Endogenous risk in a DSGE model with capital-constrained …nancial intermediaries Hans Dewachter
... (Bernanke, Gertler and Gilchrist (1999)) or collateral constraints (Kyotaki and More (1997)) that has been applied more recently to the …nancial sector as well (see Gertler and Karadi (2011) or Gertler and Kyotaki (2010)). These models exploit the …rst-order e¤ects of net worth and credit constraint ...
... (Bernanke, Gertler and Gilchrist (1999)) or collateral constraints (Kyotaki and More (1997)) that has been applied more recently to the …nancial sector as well (see Gertler and Karadi (2011) or Gertler and Kyotaki (2010)). These models exploit the …rst-order e¤ects of net worth and credit constraint ...
Non-Owner-Occupancy Misrepresentation and Loan Default
... reinforces the view that Equifax uses unique identifiers in performing its merge, given the difficulty of performing a merge across millions of loans without requiring a match on zip code. Based on these findings, we conclude that the most reliable subsample of the merged data contains loans with a ...
... reinforces the view that Equifax uses unique identifiers in performing its merge, given the difficulty of performing a merge across millions of loans without requiring a match on zip code. Based on these findings, we conclude that the most reliable subsample of the merged data contains loans with a ...
BERMUDA MONETARY AUTHORITY
... are commensurate with their risk profile. It includes a forward looking perspective, which augments an insurer’s ability to deal with the impact of future external changes in its risk and solvency position. An insurer’s approach to the CISSA, should be consistent with the governance, and risk manage ...
... are commensurate with their risk profile. It includes a forward looking perspective, which augments an insurer’s ability to deal with the impact of future external changes in its risk and solvency position. An insurer’s approach to the CISSA, should be consistent with the governance, and risk manage ...
1.1. Necessity of the research problem
... Technological and Commercial Joint Stock Bank (Techcombank) in particular. For this reason, credit risk management is a major task of Vietnam Technological and Commercial Joint Stock Bank (Techcombank). However, in addition to contributing greatly to commercial banks, credit is risky. Credit risks o ...
... Technological and Commercial Joint Stock Bank (Techcombank) in particular. For this reason, credit risk management is a major task of Vietnam Technological and Commercial Joint Stock Bank (Techcombank). However, in addition to contributing greatly to commercial banks, credit is risky. Credit risks o ...
Multi-stock portfolio optimization under prospect theory
... piecewise power value function and Tversky–Kahnemann-distortions for the case of normal asset returns. De Giorgi et al. [13] recently show the existence of a two-fund separation in an appealingly general reward–risk setup. This setup includes well-posed CPT problems with a piecewise positive homogen ...
... piecewise power value function and Tversky–Kahnemann-distortions for the case of normal asset returns. De Giorgi et al. [13] recently show the existence of a two-fund separation in an appealingly general reward–risk setup. This setup includes well-posed CPT problems with a piecewise positive homogen ...
Bank and sovereign risk feedback loops
... the materialization of public guarantees.7 Second, if contingent liabilities materialize, …scal costs are likely to be substantial. Next, the risk premium increases even if guarantees remain unused, raising borrowing costs for both the sovereign and the private sector (sovereign ceiling).8 Last, the ...
... the materialization of public guarantees.7 Second, if contingent liabilities materialize, …scal costs are likely to be substantial. Next, the risk premium increases even if guarantees remain unused, raising borrowing costs for both the sovereign and the private sector (sovereign ceiling).8 Last, the ...
The Pass-Through of Sovereign Risk ∗ Luigi Bocola January 2014
... for the propagation of sovereign credit risk to the financing premia of firms and output. I estimate that the increase in the probability of a sovereign default in Italy during the 2010:Q1-2011:Q4 period raised substantially firms’ financing premia, with a peak of 100 basis points in 2011:Q4. This i ...
... for the propagation of sovereign credit risk to the financing premia of firms and output. I estimate that the increase in the probability of a sovereign default in Italy during the 2010:Q1-2011:Q4 period raised substantially firms’ financing premia, with a peak of 100 basis points in 2011:Q4. This i ...
intermediate-financial-management-10th-edition
... stock’s expected and required returns differ, so individuals may think there are bargains to be bought or dogs to be sold. Also, new information is constantly hitting the market and changing the opinions of marginal investors, and this leads to swings in the market. New technology is causing new inf ...
