Economics at your fingertips  

How CBO Estimates the Market Risk of Federal Credit Programs: Working Paper 2021-14

Michael Falkenheim and Wendy Kiska

No 57581, Working Papers from Congressional Budget Office

Abstract: Market risk is the component of financial risk that remains even after investors have diversified their portfolios as much as possible. Investors demand additional compensation to take on market risk. In that way, they can earn more than the return on Treasury securities, which are regarded as risk free, after netting out the average cost of default. The Congressional Budget Office supplements its formal cost estimates, which do not include the cost of market risk, with fair-value estimates, which include that cost. Because the fair-value cost of credit programs includes

JEL-codes: G10 G12 G18 H50 H81 H83 (search for similar items in EconPapers)
Date: 2021-11-16
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Papers from Congressional Budget Office Contact information at EDIRC.
Bibliographic data for series maintained by ().

Page updated 2022-10-08
Handle: RePEc:cbo:wpaper:57581