TAILIEUCHUNG - An algorithm exploiting episodes of inefficient asset pricing to derive a macro-foundation scaled metric for systemic risk: A time-series Martingale representation

This paper employs an event study, the Global Financial Crisis. Episodes of inefficient pricing, the externality, are exploited as a measure of systemic risk. The theoretical asset pricing model, the martingale representation, is shown to be a valid algorithm to identify episodes of efficient and inefficient pricing in time series. Systemic risk metrics are derived from episodes of inefficient pricing, utilizing a shadow volatility metric. The algorithm is forward looking, deriving macro-foundation metrics from actual agent market behavior. The algorithm provides precise risk metrics for magnitude and diffusion using US and Canadian treasury markets. Given the US dollar’s role as the de-facto world reserve currency, scaled metrics derived from the US treasury market provide a globalized systemic benchmark. The risk metrics signal the crisis buildup and calibrate around the crisis epicenter date of September 2008. The risk metrics are heuristically consistent with the stylized facts of financial crises and support the extraordinary US policy response to the crisis. The algorithm output is validated by time-series analysis. | An algorithm exploiting episodes of inefficient asset pricing to derive a macro-foundation scaled metric for systemic risk: A time-series Martingale representation

• Tài chính doanh nghiệp
• Systemic risk
• Time series
• Financial crises
• Asset pricing
• Systemic risk
• Summary of Doctoral thesis
• Summary of Doctoral thesis Finance Banking
• Impact of macroprudential policy
• Macroprudential policy on systemic risk
• Vietnam commercial banks
• Risk Maps
• Risk Management
• Quantitative Requirements
• Regulatory Mechanisms
• Insurance Risk
• Risk Transfer
• Catastrophic Events
• Systemic Issues
• Corporate Risk Management
• Macroprudential regulation
• Normative theory
• Macroprudential insurance regulation necessary
• Systemic relevance of the insurance industry
• Systemic autoimmune disease
• Interstitial lung disease
• Acute exacerbation
• Interstitial pneumonia
• Systemic sclerosis
• Financial risk management
• Institutional background
• Operational risk
• Financial disasters
• The systemic disaster
• Managing financial risk
• Model risk
• inviroment
• Hedge Funds
• business
• health
• children
• Market liquidity
• Illiquidity option
• Taiwans capital market
• BMC Pulmonary Medicine
• Pulmonary arterial hypertension
• Risk factors
• Preventative therapies
• Acute myocardial infarction
• Type 2 diabetes mellitus
• Maintaining oral hygiene
• Systemic diseases
• Systemic health
• Cystic fibrosis
• Systemic inflammation
• Risk factor
• Health outcomes
• Plasma inflammatory biomarkers
• Systemic artery to pulmonary artery fistulas
• Nonreversible arterial pulmonary hypertension
• Above mentioned risk factors
• BMC Anesthesiology
• Nerve stimulation
• Nerve block
• Local anesthetics systemic toxicity
• Identify associated risk factors
• Maturity Mismatch
• Risk Spillover
• Provision Mechanism
• Maturity Mismatches
• Global financial systems
• The great depression
• Banking crises
• The central bank
• The asian crisis
• BMC Pediatrics
• Systemic skeletal disease
• Modifiable risk factors
• Childhood cancer survivors
• Bone mineral density
• Intrauterine therapy
• Systemic therapy
• Hormonal therapy
• Metritis in cattle
• BMC Cancer
• Post operative pneumonia
• Hematological indicators
• Dominant systemic
• Hematological biochemical
• BMC Musculoskeletal Disorders
• Rheumatoid arthritis
• Active systemic inflammation
• Vertebral fracture
• Finance Banking
• Luận văn tài chính ngân hàng
• Credit Risk
• Commercial Bank of Vietnam
• Credit Risk Warning System
• Risk scores
• Systemic inflammatory response syndrome
• Published severity criteria
• Versus medical
• Demographic variables