... stock’s expected and required returns differ, so individuals may think there are bargains to be bought or dogs to be sold. Also, new information is constantly hitting the market and changing the opinions of marginal investors, and this leads to swings in the market. New technology is causing new inf ...
The Pass-Through of Sovereign Risk ∗ Luigi Bocola January 2014
... for the propagation of sovereign credit risk to the financing premia of firms and output. I estimate that the increase in the probability of a sovereign default in Italy during the 2010:Q1-2011:Q4 period raised substantially firms’ financing premia, with a peak of 100 basis points in 2011:Q4. This i ...
... for the propagation of sovereign credit risk to the financing premia of firms and output. I estimate that the increase in the probability of a sovereign default in Italy during the 2010:Q1-2011:Q4 period raised substantially firms’ financing premia, with a peak of 100 basis points in 2011:Q4. This i ...
Portfolio choice with jumps: A closed-form solution
... when jumps are included, the determination of an optimal portfolio has not been amenable to a closed-form solution, and this is a long-standing open problem in continuous-time finance. As a result, with n assets, one must solve numerically an n-dimensional nonlinear equation. This is difficult, if n ...
... when jumps are included, the determination of an optimal portfolio has not been amenable to a closed-form solution, and this is a long-standing open problem in continuous-time finance. As a result, with n assets, one must solve numerically an n-dimensional nonlinear equation. This is difficult, if n ...
Risk management for wealth and asset management
... This year’s risk management survey — the sixth in the series and the first including data drawn from the wealth management and private banking communities — comes at a time when global markets are looking to recover following the global financial crisis of 2008. Wealth and asset management sectors a ...
... This year’s risk management survey — the sixth in the series and the first including data drawn from the wealth management and private banking communities — comes at a time when global markets are looking to recover following the global financial crisis of 2008. Wealth and asset management sectors a ...
perspectives on dynamic asset allocation
... theoretical framework, especially following recent, substantial, global financial crises, which resulted in a low return environment and increasing regulatory pressure. Long-term investors (such as pension funds) now face a dilemma. On one side, they need to take on risk to meet their future engagem ...
... theoretical framework, especially following recent, substantial, global financial crises, which resulted in a low return environment and increasing regulatory pressure. Long-term investors (such as pension funds) now face a dilemma. On one side, they need to take on risk to meet their future engagem ...
The remainder of the paper is as follows
... combined entity. Although it may make sense for firms to counteract some of the risk reduction induced by asset diversification by taking greater advantage of the tax shield provided by debt (Lewellen, 1971) or recapture wealth from bondholders (Kim and McConnell, 1977), theories have thus far not p ...
... combined entity. Although it may make sense for firms to counteract some of the risk reduction induced by asset diversification by taking greater advantage of the tax shield provided by debt (Lewellen, 1971) or recapture wealth from bondholders (Kim and McConnell, 1977), theories have thus far not p ...
The Impact of Consumer Credit Counseling on Distressed Mortgage
... such competitors engage in a range of loss mitigation activities ‐‐‐ including loan modifications ‐‐‐ that seek to avoid foreclosure when it is economically beneficial to do so. In most cases, these competitors focus on mortgage debt and not on other financial obligations ...
... such competitors engage in a range of loss mitigation activities ‐‐‐ including loan modifications ‐‐‐ that seek to avoid foreclosure when it is economically beneficial to do so. In most cases, these competitors focus on mortgage debt and not on other financial obligations ...
Document
... 1 This article focuses on rebalancing in response to inputs other than changing investment signals or expected returns. The question of how and when to apply new investment signals – weighing the costs of holding a sub-optimal portfolio against the costs of trading to new targets – is highly depend ...
... 1 This article focuses on rebalancing in response to inputs other than changing investment signals or expected returns. The question of how and when to apply new investment signals – weighing the costs of holding a sub-optimal portfolio against the costs of trading to new targets – is highly depend ...
The Impact of Risk Controls and Strategy-Specific Risk Diversification on Extreme Risk
... indices require setting a specific objective which often takes the form of a goal in an optimisation problem. Solving the problem requires provision of parameters that need to be estimated from data. This exposes the optimal solution to the noise in the observed stock returns which is also known as ...
