Search Results
Documents are displayed in order of relevance.
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The Fed - Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty...risk premium that: (1) the variance difference measure predicts a significant
URL: https://www.federalreserve.gov/econres/feds/variance-risk-premia-asset-predictability-puzzles-and-macroeconomic-uncertainty.htm
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The Fed - How Accurate Are Value-at-Risk Models at Commercial Banks?
Value-at-Risk Models at Commercial Banks? Jeremy Berkowitz and James O'Brien...risk, portfolio model, value-at-risk, volatility PDF: Full Paper Disclaimer
URL: https://www.federalreserve.gov/econres/feds/how-accurate-are-value-at-risk-models-at-commercial-banks.htm
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The Fed - Credit Scoring and the Availability, Price, and Risk of Small Business Credit
Risk of Small Business Credit Allen N. Berger, W. Scott Frame, and Nathan...risk levels for small business credits under $100,000. These findings
URL: https://www.federalreserve.gov/econres/feds/credit-scoring-and-the-availability-price-and-risk-of-small-business-credit.htm
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The Fed - A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
Risk Zhaogang Song and Dacheng Xiu Abstract: Using prices of both S&P ...risk. While pointing out the joint pricing kernel is not identified nonparametrically
URL: https://www.federalreserve.gov/econres/feds/a-tale-of-two-option-markets-pricing-kernels-and-volatility-risk.htm
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The Fed - Litigation Risk, Strategic Disclosure and the Underpricing of Initial Public Offerings
Risk, Strategic Disclosure and the Underpricing of Initial Public Offerings...risk. This tradeoff explains a significant fraction of the variation in
URL: https://www.federalreserve.gov/econres/feds/litigation-risk-strategic-disclosure-and-the-underpricing-of-initial-public-offerings.htm
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The Fed - Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle
Risk Premiums in the Term Structure, and the Business Cycle Ravi Bansal
URL: https://www.federalreserve.gov/econres/feds/regime-shifts-risk-premiums-in-the-term-structure-and-the-business-cycle.htm
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The Fed - Risk-based Pricing of Interest Rates in Household Loan Markets
Risk-based Pricing of Interest Rates in Household Loan Markets Wendy Edelberg...high-risk households, the increases in their risk premiums implied that
URL: https://www.federalreserve.gov/econres/feds/risk-based-pricing-of-interest-rates-in-household-loan-markets.htm
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The Fed - The Equity Premium, Long-Run Risk, & Optimal Monetary Policy
Risk, & Optimal Monetary Policy Anthony M. Diercks Abstract: In this study...risk into account. Furthermore, the interest rate rule that comes closest
URL: https://www.federalreserve.gov/econres/feds/the-equity-premium-long-run-risk-ampamp-optimal-monetary-policy.htm
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The Fed - Macroeconomic Risk and Asset Pricing: Estimating the APT with Observable Factors
Risk and Asset Pricing: Estimating the APT with Observable Factors John...risk factors. The approach involves simultaneous estimation of the factor
URL: https://www.federalreserve.gov/econres/ifdp/macroeconomic-risk-and-asset-pricing-estimating-the-apt-with-observable-factors.htm
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The Fed - Relative Wealth Concerns, Executive Compensation, and Systemic Risk-Taking
Risk-Taking Qi Liu and Bo Sun Abstract: Given the recent empirical evidence...risk-taking, especially in periods of heightened risk. Keywords: Relative
URL: https://www.federalreserve.gov/econres/ifdp/relative-wealth-concerns-executive-compensation-and-systemic-risk-taking.htm
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