6 Stylized steps for developing a macro stress testing framework
... the level of financial integration and inter-linkages among financial institutions substantially increases from the current level. • Financial inter-linkages and cross-border exposure of banks within each economy have to be taken into account. These are still very low. Direct contagion risk in the r ...
... the level of financial integration and inter-linkages among financial institutions substantially increases from the current level. • Financial inter-linkages and cross-border exposure of banks within each economy have to be taken into account. These are still very low. Direct contagion risk in the r ...
What is an Interest Rate Risk?
... underlying cash market while helping in evolving a better term structure as well as in price discovery. Interest rate futures can be used for three purposes: Hedging against interest rate risks, Arbitraging being a simultaneous buying and selling of futures taking advantage of a temporary price diff ...
... underlying cash market while helping in evolving a better term structure as well as in price discovery. Interest rate futures can be used for three purposes: Hedging against interest rate risks, Arbitraging being a simultaneous buying and selling of futures taking advantage of a temporary price diff ...
financialIntermediation_KiyotakiPaper
... Gilchrist (1999), Brunnermeier and Sannikov (2009), Carlstrom and Fuerst (1997), Christiano, Motto and Rostagno (2009), Mendoza (2010) and Jermann and Quadrini (2009). Only the latter consider both debt and equity …nance, though they restrict attention to borrowing constraints faced by non-…nancial ...
... Gilchrist (1999), Brunnermeier and Sannikov (2009), Carlstrom and Fuerst (1997), Christiano, Motto and Rostagno (2009), Mendoza (2010) and Jermann and Quadrini (2009). Only the latter consider both debt and equity …nance, though they restrict attention to borrowing constraints faced by non-…nancial ...
Chapter One: Asset Markets and Asset Prices
... Transaction costs: fees, taxes, trade charges Implicit T.C.: difference between bid and ask prices and time devoted to decision making. Institutional restrictions: prohibitions on particular class of trades or conditions to be fulfilled before trades are permitted. The assumption of friction ...
... Transaction costs: fees, taxes, trade charges Implicit T.C.: difference between bid and ask prices and time devoted to decision making. Institutional restrictions: prohibitions on particular class of trades or conditions to be fulfilled before trades are permitted. The assumption of friction ...
Analysis of IDC EMEA Top 10 announcement (prelim)
... Note the different financial strategies the different companies take to produce a risk adjusted return that allows they to attract capital. • Whole Foods and Wal-Mart works off volume and efficient asset turnover while leveraging their suppliers, but have small profit margins. • Microsoft, Apple and ...
... Note the different financial strategies the different companies take to produce a risk adjusted return that allows they to attract capital. • Whole Foods and Wal-Mart works off volume and efficient asset turnover while leveraging their suppliers, but have small profit margins. • Microsoft, Apple and ...
AMP Capital Understanding Infrastructure – a reference guide
... between these types of infrastructure investments there are specific distinctions to be made for certain risks. This paper discusses the brownfield asset risks first (which are essentially common to all types of infrastructure investment over the medium–term) and then discusses the specific risks as ...
... between these types of infrastructure investments there are specific distinctions to be made for certain risks. This paper discusses the brownfield asset risks first (which are essentially common to all types of infrastructure investment over the medium–term) and then discusses the specific risks as ...
Corporate Finance - Yossi Spiegel Problem set 2 Problem 1 This
... Consider the following variant of the Myers (1977) model. A firm is established at date 0 and possibly issues debt. At date 1, the firm can invest I dollars that yield X + 2zI1/2 at date 2, where X is a positive constant, z is a random variable distributed uniformly on the unit interval, and I ∈ [0, ...
... Consider the following variant of the Myers (1977) model. A firm is established at date 0 and possibly issues debt. At date 1, the firm can invest I dollars that yield X + 2zI1/2 at date 2, where X is a positive constant, z is a random variable distributed uniformly on the unit interval, and I ∈ [0, ...
Information Asymmetry within Financial Markets and Corporate
... problem pertinent to external financing. Noteworthy, however, while small firms tend often issue equity, large companies are discovered to issue or engage in to debts (Halov and Heider, 2003). To note, in 2004, these authors devised a special adverse selection model pertinent to corporate financing ...
... problem pertinent to external financing. Noteworthy, however, while small firms tend often issue equity, large companies are discovered to issue or engage in to debts (Halov and Heider, 2003). To note, in 2004, these authors devised a special adverse selection model pertinent to corporate financing ...
19 - Commercial Real Estate Analysis and Investment
... 2) Buy shorter-term bonds, then reinvest when they mature. o But then she would be subject to “reinvestment risk”: o The mkt interest rates at which she will have to reinvest might be lower when the short-term bonds mature. 3) Buy longer-term bonds (>5yrs maturity), and sell them in 5 yrs. o But the ...
... 2) Buy shorter-term bonds, then reinvest when they mature. o But then she would be subject to “reinvestment risk”: o The mkt interest rates at which she will have to reinvest might be lower when the short-term bonds mature. 3) Buy longer-term bonds (>5yrs maturity), and sell them in 5 yrs. o But the ...
