Chapter 2 Value at Risk and other risk measures 1 Motivation and
... As we have already noted in the introduction, risk measurement based on proper risk measures is one of the fundamental pillars of the risk management. In this chapter, we will address in details the issue of such risk measures. Let us start with a practical question. Imagine you have bought $1000. H ...
... As we have already noted in the introduction, risk measurement based on proper risk measures is one of the fundamental pillars of the risk management. In this chapter, we will address in details the issue of such risk measures. Let us start with a practical question. Imagine you have bought $1000. H ...
Nr. 111 The Differential Factors Influencing Saving through Life
... insurance policy, not only can absorb some amounts of personal incomes to long term saving, but also can pay the benefits covering losses under contract resulting from personal risks’ happening. In economic transition towards market orientation, putting emphasis on saving through life insurers in Ch ...
... insurance policy, not only can absorb some amounts of personal incomes to long term saving, but also can pay the benefits covering losses under contract resulting from personal risks’ happening. In economic transition towards market orientation, putting emphasis on saving through life insurers in Ch ...
A Modern, Behavior-Aware Approach to Asset Allocation and
... Diversification has been the cornerstone of investing for thousands of years as evidenced by timeless proverbs like “don’t put all your eggs in one basket.” The magic behind diversification – and one of the reasons it is considered the only “free lunch” available in investing – is that a portfolio ...
... Diversification has been the cornerstone of investing for thousands of years as evidenced by timeless proverbs like “don’t put all your eggs in one basket.” The magic behind diversification – and one of the reasons it is considered the only “free lunch” available in investing – is that a portfolio ...
the probability of default under ifrs 9: multi
... The calculation of expected credit losses should be based on a weighted average of credit losses that can occur within various scenarios with the certain probability. Also, the time value of money should be taken into account. Calculated expected credit losses should be discounted with the effective ...
... The calculation of expected credit losses should be based on a weighted average of credit losses that can occur within various scenarios with the certain probability. Also, the time value of money should be taken into account. Calculated expected credit losses should be discounted with the effective ...
Document
... risk reporting through financial reports to the regulators and shareholders. Since boards of directors are the ultimate monitors of the banks, they should be fully responsible for risk management disclosure. Similarly, the importance of the disclosure of information in the annual reports has been hi ...
... risk reporting through financial reports to the regulators and shareholders. Since boards of directors are the ultimate monitors of the banks, they should be fully responsible for risk management disclosure. Similarly, the importance of the disclosure of information in the annual reports has been hi ...
Fat Tails and their (Un)happy Endings
... The implications of the correlation bias are not circumscribed to individual institutions though. In a financial system where the correlation bias of junior claim holders is dominant and herd behavior prevalent, it would not be rare to observe “black swan” events often following on the heels of exte ...
... The implications of the correlation bias are not circumscribed to individual institutions though. In a financial system where the correlation bias of junior claim holders is dominant and herd behavior prevalent, it would not be rare to observe “black swan” events often following on the heels of exte ...
Master Thesis: Quality of Risk Reporting
... The financial crisis has impacted the economy in every way. This study focused on the impact of the financial crisis and the quality of risk disclosure over the past three years (2006, 2007 & 2008). The results yielded a significant influence of the financial crisis on the quality of risk disclosure ...
... The financial crisis has impacted the economy in every way. This study focused on the impact of the financial crisis and the quality of risk disclosure over the past three years (2006, 2007 & 2008). The results yielded a significant influence of the financial crisis on the quality of risk disclosure ...
Credit Rationing by Loan Size in Commercial Loan Markets
... Ni borrowers of each type i (i = 1,...,n) who live for only two periods. The borrowers may be thought of as privately owned firms that differ only with respect to their fixed endowments of physical good.’ All firms have the same first-period endowment: wi = 0 for all i;* however, higher-ind.ex firms ...
... Ni borrowers of each type i (i = 1,...,n) who live for only two periods. The borrowers may be thought of as privately owned firms that differ only with respect to their fixed endowments of physical good.’ All firms have the same first-period endowment: wi = 0 for all i;* however, higher-ind.ex firms ...
