The Global Economy Barbara Keys; Til Schuermann
Fourteen Points for the Twenty-First Century,
05/2020
Book Chapter
The global economy is much like the sleek yachts that race in the America’s Cup. Agile and highly engineered, the sailboats move with astonishing speed—but they also capsize easily. The global ...economy, too, runs at stunning speeds, with information and capital traveling across borders in the blink of an eye. But like racing yachts, a global economic system designed for speed and efficiency is fragile. Today the global economy is vulnerable to shocks of devastating severity, and since the 1970s, the trend had been toward increasing vulnerability. The same interconnections that make the system so efficient also make it
This substantial volume has two principal objectives. First it provides an overview of the statistical foundations of Simulation-based inference. This includes the summary and synthesis of the many ...concepts and results extant in the theoretical literature, the different classes of problems and estimators, the asymptotic properties of these estimators, as well as descriptions of the different simulators in use. Second, the volume provides empirical and operational examples of SBI methods. Often what is missing, even in existing applied papers, are operational issues. Which simulator works best for which problem and why? This volume will explicitly address the important numerical and computational issues in SBI which are not covered comprehensively in the existing literature. Examples of such issues are: comparisons with existing tractable methods, number of replications needed for robust results, choice of instruments, simulation noise and bias as well as efficiency loss in practice.
Stress testing served us well as a crisis management tool, and we see it applied increasingly to peacetime oversight of banks and banking systems. Stress testing is rapidly become the dominant ...supervisory tool on both sides of the Atlantic. Yet the objectives and certainly the conditions are quite different, and to date we see a range of practices across jurisdictions. Stress testing has proved to be enormously useful, not just for the supervisors but also for the banks. Using a simple taxonomy of stress testing--scenario design, models and projections, and disclosure--I analyze some of those different approaches with a view to examining how wartime stress testing can be adapted to peacetime concerns.
We examine the question of deposit insurance through the lens of risk management by constructing the loss distribution faced by the Federal Deposit Insurance Corporation (FDIC). We take a novel ...approach by arguing that the risk management problem faced by the FDIC is similar to that of a bank managing a loan portfolio, only in the FDIC's case the risk arises from the potential for loss of the individual banks in its portfolio. We explicitly estimate the cumulative loss distribution of FDIC insured banks using two variations of the Merton model and find that reserves are sufficient to cover roughly 99.85% of the loss distribution, corresponding to about a BBB+ rating. However, under different stress scenarios (higher correlations, fat-tailed bank returns, increased loss severity) that level can be much lower: approximately 96% corresponding to about a B+ rating. PUBLICATION ABSTRACT
Rejoinder Pesaran, M. Hashem; Schuermann, Til; Weiner, Scott M
Journal of business & economic statistics,
20/4/1/, Letnik:
22, Številka:
2
Journal Article
Rejoinder M Hashem Pesaran; Schuermann, Til; Weiner, Scott M
Journal of business & economic statistics,
04/2004, Letnik:
22, Številka:
2
Journal Article
Recenzirano
Although there is obviously some overlap between the discussants in the issues that they raise, each has brought his distinct expertise and experience to bear on the authors' work on GVAR modeling. ...The discussants also raise a number of important technical and practical issues that clearly merit further investigation. These include mathematical details that underlie the weak exogeniety assumption, the use of small-sample corrections raised by Johansen, the issue of allowing for feedback from macroeconomic variables to the trade weights mentioned by Baltagi, Wallis's desire to see comparative evidence of out-of-sample point and density forecasts, and Dennis and Lopez's call for more detailed structural modeling capable of incorporating stock-flow relationships in an explicit manner.
Rejoinder Pesaran, M. Hashem; Schuermann, Til; Weiner, Scott M
Journal of business & economic statistics,
04/2004, Letnik:
22, Številka:
2
Journal Article
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