Far out in the tails – The historical distributions of macro-financial risk factors in Denmark

Kim Abildgren

Nationaløkonomisk tidsskrift, 2014, vol. 2014, issue 1, 31

Abstract: The macro stress tests used by the authorities in many countries prior to the most recent financial crisis did not pay sufficient attention to low-probability but high-consequence scenarios. Economic history is rich on extreme events which we illustrate by taking a closer look at the frequency and magnitude of extreme events in the economic history of Denmark. We suggest using distributions of macro-financial risk factors based on long-span historical time series as inspiration in relation to low-probability scenarios in macro stress tests.

Keywords: macro-finance (search for similar items in EconPapers)
JEL-codes: A10 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:jdaecn:0029

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