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27 Results

Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach

Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li
In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system.

Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach

Staff Working Paper 2010-36 Sermin Gungor, Richard Luger
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.

Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis

Staff Working Paper 2007-13 David Bolder, Tiago Rubin
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.

Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model

Staff Working Paper 1999-19 John Knight, Fuchun Li, Mingwei Yuan
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]
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