- 10 Dec 2015
- Working Paper Summaries
The Probability of Rare Disasters: Estimation and Implications
Emil Siriwardane analyzes the probability for risk of large-scale financial disasters.
- 11 Aug 2015
- Working Paper Summaries
Structural GARCH: The Volatility-Leverage Connection
The financial crisis revealed the damaging role of financial market leverage on the economy. Even so, it is far from clear that reducing this leverage will stabilize the real economy, let alone stabilize the financial sector. A critical question remaining is how much reduction in equity volatility can be expected from reductions in leverage. To answer this question, the authors provide an econometric approach to disentangle the effects of leverage on equity volatility. Their framework has applications in measuring credit spreads, improving risk management, and assessing the impact of capital injections on financial sector risk. Closed for comment; 0 Comments.
How do Private Equity Fees Vary Across Public Pensions?
As state and local defined-benefit pensions increasingly shift capital from traditional asset classes to private-market investment vehicles, this analysis shows that public pensions investing in the same private-market fund can experience very different returns.
A Measure of Risk Appetite for the Macroeconomy
This paper sheds new light on connections between financial markets and the macroeconomy. It shows that investors’ appetite for risk—revealed by common movements in the pricing of volatile securities—helps determine economic outcomes and real interest rates.