a PDF of the full article
... triggered, as well as how the stress tests results are conveyed within the AMC; • redemption scenarios based on the exploitation of all available liability data and, ideally, an investor behaviour model; and • stress tests that correspond to the various stages in a fund's life, from creation to liqu ...
... triggered, as well as how the stress tests results are conveyed within the AMC; • redemption scenarios based on the exploitation of all available liability data and, ideally, an investor behaviour model; and • stress tests that correspond to the various stages in a fund's life, from creation to liqu ...
Understanding the Economic and Financial Impacts of Natural
... of a major disaster should be made 18 to 24 months after the event. It should be taken into account in reviewing the affected country’s short-term economic performance and the assistance strategy for the country. Governments need appropriate risk management strategies for future disasters, including ...
... of a major disaster should be made 18 to 24 months after the event. It should be taken into account in reviewing the affected country’s short-term economic performance and the assistance strategy for the country. Governments need appropriate risk management strategies for future disasters, including ...
Homeownership 2.0 - Chicago Unbound
... basket-guarding behaviors.1 2 Moreover, households that lack the financial wherewithal or risk tolerance to take on such a large investment simply cannot become homeowners. Facilitating transfers to investors, who can hold slices of housing risk within diversified portfolios, could produce substanti ...
... basket-guarding behaviors.1 2 Moreover, households that lack the financial wherewithal or risk tolerance to take on such a large investment simply cannot become homeowners. Facilitating transfers to investors, who can hold slices of housing risk within diversified portfolios, could produce substanti ...
Audit Planning and Analytical Procedures
... Population consists of a small number of large value items Items to which nonmonetary materiality does not apply Unusual one-off or exceptional items Any area where the auditor is put on enquiry Exceptionally risky areas When the repetitive nature of a CIS operation makes 100% examination cost effec ...
... Population consists of a small number of large value items Items to which nonmonetary materiality does not apply Unusual one-off or exceptional items Any area where the auditor is put on enquiry Exceptionally risky areas When the repetitive nature of a CIS operation makes 100% examination cost effec ...
Incentive Plans Within Real Estate Firms – A Partial Review of
... Issues of talent management are becoming increasingly important as research points to a growing awareness within the real estate sector about how much the business is people-driven and how diverse the workforce actually is. Both the academic and practitioner literature point to the need for more inn ...
... Issues of talent management are becoming increasingly important as research points to a growing awareness within the real estate sector about how much the business is people-driven and how diverse the workforce actually is. Both the academic and practitioner literature point to the need for more inn ...
Margin-Based Asset Pricing and Deviations from the Law of One Price
... (1997), Geanakoplos (1997), Kiyotaki and Moore (1997), Caballero and Krishnamurthy (2001), Lustig and Van Nieuwerburgh (2005), Coen-Pirani (2005), Fostel and Geanakoplos (2008)) and the possibility of arbitrage in equilibrium (Basak and Croitoru (2000, 2006), Geanakoplos (2003)). Also, the paper is ...
... (1997), Geanakoplos (1997), Kiyotaki and Moore (1997), Caballero and Krishnamurthy (2001), Lustig and Van Nieuwerburgh (2005), Coen-Pirani (2005), Fostel and Geanakoplos (2008)) and the possibility of arbitrage in equilibrium (Basak and Croitoru (2000, 2006), Geanakoplos (2003)). Also, the paper is ...
1492 Syndicate annual accounts 2015
... CMA seeks to actively manage and reduce the Syndicate’s exposure to this risk by introducing limits on its exposure to either a single counterparty, or groups of counterparties, and to geographical and industry segments wherever practicable or considered appropriate. Such limits will be subject to a ...
... CMA seeks to actively manage and reduce the Syndicate’s exposure to this risk by introducing limits on its exposure to either a single counterparty, or groups of counterparties, and to geographical and industry segments wherever practicable or considered appropriate. Such limits will be subject to a ...
a survey of foreign exchange risk management
... markets. The management of this risk has become essential for the survival of such companies. Oil companies in Kenyan market are significantly exposed to foreign exchange risk through transactions involving importation of oil products and subsequent exportation to the neighboring countries. This pap ...
... markets. The management of this risk has become essential for the survival of such companies. Oil companies in Kenyan market are significantly exposed to foreign exchange risk through transactions involving importation of oil products and subsequent exportation to the neighboring countries. This pap ...
