Macroeconomic stress testing of a corporate credit portfolio Magister Scientiae By
... financial pressure. Significant increase in credit losses, market liquidity flight, extremely high trading losses, and a slowdown in lending are typical results of such adverse events, depending on the nature and severity of the crisis. This is mainly due to the systemic nature of these events. As a ...
... financial pressure. Significant increase in credit losses, market liquidity flight, extremely high trading losses, and a slowdown in lending are typical results of such adverse events, depending on the nature and severity of the crisis. This is mainly due to the systemic nature of these events. As a ...
A New Approach for Managing Operational Risk: Addressing the
... Operational failure has played a role in virtually every catastrophic loss that has taken place during the past 20 years. In fact, the 2008 global financial crisis was largely caused by a series of massive operational failures. The American Insurance Group (AIG) event, which was an example of princi ...
... Operational failure has played a role in virtually every catastrophic loss that has taken place during the past 20 years. In fact, the 2008 global financial crisis was largely caused by a series of massive operational failures. The American Insurance Group (AIG) event, which was an example of princi ...
DOCX - World bank documents
... pension income when they retire. Whilst traditional defined benefit (DB) pension plans set out what that pension income will be in advance and then strive to deliver it, the growing number of defined contribution (DC) plans accumulate a sum of assets which can then be turned into a pension income on ...
... pension income when they retire. Whilst traditional defined benefit (DB) pension plans set out what that pension income will be in advance and then strive to deliver it, the growing number of defined contribution (DC) plans accumulate a sum of assets which can then be turned into a pension income on ...
presentation
... These forward-looking statements are based on a series of assumptions, both general and specific, in particular the application of accounting principles and methods in accordance with IFRS (International Financial Reporting Standards) as adopted in the European Union, as well as the application of e ...
... These forward-looking statements are based on a series of assumptions, both general and specific, in particular the application of accounting principles and methods in accordance with IFRS (International Financial Reporting Standards) as adopted in the European Union, as well as the application of e ...
Sample chapter - McGraw Hill Higher Education
... opportunity of participating in the following game: a fair coin is tossed and if it falls tails (probability 0.5), then $1000 is won; if it falls heads (probability 0.5), then $1000 is lost. The expected value of the game is $0 and it is, therefore, described as a ‘fair game’. Would a risk-averse in ...
... opportunity of participating in the following game: a fair coin is tossed and if it falls tails (probability 0.5), then $1000 is won; if it falls heads (probability 0.5), then $1000 is lost. The expected value of the game is $0 and it is, therefore, described as a ‘fair game’. Would a risk-averse in ...
Multi-Period Trading via Convex Optimization
... Our investments will be in a universe of n assets, along with an associated cash account. We let ht ∈ Rn+1 denote the portfolio (or vector of positions or holdings) at the beginning of time period t, where (ht )i is the dollar value of asset i at the beginning of time period t, with (ht )i < 0 meani ...
... Our investments will be in a universe of n assets, along with an associated cash account. We let ht ∈ Rn+1 denote the portfolio (or vector of positions or holdings) at the beginning of time period t, where (ht )i is the dollar value of asset i at the beginning of time period t, with (ht )i < 0 meani ...
Managerial Risk-Taking and CEO Excess Compensation
... al. 2006; Murphy, 1999; Perry and Zenner, 2000). This growth has substantially increasedthe sensitivity of CEO wealth to stock price (delta) and the sensitivity of CEO wealth to stock volatility (vega).The positive effect of delta and vega is that a higher delta encourages CEOs to work for sharehold ...
... al. 2006; Murphy, 1999; Perry and Zenner, 2000). This growth has substantially increasedthe sensitivity of CEO wealth to stock price (delta) and the sensitivity of CEO wealth to stock volatility (vega).The positive effect of delta and vega is that a higher delta encourages CEOs to work for sharehold ...
Standard Bank Group
... holding regulatory capital in relation to the size and nature of the exposure held. ...
... holding regulatory capital in relation to the size and nature of the exposure held. ...
Sample Chapter - McGraw Hill Higher Education
... single period. But often you will be interested in average returns over longer periods of time. For example, you might want to measure how well a mutual fund has performed over the preceding five-year period. In this case, return measurement is more ambiguous. Consider a fund that starts with $1 mil ...
