The Experts below are selected from a list of 27525 Experts worldwide ranked by ideXlab platform

Greg Kaplan - One of the best experts on this subject based on the ideXlab platform.

  • moving back home insurance against labor Market Risk
    Journal of Political Economy, 2012
    Co-Authors: Greg Kaplan
    Abstract:

    This paper demonstrates that the option to move in and out of the parental home is a valuable insurance channel against labor Market Risk, which facilitates the pursuit of jobs with the potential for high earnings growth. Using monthly panel data, I document an empirical relationship among coresidence, individual labor Market events, and subsequent earnings growth. I estimate the parameters of a dynamic game between youths and parents to show that the option to live at home can account for features of aggregate data for low-skilled young workers: small consumption responses to shocks, high labor elasticities, and low savings rates.

Francis X Diebold - One of the best experts on this subject based on the ideXlab platform.

  • modeling liquidity Risk with implications for traditional Market Risk measurement and management
    2008
    Co-Authors: Anil Bangia, Francis X Diebold, Til Schuermann, John D Stroughair
    Abstract:

    Market Risk management traditionally has focussed on the distribution of portfolio value changes resulting from moves in the midpoint of bid and ask prices. Hence the Market Risk is really in a “pure” form: Risk in an idealized Market with no “friction” in obtaining the fair price. However, many Markets possess an additional liquidity component that arises from a trader not realizing the mid-price when liquidating her position, but rather the mid-price minus the bid-ask spread. We argue that liquidity Risk associated with the uncertainty of the spread, particularly for thinly traded or emerging Market securities under adverse Market conditions, is an important part of overall Risk and is therefore an important component to model.

  • practical volatility and correlation modeling for financial Market Risk management
    National Bureau of Economic Research, 2005
    Co-Authors: Torben G Andersen, Tim Bollerslev, Peter Christoffersen, Francis X Diebold
    Abstract:

    What do academics have to offer Market Risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of Market Risk. Clearly, the demands of real-world Risk management in financial institutions - in particular, real-time Risk tracking in very high-dimensional situations - impose strict limits on model complexity. Hence we stress parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved Market Risk management technologies that draw on the best of both worlds.

Dirk Horing - One of the best experts on this subject based on the ideXlab platform.

  • will solvency ii Market Risk requirements bite the impact of solvency ii on insurers asset allocation
    Geneva Papers on Risk and Insurance-issues and Practice, 2013
    Co-Authors: Dirk Horing
    Abstract:

    The European insurance industry is among the largest institutional investors in Europe. Therefore, major reallocations in their investment portfolios due to the new Risk-based economic capital requirements introduced by Solvency II would cause significant disruptions in European capital Markets and corporate financing. This paper studies whether the new regulatory capital requirements for Market Risk are a binding constraint for European insurers by comparing the required Market Risk capital of the Solvency II standard model with the Standard & Poor's rating model for a fictitious, but representative, European-based life insurer. The results show that for a comparable level of confidence, the rating model requires 68 per cent more capital than the standard model for the same Market Risks. Hence, Solvency II seems not to be a binding capital constraint for Market Risk and thus would not significantly influence the insurance companies’ investment strategies.

Guo Yan-chun - One of the best experts on this subject based on the ideXlab platform.

Torben G Andersen - One of the best experts on this subject based on the ideXlab platform.

  • practical volatility and correlation modeling for financial Market Risk management
    National Bureau of Economic Research, 2005
    Co-Authors: Torben G Andersen, Tim Bollerslev, Peter Christoffersen, Francis X Diebold
    Abstract:

    What do academics have to offer Market Risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of Market Risk. Clearly, the demands of real-world Risk management in financial institutions - in particular, real-time Risk tracking in very high-dimensional situations - impose strict limits on model complexity. Hence we stress parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved Market Risk management technologies that draw on the best of both worlds.