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Results for “crisis” · papers 2 · wiki 24
Academic Papers · 2arXiv q-fin live 0 · desk corpus 2
arXiv · arXiv · 2018

Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs

In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze classical Cox-Ingersoll-Ross and Vasicek multi-factor models, with a focus on optimization algorithms applied in the calibration exercise. The Kalman filter algorithm together with a maximum likelihood estimation method are considered to f…

Michele Leonardo Bianchi
Open in CodexSource →PDF
arXiv · arXiv · 2024

An Exploration to the Correlation Structure and Clustering of Macroeconomic Variables

As a quantitative characterization of the complicated economy, Macroeconomic Variables (MEVs), including GDP, inflation, unemployment, income, spending, interest rate, etc., are playing a crucial role in banks' portfolio management and stress testing exercise. In recent years, especially during the COVID-19 period and the current high inflation environment, people are frequently talking about the changing "correlatio…

Garvit Arora, Shubhangi Tiwari, Ying Wu, Xuan Mei
Open in CodexSource →PDF
Wiki Entities · 24
CTA

Crisis Alpha

Crisis alpha is return earned from persistent trends that form after a market crisis starts — not a prediction of the crash day, and not a put that pays on a two-day dip.

CTA

CTA Mean Reversion

Fade stretched moves in futures over short horizons — the anti-trend sleeve that makes money in ranges and loses when a crisis trend persists.

CTA

Long-Term Trend Following

Slow trend: lookbacks of roughly 6–12 months, low turnover, fewer whipsaws, later entries, and the bulk of classic CTA crisis convexity.

Financial Crises

Argentine Crisis 2001

Argentina’s 2001–02 collapse ended the convertibility 1:1 peg with default, corralito, and a violent real devaluation — a political-economy crisis of an overvalued peg.

Financial Crises

Asian Financial Crisis 1997

The 1997–98 Asian crisis was a sequence of peg breaks, bank runs, and sudden stops starting in Thailand — short-dollar corporate debt plus weak bank regulation meeting a reversal of carry.

Financial Crises

Barings 1995

Barings Bank was wiped out in 1995 by Nick Leeson’s hidden Nikkei futures losses in Singapore — a rogue-trader plus failed control story, not a macro crisis.

Financial Crises

COVID Crash 2020

The February–March 2020 COVID crash was a dash-for-cash that hit even Treasuries, ended by an unprecedented joint monetary-fiscal backstop — a health shock that became a market-function crisis.

Financial Crises

Cyprus Crisis 2013

Cyprus 2013 combined a Greek-PSI hole in bank assets with a huge banking system versus GDP and ended in bail-in, capital controls, and a depositor haircut above insurance — a euro-area first.

Financial Crises

Dot-Com Crash 2000

The 2000–02 dot-com crash was an equity-valuation collapse after a narrative IPO bubble — brutal for NASDAQ, milder as a banking crisis because leverage sat more in households and corporates than in dealer warehousing of the story.

Financial Crises

ERM Crisis 1992

The 1992–93 ERM crisis (Black Wednesday in the UK) was a trilemma event: fixed parities, free capital, and a Bundesbank that would not ease for the periphery.

Financial Crises

European Sovereign Debt Crisis 2010

The euro-area sovereign crisis (2010–12) was a doom loop of weak banks and weak sovereigns inside a currency union without a joint fiscal or a trusted LOLR — until OMT and ‘whatever it takes.’

Financial Crises

Evergrande / China Property 2021

Evergrande’s 2021 missed payments opened a still-running Chinese property and LGFV credit squeeze — a developer-leverage and pre-sale trust crisis under a political deleveraging campaign.

Financial Crises

Global Financial Crisis 2008

The 2007–09 global financial crisis was a wholesale-run on securitized credit and dealer balance sheets after US housing turned — the modern template for shadow-bank runs, fire sales, and a central-bank-as-market-maker.

Financial Crises

Great Depression 1929

The Great Depression was a multi-year collapse of output, prices, and banks after the 1929 crash, amplified by the gold standard, Fed errors, and a wave of bank failures — the defining 20th-century crisis.

Financial Crises

Latin American Debt Crisis 1982

The 1982 Latin American debt crisis began when Mexico, then others, could not roll dollar syndicated loans after Volcker’s rate shock — a sudden stop of bank credit that became a lost decade.

Financial Crises

Nordic Banking Crisis 1990s

Sweden, Finland, and Norway’s early-1990s banking crises followed financial liberalization, a real-estate boom, and a peg-defense rate shock — a clean ‘credit boom gone wrong’ that ended in nationalization and bad banks.

Financial Crises

Panic of 1907

The Panic of 1907 was a New York trust-company run after a failed copper corner, stopped by a private J.P. Morgan syndicate — the crisis that created the Federal Reserve.

Financial Crises

Savings and Loan Crisis

The US S&L crisis was a 1980s–early-1990s wave of thrift failures after rate shock, moral hazard, and regulatory forbearance — resolved by RTC at a large fiscal cost.

Financial Crises

SVB / Regional Bank Crisis 2023

March 2023’s US regional-bank crisis (SVB, Signature, First Republic) was a social-media deposit run on duration-mismatched, uninsured-deposit franchises — 1980s S&L math plus a Twitter fuse.

Financial Crises

Tequila Crisis 1994

Mexico’s 1994–95 tequila crisis was a devaluation-and-tesobono run after political shocks and a crawling peg that had become incredible — the first big 1990s EM capital-account crisis.

Financial Crises

UK LDI Gilt Crisis 2022

September 2022’s UK gilt crash was a liability-driven-investment margin spiral: leveraged duration in pension LDI funds met a fiscal shock and forced gilt sales until the BoE bought the market.