... single period. But often you will be interested in average returns over longer periods of time. For example, you might want to measure how well a mutual fund has performed over the preceding five-year period. In this case, return measurement is more ambiguous. Consider a fund that starts with $1 mil ...
caratula working paper - Barcelona Graduate School of Economics
... Yes. When contract enforceability problems are severe —so that borrowing constraints arise, but not too severe —so that the leverage effect is strong, a risky economy will, on average, grow faster than a safe economy even if crisis costs are large.4 This mechanism explains why the negative link betwe ...
... Yes. When contract enforceability problems are severe —so that borrowing constraints arise, but not too severe —so that the leverage effect is strong, a risky economy will, on average, grow faster than a safe economy even if crisis costs are large.4 This mechanism explains why the negative link betwe ...
Ethical Investment and Portfolio Theory
... ethical investments, and use the income from their portfolio to give more to charity. Writers analyzing “Corporate Social Responsibility” approach see things as more complicated: for example, Carroll [15] claimed each firm must consider four aims: philanthropy, ethics, legal responsibilities, and pr ...
... ethical investments, and use the income from their portfolio to give more to charity. Writers analyzing “Corporate Social Responsibility” approach see things as more complicated: for example, Carroll [15] claimed each firm must consider four aims: philanthropy, ethics, legal responsibilities, and pr ...
Why do foreign firms have less idiosyncratic risk than U.S.... Söhnke M. Bartram, Gregory Brown, and René M. Stulz*
... seem to explain volatility differences more than country characteristics. Of course, firms choose policies partly in response to characteristics of the country in which they are located. Firms in foreign countries seem to systematically make choices that are associated with lower idiosyncratic vola ...
... seem to explain volatility differences more than country characteristics. Of course, firms choose policies partly in response to characteristics of the country in which they are located. Firms in foreign countries seem to systematically make choices that are associated with lower idiosyncratic vola ...
MAKING CUSTOMERS PAY: MEASURING AND MANAGING
... However, other types of risk associated with a customer, such as the risk of defection or purchasing swings, may not be captured by traditional risk scoring. Therefore, for marketing purposes and for the development of customer management strategies, it may be valuable to use a method for assessing ...
... However, other types of risk associated with a customer, such as the risk of defection or purchasing swings, may not be captured by traditional risk scoring. Therefore, for marketing purposes and for the development of customer management strategies, it may be valuable to use a method for assessing ...
Contagion of Sovereign Default Risk: the Role of Two Financial
... economies, while being silent about how sovereign default risk spreads to other countries, even though most sovereign defaults occurred in bunches in history. Another strand of research on sovereign default has focused on the issue of crisis resolution, bailouts, and debt restructuring. While this l ...
... economies, while being silent about how sovereign default risk spreads to other countries, even though most sovereign defaults occurred in bunches in history. Another strand of research on sovereign default has focused on the issue of crisis resolution, bailouts, and debt restructuring. While this l ...
Default Option Exercise over the Financial Crisis and Beyond
... addition to negative equity, a large number of other covariates including the incentive to refinance, and numerous borrower and loan characteristics are included as control variables. Also included are measures of borrower financial hardship, given recent research indicating the importance of borro ...
... addition to negative equity, a large number of other covariates including the incentive to refinance, and numerous borrower and loan characteristics are included as control variables. Also included are measures of borrower financial hardship, given recent research indicating the importance of borro ...
National Foreclosure Settlement
... “Settlement Loan Modification Program.” It includes the possibility of principal writedown, interest reduction, and forbearance of principal. However, the NPV test must be positive with regard to the proposed modification. If yes, Exhibit I applies, and the borrower may be entitled to one of the fol ...
... “Settlement Loan Modification Program.” It includes the possibility of principal writedown, interest reduction, and forbearance of principal. However, the NPV test must be positive with regard to the proposed modification. If yes, Exhibit I applies, and the borrower may be entitled to one of the fol ...
Concentration risks in financial market infrastructures – the
... positions are closed out. Situation 1 on the left-hand side of the graph is a situation with two CCPs where the margin requirements for the CM are calculated independently. CM 1 has positions in products that are economically identical (perfect correlation of 1, in order to avoid complexities of cor ...