PDF
... The fourth section is devoted to the capital-asset pricing model and contains a discussion of the properties of the approach, whereas the last section presents the extended Gini's mean difference (Yitzhaki, 1980) and applies it to portfolio analysis. Much of the discussion in this paper is based on ...
... The fourth section is devoted to the capital-asset pricing model and contains a discussion of the properties of the approach, whereas the last section presents the extended Gini's mean difference (Yitzhaki, 1980) and applies it to portfolio analysis. Much of the discussion in this paper is based on ...
bondch11s
... Exhibit 11.2-1 shows the schedule of interest and principal payments on the $100,000, 30-year, 9% mortgage for the loan's first five months, and Figure 11.2-1 shows the pattern of scheduled interest and principal payments over the life of mortgage. The figure highlights the pattern that in the early ...
... Exhibit 11.2-1 shows the schedule of interest and principal payments on the $100,000, 30-year, 9% mortgage for the loan's first five months, and Figure 11.2-1 shows the pattern of scheduled interest and principal payments over the life of mortgage. The figure highlights the pattern that in the early ...
The Causes of Fraud in Financial Crises: Evidence
... largest sources of this shift were fees for securitizing and servicing mortgage and credit card debt. ...
... largest sources of this shift were fees for securitizing and servicing mortgage and credit card debt. ...
The Best of Times and the Worst of Times for Institutional Investors
... completely unsustainable. According to the IMF, closing the fiscal gap in the United States would require an annual fiscal adjustment of as much as 14 percent of U.S. GDP. By comparison, federal personal income taxes in the U.S. total approximately 7 percent of GDP. Compounding this difficult fiscal ...
... completely unsustainable. According to the IMF, closing the fiscal gap in the United States would require an annual fiscal adjustment of as much as 14 percent of U.S. GDP. By comparison, federal personal income taxes in the U.S. total approximately 7 percent of GDP. Compounding this difficult fiscal ...
Pre-Sale Fitch - The Paragon Group of Companies
... The small initial portfolio size at closing could potentially lead to two levels of concentration risk in this transaction. The first emanates at the loan level where any single loan could potentially cause disproportionately larger losses than would be the case in a larger more diversified pool. Th ...
... The small initial portfolio size at closing could potentially lead to two levels of concentration risk in this transaction. The first emanates at the loan level where any single loan could potentially cause disproportionately larger losses than would be the case in a larger more diversified pool. Th ...
Liquidity provision, banking, and the allocation of interest rate risk*
... endogenous. Variations in future interest rates must be caused by variations in exogenous data, at least if one neglects sunspot phenomena. Any welfare analysis of the allocation of interest rate risk must take account of the exogenous source of this risk. Leaving aside the role of monetary and fisc ...
... endogenous. Variations in future interest rates must be caused by variations in exogenous data, at least if one neglects sunspot phenomena. Any welfare analysis of the allocation of interest rate risk must take account of the exogenous source of this risk. Leaving aside the role of monetary and fisc ...
What drives Financial Distress Risk and Default
... should determine the amount of leverage in a company. There are several negative effects of adding debt, however, the most important being the risk of financial distress and bankruptcy. Among the positive effects is primarily the gained value through the interest tax shield and the disciplining role ...
... should determine the amount of leverage in a company. There are several negative effects of adding debt, however, the most important being the risk of financial distress and bankruptcy. Among the positive effects is primarily the gained value through the interest tax shield and the disciplining role ...
Chapter 6 - NYU Stern School of Business
... operational risk from the perspective of the individual business activities that make up the bank’s or firm’s “output.” That is, individual processes and procedures are mapped to a combination of risk factors and loss events that are used to generate probabilities of future scenarios’ occurrence.4 H ...
... operational risk from the perspective of the individual business activities that make up the bank’s or firm’s “output.” That is, individual processes and procedures are mapped to a combination of risk factors and loss events that are used to generate probabilities of future scenarios’ occurrence.4 H ...
The Democratization of Credit and the Rise in Consumer Bankruptcies
... ceiving a high endowment realization in the second period. To offer a lending contract, which specifies an interest rate, a borrowing limit and a set of eligible borrowers, an intermediary incurs a fixed cost. When designing loan contracts, lenders face an asymmetric information problem, as they ob ...
