Auflistung nach JEL-Klassifizierung "C61"
Anzeige der Dokumente 1-9 von 9
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Assessing Systemic Fragility – a Probabilistic Perspective
(2014-10-01)We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic ... -
Bloomberg
Bloomberg offers a wide range of data on the world's leading public and private companies. Bloomberg database components includes: Stock price data, CDS and bond data, calculated ratios, financial accounts information; ... -
BLS
The Bureau of Labor Statistics measures labor market activity, working conditions, price changes, and productivity in the U.S. economy to support public and private decision making. -
Consumption-Portfolio Choice with Preferences for Cash
(2018-07-12)This paper studies a consumption-portfolio problem where money enters the agent's utility function. We solve the corresponding Hamilton-Jacobi-Bellman equation and provide closed-form solutions for the optimal consumption ... -
CRSP
Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the ... -
Datastream
Historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 8.5 million active economic indicators. It features 70 years of data, across 175 countries ... -
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ... -
Systemic Risk and Sovereign Debt in the Euro Area
(2013-12-13)We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ...