY). Moreover, combining the variance ...
Finance and Economics Discussion Series , Paper 2007-11

Working Paper
Systemic risk contributions

We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks' marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator peaking around $1.1 trillion in March 2009. Our systemic risk contribution measure shows interesting similarity to and divergence from the SCAP expected loss measure. In general, we find that a bank's contribution to the systemic ...
Finance and Economics Discussion Series , Paper 2011-08

Speech
Some observations and lessons from the crisis

Remarks at the Third Annual Connecticut Bank and Trust Company Economic Outlook Breakfast, Hartford, Connecticut.
Speech

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