... positions are closed out. Situation 1 on the left-hand side of the graph is a situation with two CCPs where the margin requirements for the CM are calculated independently. CM 1 has positions in products that are economically identical (perfect correlation of 1, in order to avoid complexities of cor ...
Editable Value Lists
... You should take a note of the values on the list within the Clients > Scanned document ‘When attaching documents, record it as type’, as only the last value entered against a client will be displayed in this value list. After the upgrade, this full list will need to be populated following the instru ...
... You should take a note of the values on the list within the Clients > Scanned document ‘When attaching documents, record it as type’, as only the last value entered against a client will be displayed in this value list. After the upgrade, this full list will need to be populated following the instru ...
Bankruptcy Reform and the Housing Crisis.
... households, making it less likely that these households will declare bankruptcy, unsecured creditors are able to offer lower interest rates and engage in more risky lending.5 If we assume that a household must repay their unsecured debt if they default on their mortgage (and do not simultaneously d ...
... households, making it less likely that these households will declare bankruptcy, unsecured creditors are able to offer lower interest rates and engage in more risky lending.5 If we assume that a household must repay their unsecured debt if they default on their mortgage (and do not simultaneously d ...
Chapter 6—The Tradeoff Between Risk and Return
... a Corporate Bond, and a Stock. You are told that each of these investments are expected to produce (after the cash is paid out then no other cash flows are anticipated) $100 one year from now. Which asset should be the least expensive today, in terms of dollars that you will have to pay for the asse ...
... a Corporate Bond, and a Stock. You are told that each of these investments are expected to produce (after the cash is paid out then no other cash flows are anticipated) $100 one year from now. Which asset should be the least expensive today, in terms of dollars that you will have to pay for the asse ...
Current Trends in the Global Reinsurance Market
... the basis of these indicative terms and no specific issuer is obligated to issue any security or instrument on such indicative terms. This presentation does not constitute an offer to sell or any solicitation of any offer to buy or sell any security or instrument or to enter into any transaction on ...
... the basis of these indicative terms and no specific issuer is obligated to issue any security or instrument on such indicative terms. This presentation does not constitute an offer to sell or any solicitation of any offer to buy or sell any security or instrument or to enter into any transaction on ...
Individual vs. Aggregate Preferences
... the economy. Individuals are traditionally assumed to be risk averse. In recent years, however, a large literature has developed arguing that individuals do not make decisions according to standard concave utility functions but instead are averse to losses, are overconfident, tend to under- or overr ...
... the economy. Individuals are traditionally assumed to be risk averse. In recent years, however, a large literature has developed arguing that individuals do not make decisions according to standard concave utility functions but instead are averse to losses, are overconfident, tend to under- or overr ...
Determinants of Microinsurance Demand: Evidence from a Micro
... customer of the Grameen Bank in Bangladesh was able – with the help of the loan – to start a successful rice threshing and betel nut shop. After a devastating cyclone in 2007, however, she lost all her productive assets but was still sitting on an outstanding loan of USD 900. She had lost her capabi ...
... customer of the Grameen Bank in Bangladesh was able – with the help of the loan – to start a successful rice threshing and betel nut shop. After a devastating cyclone in 2007, however, she lost all her productive assets but was still sitting on an outstanding loan of USD 900. She had lost her capabi ...
1861 - Syndicate annual accounts 2016
... business has reduced to 8.0% (2015:11.5%) as the Syndicate achieves greater scale, which has been achieved against a backdrop of increasing regulatory costs and continued investment in the Lloyd’s platform. 1861 Underwriting Review Portfolio and cycle management have been a key focus for the 1861 un ...
... business has reduced to 8.0% (2015:11.5%) as the Syndicate achieves greater scale, which has been achieved against a backdrop of increasing regulatory costs and continued investment in the Lloyd’s platform. 1861 Underwriting Review Portfolio and cycle management have been a key focus for the 1861 un ...
Prudential Requirements Consultation Paper
... sectors to raise capital in the public markets via issues of shares and corporate bonds on the Jamaica Stock Exchange. This will provide greater opportunities for generating fee income from traditional investment banking activities such as advice and underwriting. ...
... sectors to raise capital in the public markets via issues of shares and corporate bonds on the Jamaica Stock Exchange. This will provide greater opportunities for generating fee income from traditional investment banking activities such as advice and underwriting. ...