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Keywords:Risk management 

Working Paper
The asset-correlation parameter in Basel II for mortgages on single-family residences

Basel II White Paper , Paper 5

Speech
The egocentricity of the present (prefaced by the tale of Ruth and Emma)

"In building the bridge to restore financial order and efficiency, my primary interest is to do the minimum necessary to get the job done. And no more. In so doing, my hope is that we restore the long-term faith of the millions of risk takers who make our economy so mighty." ; Remarks before a Federal Reserve Bank of Dallas Community Forum, San Antonio, Texas, April 9, 2008.
Speeches and Essays , Paper 30

Working Paper
Specification analysis of structural credit risk models

In this paper we conduct a specification analysis of structural credit risk models, using term structure of credit default swap (CDS) spreads and equity volatility from high-frequency return data. Our study provides consistent econometric estimation of the pricing model parameters and specification tests based on the joint behavior of time-series asset dynamics and cross-sectional pricing errors. Our empirical tests reject strongly the standard Merton (1974) model, the Black and Cox (1976) barrier model, and the Longstaff and Schwartz (1995) model with stochastic interest rates. The double ...
Finance and Economics Discussion Series , Paper 2008-55

Working Paper
A framework for assessing the systemic risk of major financial institutions

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return correlations. Importantly, using realized correlations estimated from high-frequency equity return data can significantly improve the accuracy of forecasted correlations. Our stress testing methodology, using an integrated micro-macro model, takes into account dynamic ...
Finance and Economics Discussion Series , Paper 2009-37

Journal Article
Hedging interest rate risk with financial futures: some basic principles

Review , Volume 66 , Issue Oct , Pages 15-25

Speech
Supervisory reform for global banks

Remarks at the Center for Transnational Legal Studies Seminar on the Impact of U.S. Regulatory Reform on Global Banks, New York City.
Speech , Paper 96

Journal Article
Current topics: credit risk outlook for 2013 ; municipal bond credit risk management;Bank Secrecy Act/anti-money laundering & office of financial assets control violations

The Federal Reserve Bank of Chicago's supervision group follows current and emerging risk trends on an on-going basis. This Risk Perspectives newsletter is designed to highlight a few current risk topics and some potential risk topics on the horizon for the Seventh District and its supervised financial institutions. The newsletter is not intended as an exhaustive list of the current or potential risk topics and should not be relied upon as such. We encourage each of our supervised financial institutions to remain informed about current and potential risks to its institution.
Risk Perspectives , Issue 4th Q

Working Paper
Unemployment Risk

Fluctuations in upside risks to unemployment over the medium term are examined using quantile regressions. U.S. experience reveals an elevated risk of large increases in unemployment when inflation or credit growth is high and when the unemployment rate is low. Inflation was a significant contributor to unemployment risk in the 1970s and early 1980s, and fluctuations in credit have contributed importantly to unemployment risk since the 1980s. Fluctuations in upside risk to unemployment are larger than fluctuations in the median outlook or downside risk to unemployment. Accounting for ...
Finance and Economics Discussion Series , Paper 2018-067

Conference Paper
Heterogeneous beliefs, trading risk, and the equity premium

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