On the Design of Collateralized Debt Obligation
... Over the last 20 years the volume of securitizations has grown tremendously. The global volume of securitization issuance was estimated to be roughly 270 bn USD for 1997 and about 2100 bn USD for 2006 (HBSC (2007)). The recent subprime-crisis depressed the issuance volume. Securitizations were accus ...
... Over the last 20 years the volume of securitizations has grown tremendously. The global volume of securitization issuance was estimated to be roughly 270 bn USD for 1997 and about 2100 bn USD for 2006 (HBSC (2007)). The recent subprime-crisis depressed the issuance volume. Securitizations were accus ...
Volatility and Fixed Income Asset Class Comparison
... Ingersoll, and Ross [1981], and Feinman [2002]).4 By the same token, there are now some studies that suggest that there is a positive risk premium over time to being short volatility—or conversely, that there is a negative risk premium to being long volatility. Bakshi and Kapadia [2003a] find that f ...
... Ingersoll, and Ross [1981], and Feinman [2002]).4 By the same token, there are now some studies that suggest that there is a positive risk premium over time to being short volatility—or conversely, that there is a negative risk premium to being long volatility. Bakshi and Kapadia [2003a] find that f ...
Ally Financial Inc. ( GOM ) 10−K
... have extensive experience operating in international markets and broad global capabilities. We currently originate loans in 15 countries (other than the United States and Canada). Our international presence is focused on strategic operations in five core markets: Germany, the United Kingdom, Brazil, ...
... have extensive experience operating in international markets and broad global capabilities. We currently originate loans in 15 countries (other than the United States and Canada). Our international presence is focused on strategic operations in five core markets: Germany, the United Kingdom, Brazil, ...
Structural Features of Australian Residential Mortgage
... the principal that they have prepaid. Since principal prepayments are not retained by the trust, but are instead passed through to the notes, there is a need for the RMBS trust to fund redraws. In most cases, principal collections (which are yet to be transferred to the note holders) during a period ...
... the principal that they have prepaid. Since principal prepayments are not retained by the trust, but are instead passed through to the notes, there is a need for the RMBS trust to fund redraws. In most cases, principal collections (which are yet to be transferred to the note holders) during a period ...
FINANCIAL PLANNING RESEARCH JOURNAL
... models of advice. Indeed, there has also been much interest regarding international developments and the optential impact on financial markets of ongoing conflict, humanitarian issues, the US presidential election and movement within the European Union. For stakeholders of financial planning, there ...
... models of advice. Indeed, there has also been much interest regarding international developments and the optential impact on financial markets of ongoing conflict, humanitarian issues, the US presidential election and movement within the European Union. For stakeholders of financial planning, there ...
Cross-Sectional Dispersion and Expected Returns
... reason, not fully diversified would prefer to hold assets that covary positively with dispersion, since they would offer their highest returns during periods of higher idiosyncratic (and undiversified) risk at the aggregate level. Consequently, investors would bid up the prices of these assets that ...
... reason, not fully diversified would prefer to hold assets that covary positively with dispersion, since they would offer their highest returns during periods of higher idiosyncratic (and undiversified) risk at the aggregate level. Consequently, investors would bid up the prices of these assets that ...
capitalization rate, mortgage interest rate and
... (2.2). Cap rate and mortgage interest rate are responsible for the demand of mortgages as a source of investment. Demand for mortgages used to refinance can also be attributed to the change of cap rate and mortgage interest rate. Lower mortgage interest rate makes refinancing possible. Meanwhile, fo ...
... (2.2). Cap rate and mortgage interest rate are responsible for the demand of mortgages as a source of investment. Demand for mortgages used to refinance can also be attributed to the change of cap rate and mortgage interest rate. Lower mortgage interest rate makes refinancing possible. Meanwhile, fo ...
Studies on the Validation of Internal Rating Systems
... methodology and quantification techniques employed. Therefore, banks and supervisors should take into account differences in rating assignment methods and quantification approaches when applying a validation methodology. The dynamics of default probabilities assigned to rating grades are explored by ...
... methodology and quantification techniques employed. Therefore, banks and supervisors should take into account differences in rating assignment methods and quantification approaches when applying a validation methodology. The dynamics of default probabilities assigned to rating grades are explored by ...
