Search Results
Documents are displayed in order of relevance.
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The Fed - Specification Analysis of Structural Credit Risk Models
Risk Models Jing-zhi Huang and Hao Zhou Abstract: In this paper we conduct...risk models, using term structure of credit default swap (CDS) spreads
URL: https://www.federalreserve.gov/econres/feds/specification-analysis-of-structural-credit-risk-models.htm
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The Fed - Sectoral Allocation, Risk Efficiency and the Great Moderation
Risk Efficiency and the Great Moderation Manjola Tase Abstract: This paper...risk efficient and more diversified sectoral allocations. Using a portfolio
URL: https://www.federalreserve.gov/econres/feds/sectoral-allocation-risk-efficiency-and-the-great-moderation.htm
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The Fed - Credit-Crunch Dynamics with Uninsured Investment Risk
Risk Jonathan E. Goldberg Abstract: I study the effects of credit tightening...risk, business cycles, risk-free rates PDF: Full Paper
URL: https://www.federalreserve.gov/econres/feds/credit-crunch-dynamics-with-uninsured-investment-risk.htm
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The Fed - Optimal Capital Taxation with Idiosyncratic Investment Risk
Risk Vasia Panousi and Catarina Reis Abstract: We examine the optimal ...risk. Furthermore, when the amount of idiosyncratic risk in the economy
URL: https://www.federalreserve.gov/econres/feds/optimal-capital-taxation-with-idiosyncratic-investment-risk.htm
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The Fed - The Properties of Income Risk in Privately Held Businesses
Risk in Privately Held Businesses Jason DeBacker, Bradley Heim, Vasia ...risk from privately held businesses in the US. Using a new, large, and
URL: https://www.federalreserve.gov/econres/feds/the-properties-of-income-risk-in-privately-held-businesses.htm
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The Fed - Bank Risk Ratings and the Pricing of Agricultural Loans
Risk Ratings and the Pricing of Agricultural Loans Nick Walraven and Peter...risk ratings by commercial banks that participated in the Federal Reserve's
URL: https://www.federalreserve.gov/econres/feds/bank-risk-ratings-and-the-pricing-of-agricultural-loans.htm
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The Fed - Bond Risk Premia and Realized Jump Volatility
Risk Premia and Realized Jump Volatility Jonathan Wright and Hao Zhou ...risk to a regression of excess bond returns on the term structure of forward
URL: https://www.federalreserve.gov/econres/feds/bond-risk-premia-and-realized-jump-volatility.htm
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The Fed - Derivatives Pricing under Bilateral Counterparty Risk
Risk Peter Carr and Samim Ghamami Abstract: We consider risk-neutral valuation...Risk, Credit Value Adjustment, Reduced-Form Modeling, Wrong Way Risk DOI
URL: https://www.federalreserve.gov/econres/feds/derivatives-pricing-under-bilateral-counterparty-risk.htm
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The Fed - Expected Stock Returns and Variance Risk Premia
risk and risk-aversion both play an important role in determining stock...Risk Premium, Variance Risk Premium, Time-Varying Risk Aversion PDF: Full
URL: https://www.federalreserve.gov/econres/feds/expected-stock-returns-and-variance-risk-premia.htm
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The Fed - How Much Does Risk Tolerance Change?
risk aversion and career selection based on preferences. While risk tolerance...Risk tolerance, risk aversion, correlated random effects, interval regression
URL: https://www.federalreserve.gov/econres/feds/how-much-does-risk-tolerance-change.htm
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