Measuring the Beta
... compensate the investor only for the risk that they perceive as relevant…hence investors are only rewarded for systematic risk…risk that can be diversified away IS…and prices and returns reflect ONLY systematic risk. ...
... compensate the investor only for the risk that they perceive as relevant…hence investors are only rewarded for systematic risk…risk that can be diversified away IS…and prices and returns reflect ONLY systematic risk. ...
Collateralized Debt Obligations – an overview
... efficiency theory suggests that the securities of a CDO should have the same market value as its underlying collateral (taking into account correlation), however like other markets, this is often not the case in practice. Accordingly, a CDO can represent a theoretical arbitrage. Much of the "arbitra ...
... efficiency theory suggests that the securities of a CDO should have the same market value as its underlying collateral (taking into account correlation), however like other markets, this is often not the case in practice. Accordingly, a CDO can represent a theoretical arbitrage. Much of the "arbitra ...
This PDF is a selection from a published volume from... of Economic Research Volume Title: NBER International Seminar on Macroeconomics 2012
... Usually considered the safest investment, and in most cases given the highest mark of quality, the AAA rating, sovereign debt is subject to nonnegligible sovereign default risk. According to Sandleris (2012), in the last 30 years there have been 116 instances of sovereign defaults with private credi ...
... Usually considered the safest investment, and in most cases given the highest mark of quality, the AAA rating, sovereign debt is subject to nonnegligible sovereign default risk. According to Sandleris (2012), in the last 30 years there have been 116 instances of sovereign defaults with private credi ...
The Canadian Payments System: Recent Developments in Structure
... liquidity and credit risks; (iii) they do not eliminate systemic risk; (iv) they would be highly disruptive in today's complex financial system; and (v) given the above, expectations can be created that the central bank or government will "bail out" a major clearing and settlement system facing an u ...
... liquidity and credit risks; (iii) they do not eliminate systemic risk; (iv) they would be highly disruptive in today's complex financial system; and (v) given the above, expectations can be created that the central bank or government will "bail out" a major clearing and settlement system facing an u ...
World Bank Document
... purchased or guaranteed by these GSEs, and the government is now on the hook for these mortgages. How did this happen? There were two key economic principles that were ignored. One is that if the government and taxpayers stand behind the financial obligations of a company, the company should be reg ...
... purchased or guaranteed by these GSEs, and the government is now on the hook for these mortgages. How did this happen? There were two key economic principles that were ignored. One is that if the government and taxpayers stand behind the financial obligations of a company, the company should be reg ...
Incorporation of financial ratios into prudential definition of assets
... Asset classification systems require banks to segregate financial assets into risk buckets according to credit risk characteristics. The prudent segregation of assets by credit quality is vital for estimating related expected and unexpected credit losses and assessing if a bank’s capital level adequ ...
... Asset classification systems require banks to segregate financial assets into risk buckets according to credit risk characteristics. The prudent segregation of assets by credit quality is vital for estimating related expected and unexpected credit losses and assessing if a bank’s capital level adequ ...
Financial (in)stability low interest rates and (un)conventional monetary policy
... Because the central bank can commit to purchases, e.g. bond buying, beyond the duration that their reaction function would normally call for, the problem with such policies is overall time-consistency. Hence, the channels above can translate into implementation risks if unconventional monetary polic ...
... Because the central bank can commit to purchases, e.g. bond buying, beyond the duration that their reaction function would normally call for, the problem with such policies is overall time-consistency. Hence, the channels above can translate into implementation risks if unconventional monetary polic ...
part 3: decision-makers in the financial system
... b) only non-financial assets, liabilities, and net worth are recorded. c) only financial assets, liabilities, and net worth are recorded. d) only assets and net worth are recorded. 5. The net worth of a given sector a) is the difference between total revenue and total expenditure. b) is the differen ...
... b) only non-financial assets, liabilities, and net worth are recorded. c) only financial assets, liabilities, and net worth are recorded. d) only assets and net worth are recorded. 5. The net worth of a given sector a) is the difference between total revenue and total expenditure. b) is the differen ...
Getting to Know Internal Auditing - The Institute of Internal Auditors
... WHEN DOES A COMPANY NEED AND INTERNAL AUDIT FUNCTION? • Internal audit is not legally required in the U.S. – Exceptions: NYSE-listed corporations and a few specific ...
... WHEN DOES A COMPANY NEED AND INTERNAL AUDIT FUNCTION? • Internal audit is not legally required in the U.S. – Exceptions: NYSE-listed corporations and a few specific ...
Uncertainty, Default and Risk
... With uncertainty, the quoted return may differ from the expected return. • The quoted return is also called the stated or promised return. ...
... With uncertainty, the quoted return may differ from the expected return. • The quoted return is also called the stated or promised return. ...
SOME CHARACTERISTICS OF THE FINANCIAL DATA SERIES
... descriptive statistics’ analysis of these characteristic series. From the analysis of these financial data during either very short and short or medium periods of time or from the information provided by the website of the Bucharest Stock Exchange (BVB), the trend of great values of kurtosis or ecce ...
... descriptive statistics’ analysis of these characteristic series. From the analysis of these financial data during either very short and short or medium periods of time or from the information provided by the website of the Bucharest Stock Exchange (BVB), the trend of great values of kurtosis or ecce ...
Alternative risk premia investing: from theory to practice
... extracted using methodologies typically used by hedge funds, e.g. long-short and leveraged portfolio construction, applied both within and across asset classes. As a result, a distinctive characteristic is that they usually have a relatively low correlation with traditional risk premia. Finally, whi ...
... extracted using methodologies typically used by hedge funds, e.g. long-short and leveraged portfolio construction, applied both within and across asset classes. As a result, a distinctive characteristic is that they usually have a relatively low correlation with traditional risk premia. Finally, whi ...
Factsheet Total Emerging Markets Fund Class I USD
... Effective Duration: Measures the sensitivity of the price of a bond with embedded options to changes in interest rates, taking into account the likelihood of the bond being called, put and/or sunk prior to its final maturity date. BlackRock uses a proprietary duration model which employs certain ass ...
... Effective Duration: Measures the sensitivity of the price of a bond with embedded options to changes in interest rates, taking into account the likelihood of the bond being called, put and/or sunk prior to its final maturity date. BlackRock uses a proprietary duration model which employs certain ass ...
R CAPITAL SOLUTIONS LTD DISCLOSURE AND MARKET
... Company may have serious consequences. Risk capacity may be easy to quantify in terms of capital or require funding but it is more challenging to consider the point at which the Company’s reputation is beyond repair. The Board understand how the risk capacity impacts the business and have taken the ...
... Company may have serious consequences. Risk capacity may be easy to quantify in terms of capital or require funding but it is more challenging to consider the point at which the Company’s reputation is beyond repair. The Board understand how the risk capacity impacts the business and have taken the ...
Professional Standards
... Most ambitious set of accounts in the world in terms of public sector coverage Will look and feel like a set of private sector accounts with a management commentary, financial statements, disclosure notes and audit opinion First accounts will be for 2009-10 which we are aiming to publish ...
... Most ambitious set of accounts in the world in terms of public sector coverage Will look and feel like a set of private sector accounts with a management commentary, financial statements, disclosure notes and audit opinion First accounts will be for 2009-10 which we are aiming to publish ...