Working Paper No. 14 -Studies on the Validation of Internal Rating
... methodology and quantification techniques employed. Therefore, banks and supervisors should take into account differences in rating assignment methods and quantification approaches when applying a validation methodology. The dynamics of default probabilities assigned to rating grades are explored by ...
... methodology and quantification techniques employed. Therefore, banks and supervisors should take into account differences in rating assignment methods and quantification approaches when applying a validation methodology. The dynamics of default probabilities assigned to rating grades are explored by ...
State Auto Financial CORP (Form: 10-K, Received: 03/01
... All statements, other than statements of historical facts, included in this Annual Report on Form 10-K (this “Form 10-K”) of State Auto Financial Corporation (“State Auto Financial” or “STFC”) or incorporated herein by reference, including, without limitation, statements regarding State Auto Financi ...
... All statements, other than statements of historical facts, included in this Annual Report on Form 10-K (this “Form 10-K”) of State Auto Financial Corporation (“State Auto Financial” or “STFC”) or incorporated herein by reference, including, without limitation, statements regarding State Auto Financi ...
Risk Aversion and Clientele Effects
... prices for sub-sets of stocks – in effect segmenting the market. In this paper we use traded derivatives on equity indices to explore this approach. Evidence on risk preferences is of particular interest because risk represents the foundation of asset pricing theory and the definition of capital mar ...
... prices for sub-sets of stocks – in effect segmenting the market. In this paper we use traded derivatives on equity indices to explore this approach. Evidence on risk preferences is of particular interest because risk represents the foundation of asset pricing theory and the definition of capital mar ...
CreditMetrics™ — Technical Document
... We wish to estimate the volatility of value due to changes in credit quality, not just the expected loss. In our view, as important as default likelihood estimation is, it is only one link in the long chain of modeling and estimation that is necessary to fully assess credit risk (volatility) within ...
... We wish to estimate the volatility of value due to changes in credit quality, not just the expected loss. In our view, as important as default likelihood estimation is, it is only one link in the long chain of modeling and estimation that is necessary to fully assess credit risk (volatility) within ...
Government Guarantees and Fiscal Risk, April 1, 2005
... exposed during crises. This places a premium on developing a rational, forward-looking policy towards guarantees, for which transparency is a precondition. The main accounting and reporting challenge is that the contingent nature of guarantees makes valuing them difficult. However, a number of analy ...
... exposed during crises. This places a premium on developing a rational, forward-looking policy towards guarantees, for which transparency is a precondition. The main accounting and reporting challenge is that the contingent nature of guarantees makes valuing them difficult. However, a number of analy ...
What is the information content of dividend changes
... increases in the two years following dividend decreases. Grullon et al. (2002) provide similar findings. In addition, they document that firms’ profitability decreases following dividend increases. Thus, accumulated empirical evidence does not support the assertion that dividend increases (decreases ...
... increases in the two years following dividend decreases. Grullon et al. (2002) provide similar findings. In addition, they document that firms’ profitability decreases following dividend increases. Thus, accumulated empirical evidence does not support the assertion that dividend increases (decreases ...
Barriers to convert to organic farming and the role of risk
... than in conventional farming. This would indicate that there must be other factors of importance which can explain the low particiapation rate. A higher perceived risk in organic farming with respect to yield and price is frequently brought up as a potential explanation within a qualitative framewor ...
... than in conventional farming. This would indicate that there must be other factors of importance which can explain the low particiapation rate. A higher perceived risk in organic farming with respect to yield and price is frequently brought up as a potential explanation within a qualitative framewor ...
Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk
... 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return? A. 7.0% B. 8.0% C. 9.2% D. 13.0% E. 13.2% ...
... 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return? A. 7.0% B. 8.0% C. 9.2% D. 13.0% E. 13.2% ...
Financial review Capital and risk management
... other factors, both external and relating to the RBS Group and the Group’s strategy or operations, which may result in the Group being unable to achieve the current targets, predictions, expectations and other anticipated outcomes expressed or implied by such forward-looking statements. In addition ...
