Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis
“In this paper we propose efficient #bayesian Hamiltonian #montecarlo method for estimation of #systemicrisk #measures , LRMES, SRISK and ΔCoVaR, and apply it for thirty global systemically important banks and for eighteen largest #us #financialinstitutions over the period of 2000-2020. The systemic risk measures are computed based on the Dynamic Conditional Correlations model with generalized asymmetric #volatility. A policymaker may choose to rank the firms using some quantile of […]
International Political Uncertainty and Climate Risk Premium
“… we uncover the new evidence on how political uncertainty affects the riskiness of firms with high exposure to climate risk.” Lire