Asset pricing in the frequency domain: theory and empirics
... prices are interpreted in terms of how investors price shocks to interest rates at low frequencies, business-cycle frequencies, and high frequencies. We find that the low-frequency shocks to short-term interest rates have a significantly positive price of risk, consistent with the idea that investor ...
... prices are interpreted in terms of how investors price shocks to interest rates at low frequencies, business-cycle frequencies, and high frequencies. We find that the low-frequency shocks to short-term interest rates have a significantly positive price of risk, consistent with the idea that investor ...
Review of the Differentiated Nature and Scope of Financial Regulation
... sector. The core principles reflect characteristics of the respective sector and the nature of the supervised financial institutions. They represent the key components and features of the supervisory and regulatory framework of each financial sector. These principles, issued independently by the BCB ...
... sector. The core principles reflect characteristics of the respective sector and the nature of the supervised financial institutions. They represent the key components and features of the supervisory and regulatory framework of each financial sector. These principles, issued independently by the BCB ...
Why Should Older People Invest Less in Stocks Than Younger
... their portfolios over time, a long horizon is basically the same as a short horizon; what matters for investment decisions is the length of time between rebalancing, not the investment horizon itself. The other reason for the irrelevance of low long-term risk is subtler. Even if investors can't reba ...
... their portfolios over time, a long horizon is basically the same as a short horizon; what matters for investment decisions is the length of time between rebalancing, not the investment horizon itself. The other reason for the irrelevance of low long-term risk is subtler. Even if investors can't reba ...
Batelco`s Cost of Capital
... In the Consultation Document, the TRA proposed an ERP of 5%. This value was based on what the TRA considered as the most robust existing evidence base for calculating the ERP (the Dimson, Marsh and Staunton studies cited in the consultation). The TRA has also been mindful of recent trends in setting ...
... In the Consultation Document, the TRA proposed an ERP of 5%. This value was based on what the TRA considered as the most robust existing evidence base for calculating the ERP (the Dimson, Marsh and Staunton studies cited in the consultation). The TRA has also been mindful of recent trends in setting ...
risk measurement for hedge fund portfolios
... fund risk given the likely violation of the normality assumption. Brooks and Kat (2001) found that hedge fund index returns are not normally distributed. Many hedge fund indexes exhibit relatively low skewness and high kurtosis (especially in the case of funds investing in convertible arbitrage, ris ...
... fund risk given the likely violation of the normality assumption. Brooks and Kat (2001) found that hedge fund index returns are not normally distributed. Many hedge fund indexes exhibit relatively low skewness and high kurtosis (especially in the case of funds investing in convertible arbitrage, ris ...
This PDF is a selection from an out-of-print volume from... Research Volume Title: Measures of Credit Risk and Experience
... profits within the firm — are not so striking as the are now idle, and they may not be absorbed imlosses, and usually are diffused throughout the mediately into other activities. The social cost of excessive credit risk takes economy rather than bearing directly on the other forms as well. Perhaps t ...
... profits within the firm — are not so striking as the are now idle, and they may not be absorbed imlosses, and usually are diffused throughout the mediately into other activities. The social cost of excessive credit risk takes economy rather than bearing directly on the other forms as well. Perhaps t ...
Regulatory guidance – Integrated risk
... This will then be repaid as the framework is used by current and future trustees, for and between subsequent valuations. 16. The extent of that initial investment will vary between schemes. Many schemes already have a risk assessment and management process in place. It may not be labelled as IRM but ...
... This will then be repaid as the framework is used by current and future trustees, for and between subsequent valuations. 16. The extent of that initial investment will vary between schemes. Many schemes already have a risk assessment and management process in place. It may not be labelled as IRM but ...
The effects of the sample size, the investment horizon, and market
... The observation horizon refers to either one day, one week, one month, one quarter or one year. The concept or the "true" investment horizon implies that investors will all share the same horizon. The justification and the implication of this assumption can be found in either Lee (1976) or Levy (197 ...
... The observation horizon refers to either one day, one week, one month, one quarter or one year. The concept or the "true" investment horizon implies that investors will all share the same horizon. The justification and the implication of this assumption can be found in either Lee (1976) or Levy (197 ...
CAPITAL MARKETS PRODUCT RISK BOOK
... A derivative is a financial instrument whose price is dependent upon or derived from one (or more) underlying assets. The derivative itself is merely a contract between two or more parties. Its value is determined by fluctuations in the underlying asset. The most common underlying assets include sto ...