The Financial Intermediation Premium in the Cross Section of Stock
... and growth may be illusory, because highly levered financial intermediaries are more susceptible to negative shocks to their assets, as their equity is not sufficiently high to absorb these shocks (Haldane et al., 2010). When aggregate economic conditions deteriorate, high-leverage financial interme ...
... and growth may be illusory, because highly levered financial intermediaries are more susceptible to negative shocks to their assets, as their equity is not sufficiently high to absorb these shocks (Haldane et al., 2010). When aggregate economic conditions deteriorate, high-leverage financial interme ...
Financial markets and cliometrics
... went wrong this time? Then, why didn’t we learn the right lesson from the last one? Trying to extract lessons from the history of past crises drives financial historians (as well as policy makers, speculators, and journalists) in their research on financial markets. Beyond the narrow concerns raised ...
... went wrong this time? Then, why didn’t we learn the right lesson from the last one? Trying to extract lessons from the history of past crises drives financial historians (as well as policy makers, speculators, and journalists) in their research on financial markets. Beyond the narrow concerns raised ...
Visible and Hidden Risk Factors for Banks
... the same geographic markets. As a result, these firms are able to shed idiosyncratic risk, but are left with the common systematic risk in the market and Fama-French factors. Variation and correlation of the market model residuals, which are important from a systemic sense, however, are fairly typic ...
... the same geographic markets. As a result, these firms are able to shed idiosyncratic risk, but are left with the common systematic risk in the market and Fama-French factors. Variation and correlation of the market model residuals, which are important from a systemic sense, however, are fairly typic ...
Statistical Release - Central Bank of Ireland
... Household net worth2 increased by 3.9 per cent over the quarter to reach €661bn in Q3 2016 (Chart 3.1). Household net worth per capita now stands at €141,427. The increase in net worth was mostly driven by a rise in housing assets (€18.4bn). This was largely due to rising house prices over the quart ...
... Household net worth2 increased by 3.9 per cent over the quarter to reach €661bn in Q3 2016 (Chart 3.1). Household net worth per capita now stands at €141,427. The increase in net worth was mostly driven by a rise in housing assets (€18.4bn). This was largely due to rising house prices over the quart ...
Basel III Pillar 3 Regulatory Capital Disclosure Report 12.31.15
... “estimates,” “will,” “should,” “may” or words of similar meaning, but these words are not the exclusive means of identifying forward-looking statements. Forward-looking statements are based on management’s current expectations and assumptions, and are subject to inherent uncertainties, risks and cha ...
... “estimates,” “will,” “should,” “may” or words of similar meaning, but these words are not the exclusive means of identifying forward-looking statements. Forward-looking statements are based on management’s current expectations and assumptions, and are subject to inherent uncertainties, risks and cha ...
What is a Secondary? - Voya Investment Management
... Private equity investments are subject to various risks. These risks are generally related to: (i) the ability of the manager to select and manage successful investment opportunities; (ii) the quality of the management of each company in which a private equity fund invests; (iii) the ability of a pr ...
... Private equity investments are subject to various risks. These risks are generally related to: (i) the ability of the manager to select and manage successful investment opportunities; (ii) the quality of the management of each company in which a private equity fund invests; (iii) the ability of a pr ...
What is a realistic aversion to risk for real
... where WT is the investment wealth of agent at time T , as defined in Section 1. In Section 1 I state the assumptions for portfolio choice or other risk taking behavior of an agent, and define the appropriate reference wealth. In Section 2 I present some empirical evidence from real-world risk taking ...
... where WT is the investment wealth of agent at time T , as defined in Section 1. In Section 1 I state the assumptions for portfolio choice or other risk taking behavior of an agent, and define the appropriate reference wealth. In Section 2 I present some empirical evidence from real-world risk taking ...
Finding a new balance with alternatives
... future returns for these asset classes is even more difficult. Similarly, Exhibit 8 shows the dispersion of beta among the same categories, suggesting alternative managers are managing their risk profiles in very different ways — by region, market or currency, for example. Exhibit 8: Dispersion of b ...
... future returns for these asset classes is even more difficult. Similarly, Exhibit 8 shows the dispersion of beta among the same categories, suggesting alternative managers are managing their risk profiles in very different ways — by region, market or currency, for example. Exhibit 8: Dispersion of b ...
Concentration risks in financial market infrastructures – the
... currently no authority in the EU responsible for ex ante authorising a merger of CCPs on the basis of systemic risk implications. Legislation like EMIR is aimed at ensuring that at individual CCP level, risks are adequately dealt with. However, current regulation does not adequately deal with genera ...
... currently no authority in the EU responsible for ex ante authorising a merger of CCPs on the basis of systemic risk implications. Legislation like EMIR is aimed at ensuring that at individual CCP level, risks are adequately dealt with. However, current regulation does not adequately deal with genera ...
Global Capital Markets - An Updated Profile
... stand) and transnational elements (sometimes called transborder transactions, like transworld banking or transworld securities, where distances and borders are irrelevant)1, with a strong degree of integration between the different national parts. Further theorizing aside, the above descriptions are ...
... stand) and transnational elements (sometimes called transborder transactions, like transworld banking or transworld securities, where distances and borders are irrelevant)1, with a strong degree of integration between the different national parts. Further theorizing aside, the above descriptions are ...