Washington, DC 20551
Federal Reserve Board
in Total Papers Downloads
in Total Papers Citations
Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability
Management Turnover, Performance, Ownership Concentration
Credit derivatives, credit risk, collateralized debt obligation
Credit risk, credit index tranches, counterparty risk, rating agencies, model risk
Counterparty risk, collateral, margin, derivatives
Specific risk, market risk, jump risk, jump diffusion, default risk
risk management, stress test scenarios, G-10 central banks
Scenario simulation, principal components, partial least squares, Monte Carlo
banks, stress testing
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