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Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(2013-04-18)
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...
Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?
(2014-12-14)
We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ...
Insurance Activities and Systemic Risk
(2015-12-01)
This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the insurance industry vis-à-vis other industries by applying 3 measures, namely the linear Granger causality ...
Systemic risk for financial institutions of major petroleum-based economies: The role of oil
(2017-11-05)
This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ...
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
(2018-11-01)
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
FRED
Federal Reserve Economic Data (FRED) is a database maintained by the Research division of the Federal Reserve Bank of St. Louisthat has more than 500,000 economic time series from 87 sources. The data can be viewed in ...
OptionMetrics
OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...
FRB
The Federal Reserve System is the central bank of the United States. It performs five general functions to promote the effective operation of the U.S. economy and, more generally, the public interest.
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 ...