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Keywords:Risk assessment 

Working Paper
Credit ratings and bank monitoring ability

In this paper we use credit rating data from two large Swedish banks to elicit evidence on banks? loan monitoring ability. For these banks, our tests reveal that banks? credit ratings indeed include valuable private information from monitoring, as theory suggests. However, our tests also reveal that publicly available information from a credit bureau is not efficiently impounded in the bank ratings: The credit bureau ratings not only predict future movements in the bank ratings but also improve forecasts of bankruptcy and loan default. We investigate possible explanations for these findings. ...
Working Papers , Paper 13-21

Working Paper
Credit ratings and bank monitoring ability

In this paper, the authors use credit rating data from two Swedish banks to elicit evidence on banks' loan monitoring ability. They test the banks' ability to forecast credit bureau ratings, and vice versa, and show that bank ratings are able to predict future credit bureau ratings. This is evidence that bank credit ratings, consistent with theory, contain valuable private information. However, the authors also find that public ratings have an ability to predict future bank ratings, implying that internal bank ratings do not fully or efficiently incorporate all publicly available information. ...
Working Papers , Paper 10-21

Conference Paper
The supervisory capital assessment program -- one year later

Proceedings , Paper 1133

Working Paper
Risk aversion, risk premia, and the labor margin with generalized recursive preferences

A flexible labor margin allows households to absorb shocks to asset values with changes in hours worked as well as changes in consumption. This ability to absorb shocks along either or both margins greatly alters the household?s attitudes toward risk, as shown by Swanson (2012). The present paper extends that work to the case of generalized recursive preferences, as in Epstein and Zin (1989) and Weil (1989), which are increasingly being used to bring macroeconomic models into closer agreement with basic asset pricing facts. Measures of risk aversion commonly used in the literature show no ...
Working Paper Series , Paper 2012-17

Conference Paper
A framework for more effective stress testing

Proceedings

Conference Paper
Financial market risk premiums: time variation and macroeconomic links, Federal Reserve Board, Washington, D.C., July 21-22, 2005

Risk premiums are a critical component of asset pricing relationships, summarizing the interaction among investor preferences, expected asset payoffs, and fundamental uncertainty. The Federal Reserve Board, as both a producer and consumer of risk premium measures, is an ideal facilitator of a wide-ranging discussion of the latest advances in this area. The conference program selected this year focuses on the equity risk premium, consumption risk, and market volatility.
Proceedings

Conference Paper
Long-run risks and equity Returns

Proceedings

Conference Paper
Remarks on risk measurement and systemic risk

Proceedings

Working Paper
Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis

This paper extends the approach of measuring and stress-testing the systemic risk of a banking sector in Huang, Zhou, and Zhu (2009) to identifying various sources of financial instability and to allocating systemic risk to individual financial institutions. The systemic risk measure, defined as the insurance cost to protect against distressed losses in a banking system, is a risk-neutral concept of capital based on publicly available information that can be appropriately aggregated across different subsets. An application of our methodology to a portfolio of twenty-two major banks in Asia ...
Finance and Economics Discussion Series , Paper 2009-44

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