FX

Balance of Payments Crisis

Balance of Payments Crisis — Sudden stop in capital flows forcing adjustment through FX, rates, or austerity.

Macro Policy

Emergency Liquidity Facility

Emergency Liquidity Facility — Standing and ad-hoc facilities that reveal where stress is concentrated in the financial system.

Rates

Bank Term Funding Program Legacy

Bank Term Funding Program Legacy — Crisis facility allowing par advances against securities.

Option Blackboard · 0
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Encyclopedia · 23
Financial Crises · Foundations

Argentine Crisis 2001

Argentina’s 2001–02 collapse ended the convertibility 1:1 peg with default, corralito, and a violent real devaluation — a political-economy crisis of an overvalued peg.

Financial Crises · Foundations

Asian Financial Crisis 1997

The 1997–98 Asian crisis was a sequence of peg breaks, bank runs, and sudden stops starting in Thailand — short-dollar corporate debt plus weak bank regulation meeting a reversal of carry.

FX · Foundations

Balance of Payments Crisis

Balance of Payments Crisis — Sudden stop in capital flows forcing adjustment through FX, rates, or austerity.

Rates · Foundations

Bank Term Funding Program Legacy

Bank Term Funding Program Legacy — Crisis facility allowing par advances against securities.

Financial Crises · Foundations

Barings 1995

Barings Bank was wiped out in 1995 by Nick Leeson’s hidden Nikkei futures losses in Singapore — a rogue-trader plus failed control story, not a macro crisis.

Financial Crises · Foundations

COVID Crash 2020

The February–March 2020 COVID crash was a dash-for-cash that hit even Treasuries, ended by an unprecedented joint monetary-fiscal backstop — a health shock that became a market-function crisis.

CTA · Foundations

Crisis Alpha

Crisis alpha is return earned from persistent trends that form after a market crisis starts — not a prediction of the crash day, and not a put that pays on a two-day dip.

CTA · Foundations

CTA Mean Reversion

Fade stretched moves in futures over short horizons — the anti-trend sleeve that makes money in ranges and loses when a crisis trend persists.

Financial Crises · Foundations

Cyprus Crisis 2013

Cyprus 2013 combined a Greek-PSI hole in bank assets with a huge banking system versus GDP and ended in bail-in, capital controls, and a depositor haircut above insurance — a euro-area first.

Financial Crises · Foundations

Dot-Com Crash 2000

The 2000–02 dot-com crash was an equity-valuation collapse after a narrative IPO bubble — brutal for NASDAQ, milder as a banking crisis because leverage sat more in households and corporates than in dealer warehousing of the story.

Financial Crises · Foundations

ERM Crisis 1992

The 1992–93 ERM crisis (Black Wednesday in the UK) was a trilemma event: fixed parities, free capital, and a Bundesbank that would not ease for the periphery.

Financial Crises · Foundations

European Sovereign Debt Crisis 2010

The euro-area sovereign crisis (2010–12) was a doom loop of weak banks and weak sovereigns inside a currency union without a joint fiscal or a trusted LOLR — until OMT and ‘whatever it takes.’

Financial Crises · Foundations

Evergrande / China Property 2021

Evergrande’s 2021 missed payments opened a still-running Chinese property and LGFV credit squeeze — a developer-leverage and pre-sale trust crisis under a political deleveraging campaign.

Financial Crises · Foundations

Global Financial Crisis 2008

The 2007–09 global financial crisis was a wholesale-run on securitized credit and dealer balance sheets after US housing turned — the modern template for shadow-bank runs, fire sales, and a central-bank-as-market-maker.

Financial Crises · Foundations

Great Depression 1929

The Great Depression was a multi-year collapse of output, prices, and banks after the 1929 crash, amplified by the gold standard, Fed errors, and a wave of bank failures — the defining 20th-century crisis.

Financial Crises · Foundations

Latin American Debt Crisis 1982

The 1982 Latin American debt crisis began when Mexico, then others, could not roll dollar syndicated loans after Volcker’s rate shock — a sudden stop of bank credit that became a lost decade.

CTA · Foundations

Long-Term Trend Following

Slow trend: lookbacks of roughly 6–12 months, low turnover, fewer whipsaws, later entries, and the bulk of classic CTA crisis convexity.

Financial Crises · Foundations

Nordic Banking Crisis 1990s

Sweden, Finland, and Norway’s early-1990s banking crises followed financial liberalization, a real-estate boom, and a peg-defense rate shock — a clean ‘credit boom gone wrong’ that ended in nationalization and bad banks.

Financial Crises · Foundations

Panic of 1907

The Panic of 1907 was a New York trust-company run after a failed copper corner, stopped by a private J.P. Morgan syndicate — the crisis that created the Federal Reserve.

Financial Crises · Foundations

Savings and Loan Crisis

The US S&L crisis was a 1980s–early-1990s wave of thrift failures after rate shock, moral hazard, and regulatory forbearance — resolved by RTC at a large fiscal cost.

Financial Crises · Foundations

SVB / Regional Bank Crisis 2023

March 2023’s US regional-bank crisis (SVB, Signature, First Republic) was a social-media deposit run on duration-mismatched, uninsured-deposit franchises — 1980s S&L math plus a Twitter fuse.

Financial Crises · Foundations

Tequila Crisis 1994

Mexico’s 1994–95 tequila crisis was a devaluation-and-tesobono run after political shocks and a crawling peg that had become incredible — the first big 1990s EM capital-account crisis.

Financial Crises · Foundations

UK LDI Gilt Crisis 2022

September 2022’s UK gilt crash was a liability-driven-investment margin spiral: leveraged duration in pension LDI funds met a fiscal shock and forced gilt sales until the BoE bought the market.

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