Financial Crisis: Estimating the Risk of Assets in Balance

Giovanni Barone-Adesi and Giuseppe Corvasce
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Giovanni Barone-Adesi: University of Lugano and Swiss Finance Institute
Giuseppe Corvasce: University of Lugano and Swiss Finance Institute

No 09-21, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We propose a model able to estimate the risk of assets in balance from aggregate data by introducing a prudential measure called Filtered Historical Spectral Asset Measure (FH - SAM). Our measure combines a model based method to simulate the evolution of volatility with model free method of distribution. It provides a robust methodology to simulate the evolution of risk. The paper extends the debate in the literature about the tools for estimating the risk of assets for a financial institution in case of distress and systemic risk (Stiglitz et al. 2002; Lucas and McDonald 2006).

Keywords: Financial Institutions; Spectral Measure; Filtered Historical Simulation (search for similar items in EconPapers)
JEL-codes: G01 G21 G32 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2009-09
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0921

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