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Journal Article
Value at risk: new approaches to risk management

Managing risk has always been an integral part of banking. In the past two years an approach to risk management called "Value at Risk" has been accepted by both practitioners and regulators as the "right" way to measure risk, becoming a de facto industry standard. Yet, the danger is that overreliance on value at risk can give risk managers a false sense of security or lull them into complacency. Value at risk is only one of many tools of managing risk, and it is based on a number of unrealistic assumptions. There is no generally accepted way to calculate it, and various methods can ...
New England Economic Review , Issue Sep , Pages 3-13

Journal Article
Bank runs

FRBSF Economic Letter

Journal Article
Daylight overdrafts and payments system risks

During the last several years, the banking community has become increasingly aware of the risks faced by participants on electronic funds transfer (EFT) networks. Of particular concern have been the volume and incidence of daylight overdrafts on Fedwire and the risk of systemic failure due to the failure of a participant on one of the private EFT networks. In this article, David L. Mengle develops an economic framework for analyzing the risks borne by network participants, and then discusses several alternative risk reduction measures. Mengle argues that, on Fedwire, pricing of daylight ...
Economic Review , Volume 71 , Issue May , Pages 14-27

Journal Article
Collateral damage detected

Emerging Issues , Issue Sep

Journal Article
The role of the examiner in limiting payments transfer risks

Special issue on payments system risk
Financial Industry Perspectives

Journal Article
Issuance of joint guidance on asset securitization activities

Federal Reserve Bulletin , Issue Feb

Conference Paper
Safeguarding the banking system in an environment of financial cycles: proceedings of a symposium held in November 1993

Conference Series ; [Proceedings] , Volume 37

Discussion Paper
Securitization with recourse: an instrument that offers uninsured bank depositors sequential claims

Research Papers in Banking and Financial Economics , Paper 97

Working Paper
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte Carlo experiment suggests that the procedure works well in practice. Implementing the procedure with actual S&P 500 option-implied volatilities and high-frequency five-minute-based realized volatilities results in significant temporal dependencies in the estimated stochastic volatility risk premium, ...
Finance and Economics Discussion Series , Paper 2004-56



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anonymous 46 items

Furlong, Frederick T. 17 items

Lopez, Jose A. 14 items

Berger, Allen N. 12 items

Keeley, Michael C. 12 items

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