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Default risk in agricultural lending, the effects of commodity price volatility and climate
16 references·0 citing·44 second hop
Default risk in agricultural lending, the effects of commodity price volatility and climate (2014)Default risk in agricultural lending, the…Modeling frailty-correlated defaults using many macroeconomic covariates (2011)Modeling frailty-correlated d…Food price volatility (2010)Food price volatilityCommodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy (2009)Commodities and Commodity Der…A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk (2008)A Non-Gaussian Panel Time Ser…Maximum Likelihood Estimate of Default Correlations (2007)Maximum Likelihood Estimate o…Dependent credit migrations (2006)Dependent credit migrationsCredit Risk Models and Agricultural Lending (2005)Credit Risk Models and Agricu…Business and default cycles for credit risk (2005)Business and default cycles f…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Conditional value-at-risk: Aspects of modeling and estimation (2001)Conditional value-at-risk: As…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Essays in Positive Economics (1954)Commodity volatility breaks (2012)Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2013)Dynamic spillovers among major energy and cereal commodity prices (2014)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Credit Cycles (1997)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The multi-state latent factor intensity model for credit rating transitions (2007)Credit cycles and macro fundamentals (2008)Correlation in corporate defaults: Contagion or conditional independence? (2010)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Valuation of energy storage: an optimal switching approach (2009)Should investors include commodities in their portfolios after all? New evidence (2011)Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis (2017)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
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  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 2010Food price volatility428 cited
  • 2009Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy302 cited
  • 2005Business and default cycles for credit risk188 cited
  • 2001Conditional value-at-risk: Aspects of modeling and estimation170 cited
  • 2011Modeling frailty-correlated defaults using many macroeconomic covariates113 cited
  • 2008A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk75 cited
  • 2005Credit Risk Models and Agricultural Lending71 cited
  • 2006Dependent credit migrations47 cited

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  • 2007Maximum Likelihood Estimate of Default Correlations33 cited
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