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Banking x Econometric and Statistical Methods and Methodology: General x clear all

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Linda Allen, Turan G. Bali and Yi Tang.

in The Review of Financial Studies

October 2012; p ublished online September 2012 .

Journal Article. Subjects: Economics; Banking; Econometric and Statistical Methods and Methodology: General; Single Equation Models; Single Variables. 16037 words.

We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future...

The Geometric-VaR Backtesting Method

Denis Pelletier and Wei Wei.

in Journal of Financial Econometrics

September 2016; p ublished online July 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Banking; Corporate Governance. 8497 words.

This article develops a new test to evaluate value-at-risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a...