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Documents are displayed in order of relevance.
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Federal Reserve Board - The Pandemic's Impact on Credit Risk: Averted or Delayed? Accessible Data
Risk: Averted or Delayed? Accessible Data Figure 1a. Commercial Real Estate...risk based capital, ranging between 0% to 200% and one for commercial
URL: https://www.federalreserve.gov/econres/notes/feds-notes/the-pandemics-impact-on-credit-risk-averted-or-delayed-accessible-20210730.htm
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The Fed - Bayesian Analysis of Stochastic Volatility Models with Lévy Jumps: Application to Risk Analysis
Risk Analysis Pawel J. Szerszen Abstract: In this paper I analyze a broad
URL: https://www.federalreserve.gov/econres/feds/bayesian-analysis-of-stochastic-volatility-models-with-l233vy-jumps-application-to-risk-analysis.htm
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The Fed - Household Welfare, Precautionary Saving, and Social Insurance under Multiple Sources of Risk
Risk Ivan Vidangos Abstract: This paper assesses the quantitative importance...risk for household welfare and precautionary saving. To that end I construct
URL: https://www.federalreserve.gov/econres/feds/household-welfare-precautionary-saving-and-social-insurance-under-multiple-sources-of-risk.htm
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The Fed - Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
Risk Premia: Statistical Inference and International Evidence Tim Bollerslev...risk premium, or the difference between risk-neutral and statistical expectations
URL: https://www.federalreserve.gov/econres/feds/stock-return-predictability-and-variance-risk-premia-statistical-inference-and-international-evidence.htm
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Basel II Capital Accord - Notice of proposed rulemaking (NPR) - Proposed Regulatory Text - Part V - Risk-Weighted Assets for Securitization Exposures
Risk-Weighted Assets for General Credit Risk Part V Risk-Weighted Assets...risk mitigant is financial collateral, an eligible credit derivative from
URL: https://www.federalreserve.gov/GeneralInfo/Basel2/NPR_20060905/NPR/part_5.htm
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The Fed - Excess Returns and Risk at the Long End of the Treasury Market: An Egarch-M Approach
Risk at the Long End of the Treasury Market: An Egarch-M Approach Allan
URL: https://www.federalreserve.gov/econres/ifdp/excess-returns-and-risk-at-the-long-end-of-the-treasury-market-an-egarch-m-approach.htm
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Federal Reserve Board - Addendum to Credit Risk Management Guidance for Home Equity Lending
Risk Management Guidance for Home Equity Lending Office of the Comptroller...Risk Management Guidance for Home Equity Lending (interagency HE lending
URL: https://www.federalreserve.gov/newsevents/pressreleases/bcreg20060929aa.htm
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The Fed - Identification and Estimation of Risk Aversion in First Price Auctions With Unobserved Auction Heterogeneity
Risk Aversion in First Price Auctions With Unobserved Auction Heterogeneity...risk neutral, but we would reject risk neutrality without accounting for
URL: https://www.federalreserve.gov/econres/feds/identification-and-estimation-of-risk-aversion-in-first-price-auctions-with-unobserved-auction-heterogeneity.htm
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The Fed - Improving Grid-Based Methods for Estimating Value at Risk of Fixed-Income Portfolios
Risk of Fixed-Income Portfolios Michael S. Gibson and Matthew Pritsker...Risk (VaR) for fixed-income portfolios. Their method relies on two simplifications
URL: https://www.federalreserve.gov/econres/feds/improving-grid-based-methods-for-estimating-value-at-risk-of-fixed-income-portfolios.htm
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The Fed - Corporate Governance and Risk Management at Unprotected Banks: National Banks in the 1890s
risk, and methods of risk management. Formal corporate governance is lower...risk preferences, bank failures, risk shifting, adverse selection PDF:
URL: https://www.federalreserve.gov/econres/feds/corporate-governance-and-risk-management-at-unprotected-banks-national-banks-in-the-1890s.htm
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