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...
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...