WASHINGTON–The FBI is investigating four major U.S. financial institutions whose collapse helped trigger a $700 billion bailout plan by the Bush administration.
Two law enforcement officials said the FBI is looking at potential fraud by mortgage finance giants Fannie Mae (FNM: 1.74, +0.43, +32.82%) and Freddie Mac (FRE: 1.89, +0.57, +43.18%), Lehman Brothers Holdings Inc.(LEH: 0.13, -0.17, -56.66%), and insurer American International Group Inc.(AIG: 3.31, -1.69, -33.80%)
A senior law enforcement official says the inquiries, still in preliminary stages, will focus on the financial institutions and the individuals that ran them.
Officials say the new inquiries brings the number of corporate lenders under investigation over the last year to 26.
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very well explained here – and apparently encouraging a vote for McCain at the end – but an excellent comprehensive overview of the situation in American finance.
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http://www3.interscience.wiley.com/journal/121373267/abstract
Special Issue Paper
On estimating the conditional expected shortfall
Franco Peracchi 1 2 *, Andrei V. Tanase 1
1Tor Vergata University, Rome, Italy
2EIEF, Rome, Italy
email: Franco Peracchi (franco.peracchi@uniroma2.it)
*Correspondence to Franco Peracchi, Faculty of Economics, University of Rome Tor Vergata, via Columbia 2, 00133 Rome, Italy
Keywords
risk measures • quantile regression • logistic regression
Abstract
Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt. We consider three classes of estimators of the conditional expected shortfall of Yt given Xt: a class of fully non-parametric estimators and two classes of analog estimators based, respectively, on the empirical conditional quantile function and the empirical conditional distribution function. We study their sampling properties by means of a set of Monte Carlo experiments and analyze their performance in an empirical application to financial data. Copyright © 2008 John Wiley & Sons, Ltd.
Received: 30 April 2008; Revised: 30 April 2008; Accepted: 25 June 2008
Digital Object Identifier (DOI)
Applied Stochastic Models in Business and Industry
See Also:
* Applied Stochastic Models and Data Analysis
Volume 24 Issue 5, Pages 471 – 493
Special Issue: Special issue on statistical methods in performance analysis
Published Online: 8 Aug 2008
Copyright © 2008 John Wiley & Sons, Ltd.
View all previous titles for this journal
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http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.bj/1219669629
Probability measures, Lévy measures and analyticity in time
Ole E. Barndorff-Nielsen and Friedrich Hubalek
Source: Bernoulli Volume 14, Number 3 (2008), 764-790.
Abstract
We investigate the relation of the semigroup probability density of an infinite activity Lévy process to the corresponding Lévy density. For subordinators, we provide three methods to compute the former from the latter. The first method is based on approximating compound Poisson distributions, the second method uses convolution integrals of the upper tail integral of the Lévy measure and the third method uses the analytic continuation of the Lévy density to a complex cone and contour integration. As a by-product, we investigate the smoothness of the semigroup density in time. Several concrete examples illustrate the three methods and our results.
Keywords: cancellation of singularities; exponential formula; generalised gamma convolutions; subordinators
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http://www.bis.org/cbhub/indexm17.htm#monetary
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Monetary and fiscal policy interactions –
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Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and Non-Ricardian consumers, 2006
by Campbell Leith, and Leopold von Thadden