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MONETARY POLICY EFFECTS ON FINANCIAL RISK PREMIA
financial risk premia monetary policy equilibrium model central bank
2011/8/21
The effect of monetary policy on financial risk premia is analysed in a simple general equilibrium model with sticky wages and an optimizing central bank. Analytical results show that equity risk prem...
Financial Numeracy, Net Worth, and Financial Management Skills: Client Characteristics That Differ Based on Financial Risk Tolerance
financial risk tolerance Financial Numeracy Financial Management Skills
2011/8/20
Financial advisors commonly observe important differences among current and prospective clients in terms of financial numeracy, net worth, and financial management skills. This study shows that these ...
Extreme Measures of Agricultural Financial Risk
Agricultural financial risk Spectral risk measures Expected Shortfall Value at Risk Extreme Value Theory
2011/3/31
Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk mea...
The Mission of the International Financial Risk Institute (IFRI) is to provide opportunities for senior risk practitioners, especially the Chief Risk Officers of the world’s major financial institutio...
Estimating financial risk measures for futures positions: a non-parametric approach
spectral risk alternative measures financial risk
2011/3/31
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular a...