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Financial Crisis: Estimating the Risk of Assets in Balance

Author

Listed:
  • Giovanni BARONE-ADESI

    (University of Lugano and Swiss Finance Institute)

  • Giuseppe CORVASCE

    (University of Lugano and 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).

Suggested Citation

  • Giovanni BARONE-ADESI & Giuseppe CORVASCE, 2009. "Financial Crisis: Estimating the Risk of Assets in Balance," Swiss Finance Institute Research Paper Series 09-21, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp0921
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    More about this item

    Keywords

    Financial Institutions; Spectral Measure; Filtered Historical Simulation;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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