Author: Armanda Bastos SilvaPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
An analysis of empirical procedures for estimating systematic risk
Author: Armanda Bastos SilvaBias in Estimation of Systematic Risk and Its Implications for Tests of the CAPM
Author: Puneet HandaPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 52
Book Description
A Theoretical and Empirical Examination of the Determinants of Systematic Risk
Author: Carolyn M. CallahanPublisher:
ISBN:
Category : Corporation reports
Languages : en
Pages : 276
Book Description
Quantifying Systemic Risk
Author: Joseph G. HaubrichPublisher: University of Chicago Press
ISBN: 0226921964
Category : Business & Economics
Languages : en
Pages : 286
Book Description
In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Estimating Systematic Risk Under Extremely Adverse Market Conditions
Author: Maarten R. C Van OordtPublisher:
ISBN:
Category : Capital market
Languages : en
Pages : 40
Book Description
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties. Simulations show that our estimation method yields a lower mean squared error than regressions conditional on tail observations. In an empirical application we illustrate the better performance of our approach relative to the conditional regression approach in projecting the losses of industry-specific stock portfolios in the event of a market crash.
Heteroskedasticity and Estimation of Systematic Risk
Author: Alvin Lee StroynyMasters Abstracts
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 538
Book Description
Theoretical and Empirical Aspects of the Measurement of Systematic Risk for Securities and Portfolios
Author: Nancy L. JacobEmpirical Research on the German Capital Market
Author: Wolfgang BühlerPublisher: Springer Science & Business Media
ISBN: 3642586643
Category : Business & Economics
Languages : en
Pages : 321
Book Description
This collection of fifteen original articles results from a cooperative intensive program of research on the German capital market. The program objectives included the development of expertise in modern empirical methods in financial economics and the derivation of results that might be specific to the German capital market. The four parts of the book are dedicated to: - problems of market structure and organization - information and capital market - risk and return - futures and options Altogether, the book gives an overview of empirical research on capital markets in Germany and helps to understand their nature. It also shows the application of modern techniques in financial research.
Jumps and Betas
Author: Viktor TodorovPublisher:
ISBN:
Category :
Languages : en
Pages : 37
Book Description
We provide a new theoretical framework for disentangling and estimating sensitivity towards systematic diffusive and jump risks in the context of factor pricing models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the notion of increasingly finer sampled returns over fixed time intervals. In addition to establishing consistency of our estimators, we also derive Central Limit Theorems characterizing their asymptotic distributions. In an empirical application of the new procedures using high-frequency data for forty individual stocks and an aggregate market portfolio, we find the estimated diffusive and jump betas with respect to the market to be quite different for many of the stocks. Our findings have direct and important implications for empirical asset pricing finance and practical portfolio and risk management decisions.