... indices require setting a specific objective which often takes the form of a goal in an optimisation problem. Solving the problem requires provision of parameters that need to be estimated from data. This exposes the optimal solution to the noise in the observed stock returns which is also known as ...
Managerial risk preference and its influencing factors: analysis of
... that under the condition of income, the group with younger members was more willing to take risks than the other age groups; however, under the condition of loss, the adventurous feature of the younger group (21–40 years) was lower than that of the other two groups. Gardner and Steinberg (2005) cond ...
... that under the condition of income, the group with younger members was more willing to take risks than the other age groups; however, under the condition of loss, the adventurous feature of the younger group (21–40 years) was lower than that of the other two groups. Gardner and Steinberg (2005) cond ...
The Story of CMLTI 2006-NC2
... The deal would involve two pools of loans – one that conformed to the GSE limits and one that did not. On July 20, New Century sent Citi a description of the loans in the first pool. A week later they sent a description of the two pools combined. ...
... The deal would involve two pools of loans – one that conformed to the GSE limits and one that did not. On July 20, New Century sent Citi a description of the loans in the first pool. A week later they sent a description of the two pools combined. ...
Fannie Mae/Freddie Mac Home Mortgage Documents Interpreted as
... United States have dropped dramatically, and many distressed owners find it virtually impossible to sell at prices anywhere near their mortgage debt. 6 If two million foreclosures produce an average of twenty thousand dollars deficiency each, the lingering liability could total forty billion dollars ...
... United States have dropped dramatically, and many distressed owners find it virtually impossible to sell at prices anywhere near their mortgage debt. 6 If two million foreclosures produce an average of twenty thousand dollars deficiency each, the lingering liability could total forty billion dollars ...
Risk Management, Governance, Culture, and Risk Taking in
... firm manages risk so that it reduces the present value of these future costs of distress by more than the cost of reducing risk, firm value increases. Banks differ from firms in general because they create value for shareholders through their liabilities as part of their business model. Banks produ ...
... firm manages risk so that it reduces the present value of these future costs of distress by more than the cost of reducing risk, firm value increases. Banks differ from firms in general because they create value for shareholders through their liabilities as part of their business model. Banks produ ...
Math Gone Mad: Regulatory Risk Modeling by the Federal Reserve
... are derived from data on past losses on a bank portfolio. Analysts then try to find a statistical distribution that best fits the data. One then faces three major problems:10 ■■ There will be many distributions that seem to fit the data, but no one will be able to confidently identify the “true” or ...
... are derived from data on past losses on a bank portfolio. Analysts then try to find a statistical distribution that best fits the data. One then faces three major problems:10 ■■ There will be many distributions that seem to fit the data, but no one will be able to confidently identify the “true” or ...
Behavioral Simulations: Using agent
... the application of behavioral economics in analyzing retirement savings, modeling lapse rates in insurance products, projecting when policyholders might exercise options, and determining how customers react to changing economic patterns. These analyses have uncovered the underlying behavioral princi ...
... the application of behavioral economics in analyzing retirement savings, modeling lapse rates in insurance products, projecting when policyholders might exercise options, and determining how customers react to changing economic patterns. These analyses have uncovered the underlying behavioral princi ...
Repo Regret? - The University of Chicago Booth School of Business
... due to BAPCPA. AMCs’ funding needs are mostly met via their affiliated sister depository institutions or parent Bank Holding Company (BHC).6 Thus arguably, AMCs are less financially constrained when compared with IMCs. Therefore, the proposed BAPCPA-related funding shock should affect IMCs more than ...
... due to BAPCPA. AMCs’ funding needs are mostly met via their affiliated sister depository institutions or parent Bank Holding Company (BHC).6 Thus arguably, AMCs are less financially constrained when compared with IMCs. Therefore, the proposed BAPCPA-related funding shock should affect IMCs more than ...
ICRA Lanka`s Credit Rating Methodology for Non
... differences in the regulatory treatment, with NBFCs being given greater flexibility in governance structure and operational matters and not being subject to statutory reserve requirements. However, at the same time, there are regulatory restrictions on the bouquet of services that NBFCs can offer an ...
... differences in the regulatory treatment, with NBFCs being given greater flexibility in governance structure and operational matters and not being subject to statutory reserve requirements. However, at the same time, there are regulatory restrictions on the bouquet of services that NBFCs can offer an ...