20th Street and Constitution Avenue NW
Washington, DC 20551
Board of Governors of the Federal Reserve System
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Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data
Stress testing, systemic risk, insurance premium, default probability, credit default swap spread, high-frequency data, asset return correlation
Distress Insurance Premium, Systemic Risk, Macroprudential Regulation, Large Complex Financial Institution, Too-Big-to-Fail, Too-Connected-to-Fail.
Systemic risk, Macroprudential regulation, Portfolio distress loss, Credit default swap, Dynamic conditional correlation
Realized variance, quadratic variation, bipower variation, stochastic volatility
bipower variation, quadratic variation, realized variance, stochastic volatility
Stochastic Volatility, Realized Variation, Bipower Variation, Jumps, Hazard Rates, Overnight Volatility
Macroeconomic news announcements, realized variance, jumps, disagreement and uncertainty, economic derivatives, financial systemic risk
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