... A derivative is a financial instrument whose price is dependent upon or derived from one (or more) underlying assets. The derivative itself is merely a contract between two or more parties. Its value is determined by fluctuations in the underlying asset. The most common underlying assets include sto ...
SAST - SA JPMorgan MFS Core Bond Portfolio Summary
... earned on the Portfolio’s investments, plus capital appreciation, if any, which generally arises from decreases in interest rates or improving credit fundamentals for a particular sector or security. ...
... earned on the Portfolio’s investments, plus capital appreciation, if any, which generally arises from decreases in interest rates or improving credit fundamentals for a particular sector or security. ...
Financial Crises, Risk Premia, and the Term Structure of Risky Assets
... is because low intermediary equity capital implies high risk premia, but high risk premia lead to higher expected growth in asset values which results in higher future equity capital. The model generates a dynamic term structure of crisis probabilities which is typically upward sloping but becomes s ...
... is because low intermediary equity capital implies high risk premia, but high risk premia lead to higher expected growth in asset values which results in higher future equity capital. The model generates a dynamic term structure of crisis probabilities which is typically upward sloping but becomes s ...
Credit Derivatives, Leverage, and Financial
... The study of law and economics tends to ignore macroeconomics, with a few notable exceptions in legal scholarship. A handful of legal scholars have previously called for a greater examination of the macroeconomic effects of securities laws and other financial regulation. The focus of the academic wo ...
... The study of law and economics tends to ignore macroeconomics, with a few notable exceptions in legal scholarship. A handful of legal scholars have previously called for a greater examination of the macroeconomic effects of securities laws and other financial regulation. The focus of the academic wo ...
Default Option Exercise over the Financial Crisis and Beyond
... sources of variation; in section 3, we explain our data and methodology; in section 4, we discuss our results; concluding remarks are in section 5. 2. The Theoretical Framework Mortgage loans are characterized by an embedded default (put) option, in that borrowers can “put” their property to the len ...
... sources of variation; in section 3, we explain our data and methodology; in section 4, we discuss our results; concluding remarks are in section 5. 2. The Theoretical Framework Mortgage loans are characterized by an embedded default (put) option, in that borrowers can “put” their property to the len ...
Communicating Asset Risk: How Name
... representation showing possible trends in returns and the distributional representation putting greater focus on both average and maximum and minimum possible returns) and the two formats are not entirely equivalent. However, it is hard to argue that one format is more “appropriate,” more “honest,” ...
... representation showing possible trends in returns and the distributional representation putting greater focus on both average and maximum and minimum possible returns) and the two formats are not entirely equivalent. However, it is hard to argue that one format is more “appropriate,” more “honest,” ...
Endogenous financial intermediation and real effects of capital
... of investment projects they finance, is endogenous. Given the moral hazard problem considered, a financial intermediary can lower the interest rate on loans to induce agents with a choice of projects to invest in the socially efficient project (Stiglitz and Weiss, 1981). However, inducing this behav ...
... of investment projects they finance, is endogenous. Given the moral hazard problem considered, a financial intermediary can lower the interest rate on loans to induce agents with a choice of projects to invest in the socially efficient project (Stiglitz and Weiss, 1981). However, inducing this behav ...
Paper - Yale Law School
... I will also mention how the argument applies to a case Rosen discusses at length in an earlier paper.3 Consider an ancient slaveholder, who believes it is permissible to force his slaves to work and to force them to stay under his control. Ancient slavery was not race-based and was not based on the ...
... I will also mention how the argument applies to a case Rosen discusses at length in an earlier paper.3 Consider an ancient slaveholder, who believes it is permissible to force his slaves to work and to force them to stay under his control. Ancient slavery was not race-based and was not based on the ...
Version of October 13, 2010 Elizabeth Harman Does Moral
... I will also mention how the argument applies to a case Rosen discusses at length in an earlier paper.3 Consider an ancient slaveholder, who believes it is permissible to force his slaves to work and to force them to stay under his control. Ancient slavery was not race-based and was not based on the ...
... I will also mention how the argument applies to a case Rosen discusses at length in an earlier paper.3 Consider an ancient slaveholder, who believes it is permissible to force his slaves to work and to force them to stay under his control. Ancient slavery was not race-based and was not based on the ...