... ceiving a high endowment realization in the second period. To offer a lending contract, which specifies an interest rate, a borrowing limit and a set of eligible borrowers, an intermediary incurs a fixed cost. When designing loan contracts, lenders face an asymmetric information problem, as they ob ...
The Global Insurance Protection Gap
... and general awareness are more developed, account for the lion’s share of global premiums (approximately 83 per cent). In emerging markets, however, insurance solutions are much less prevalent. These markets’ share of 17 per cent of global insurance premiums falls considerably short of their share o ...
... and general awareness are more developed, account for the lion’s share of global premiums (approximately 83 per cent). In emerging markets, however, insurance solutions are much less prevalent. These markets’ share of 17 per cent of global insurance premiums falls considerably short of their share o ...
Comparing patterns of default among prime and subprime mortgages
... First, the performance of both prime and subprime mortgages has gotten substantially worse, with loans made in 2006 and 2007 defaulting at much higher rates. The default experience among prime loans made in 2004 and 2005 is very similar, but for subprime loans, default rates are higher for loans mad ...
... First, the performance of both prime and subprime mortgages has gotten substantially worse, with loans made in 2006 and 2007 defaulting at much higher rates. The default experience among prime loans made in 2004 and 2005 is very similar, but for subprime loans, default rates are higher for loans mad ...
Economic and financial impacts of natural disasters: An assessment
... Such widely cited figures have triggered a growing awareness of the potential damage natural hazards can cause. However, there is a more limited sense of their broader macroeconomic significance or the problems they could pose for longer-term development. This is partly because most assessments of t ...
... Such widely cited figures have triggered a growing awareness of the potential damage natural hazards can cause. However, there is a more limited sense of their broader macroeconomic significance or the problems they could pose for longer-term development. This is partly because most assessments of t ...
Short Selling Risk - Rady School of Management
... Stambaugh, Yu, and Yuan (2012) note that idiosyncratic volatility is negatively related to returns among underpriced stocks but is positively related to returns among overpriced stocks. Finally, Pontiff (2006) argues that idiosyncratic risk makes arbitrage more costly, and Duan, Hu, and McLean (2010 ...
... Stambaugh, Yu, and Yuan (2012) note that idiosyncratic volatility is negatively related to returns among underpriced stocks but is positively related to returns among overpriced stocks. Finally, Pontiff (2006) argues that idiosyncratic risk makes arbitrage more costly, and Duan, Hu, and McLean (2010 ...
here - Empirical Legal Studies
... in the National Banking Act is there any mention of the role of the OCC to protect consumers. The states have traditionally paved the way for the protection of their citizens, by creating state specific laws designed to balance the needs of the credit industry with the need to ensure that consumers ...
... in the National Banking Act is there any mention of the role of the OCC to protect consumers. The states have traditionally paved the way for the protection of their citizens, by creating state specific laws designed to balance the needs of the credit industry with the need to ensure that consumers ...
Effects of Business Diversification on Asset Risk-Taking
... richness of the insurance statutory data because all licensed insurers (both private and public) are required to file their statutory statements on an annual basis. By contrast, only public firms in unregulated industries are required to file annual statements. Thus, most previous diversification l ...
... richness of the insurance statutory data because all licensed insurers (both private and public) are required to file their statutory statements on an annual basis. By contrast, only public firms in unregulated industries are required to file annual statements. Thus, most previous diversification l ...
Haksoz Kadam-Suppy Portfolio Risk
... operational risk management. Please refer to the book by Panjer (2006) for a theoretical perspective, Cruz (2002) for a practice oriented view and McNeil et al (2005) for mathematical tools on operational risk management. It is noteworthy that our use of CreditRisk+ differs significantly from prior ...
... operational risk management. Please refer to the book by Panjer (2006) for a theoretical perspective, Cruz (2002) for a practice oriented view and McNeil et al (2005) for mathematical tools on operational risk management. It is noteworthy that our use of CreditRisk+ differs significantly from prior ...