... other factors, both external and relating to the RBS Group and the Group’s strategy or operations, which may result in the Group being unable to achieve the current targets, predictions, expectations and other anticipated outcomes expressed or implied by such forward-looking statements. In addition ...
On Credit Risk Modeling and Management
... On the definition of Default Bank for International Settlements (BIS): ”the obligor is unlikely to pay its credit obligations or the obligor is past due more than 90 days on any material credit obligation” This is clearly an unclear definition Furthermore, in retail banking especially, it is very us ...
... On the definition of Default Bank for International Settlements (BIS): ”the obligor is unlikely to pay its credit obligations or the obligor is past due more than 90 days on any material credit obligation” This is clearly an unclear definition Furthermore, in retail banking especially, it is very us ...
Reforming insurer profit in the CTP Green Slip Scheme Broad
... receive a reasonable return on the capital they invest in the business, no one wishes to see insurers benefiting from the system at the expense of vehicle owners and the community. At the same time, it is widely accepted that insurers need to have sufficient freedom and incentive to encourage compet ...
... receive a reasonable return on the capital they invest in the business, no one wishes to see insurers benefiting from the system at the expense of vehicle owners and the community. At the same time, it is widely accepted that insurers need to have sufficient freedom and incentive to encourage compet ...
Bond Prospectus of Limited Liability Company
... The risks indicated in this section may reduce the Issuer’s ability to fulfil its obligations and cause its insolvency in the worst-case scenario. Bondholders have to take into account that Bonds are not secured by pledge and third parties have not guaranteed for Bonds and Coupon payments related th ...
... The risks indicated in this section may reduce the Issuer’s ability to fulfil its obligations and cause its insolvency in the worst-case scenario. Bondholders have to take into account that Bonds are not secured by pledge and third parties have not guaranteed for Bonds and Coupon payments related th ...
Reports and Financial Statements for the Financial
... receivable by the Directors or the fixed salary of a full time employee of the Company) by reason of a contract made by the Company or a related corporation with any Directors or with a firm of which the Director is a member, or with a company in which the Director has a substantial financial intere ...
... receivable by the Directors or the fixed salary of a full time employee of the Company) by reason of a contract made by the Company or a related corporation with any Directors or with a firm of which the Director is a member, or with a company in which the Director has a substantial financial intere ...
2016 Consolidated and separate financial statements
... continues to review the Group’s systems of internal control and risk management on an ongoing basis. Based on the work performed as part of the approved audit plan for the current reporting period, BIA confirmed that sound risk management and a robust framework of internal control is in place over f ...
... continues to review the Group’s systems of internal control and risk management on an ongoing basis. Based on the work performed as part of the approved audit plan for the current reporting period, BIA confirmed that sound risk management and a robust framework of internal control is in place over f ...
Risk Management and Value Creation in Financial Institutions
... risk management is necessary, and many banks argue that superior risk management can create (shareholder) value. However, from a theoretical point of view, it is not immediately clear if and how risk management at the corporate level can be useful. Very little research has been conducted as to why t ...
... risk management is necessary, and many banks argue that superior risk management can create (shareholder) value. However, from a theoretical point of view, it is not immediately clear if and how risk management at the corporate level can be useful. Very little research has been conducted as to why t ...
CSA Mutual Fund Risk Classification Methodology for Use in Fund
... profile of target date funds over their life. We noted that while the volatility of target date funds lowered as they approached their maturity date, the shift in volatility was relatively small. The vast majority of target date funds will remain in the same risk band over the course of their existe ...
... profile of target date funds over their life. We noted that while the volatility of target date funds lowered as they approached their maturity date, the shift in volatility was relatively small. The vast majority of target date funds will remain in the same risk band over the course of their existe ...
Testing for Rating Consistency in Annual Default
... of potential investment horizons and user constituencies. Bonds with the same credit rating, therefore, may be comparable with respect to overall credit quality, but will generally differ with respect to specific credit quality characteristics. For example, debt issuers that are subject to greater p ...
... of potential investment horizons and user constituencies. Bonds with the same credit rating, therefore, may be comparable with respect to overall credit quality, but will generally differ with respect to specific credit quality characteristics. For example, debt issuers that are subject to greater p ...