Essays on international capital flows and macroeconomic stability
... foreign investors will cause demand for emerging market bonds to shift from the foreign to the local investor, causing an outflow in the emerging bond market. Both the foreign and domestic investors will cut demand for shares, and therefore the direction of share flows is unpredictable. ...
... foreign investors will cause demand for emerging market bonds to shift from the foreign to the local investor, causing an outflow in the emerging bond market. Both the foreign and domestic investors will cut demand for shares, and therefore the direction of share flows is unpredictable. ...
On Credit Risk Modeling and Management
... definitions for ”default” and for ”economic loss”. Then, based on our definition of ”default” we could proceed to estimating the potential ”economic loss” The concept of default may refer to the missing of a payment in due time, the deterioration of credibility of the counterparty or whatever one ma ...
... definitions for ”default” and for ”economic loss”. Then, based on our definition of ”default” we could proceed to estimating the potential ”economic loss” The concept of default may refer to the missing of a payment in due time, the deterioration of credibility of the counterparty or whatever one ma ...
Risk Management and Value Creation in Financial Institutions
... in the financial industry has been one of the most exciting and most researched areas over the last decade. Depositors and regulators claim that risk management is necessary, and many banks argue that superior risk management can create (shareholder) value. However, from a theoretical point of view, ...
... in the financial industry has been one of the most exciting and most researched areas over the last decade. Depositors and regulators claim that risk management is necessary, and many banks argue that superior risk management can create (shareholder) value. However, from a theoretical point of view, ...
CTAs: Shedding light on the black box
... assert that some hold true under analysis while others are likely not fully informed. Below are some important conclusions which we believe are worth highlighting: 1. One of the common misconceptions about CTAs is that they are long volatility when in fact they are simply long ‘gamma’, meaning that ...
... assert that some hold true under analysis while others are likely not fully informed. Below are some important conclusions which we believe are worth highlighting: 1. One of the common misconceptions about CTAs is that they are long volatility when in fact they are simply long ‘gamma’, meaning that ...
Risk Aversion and Clientele Effects
... Standard & Poor's Barra Growth and Value Indices; Russell Midcap Growth and Value Indices; Russell 1000 Growth and Value Indices; Russell 2000 Growth and Value Indices; and Russell 3000 Growth and Value Indices. First, we extract latent risk aversion coefficients from the prices of derivative securi ...
... Standard & Poor's Barra Growth and Value Indices; Russell Midcap Growth and Value Indices; Russell 1000 Growth and Value Indices; Russell 2000 Growth and Value Indices; and Russell 3000 Growth and Value Indices. First, we extract latent risk aversion coefficients from the prices of derivative securi ...
Reinsurance
... Compulsory placement of reinsurance as a means of the local government’s attempt to: Diversify the pools of risks from individual insurers to the national reinsurer Permit more favorable terms and prices when the national reinsurer retrocedes risks internationally The global trend is to abandon such ...
... Compulsory placement of reinsurance as a means of the local government’s attempt to: Diversify the pools of risks from individual insurers to the national reinsurer Permit more favorable terms and prices when the national reinsurer retrocedes risks internationally The global trend is to abandon such ...
Barriers to convert to organic farming and the role of risk
... to organic farming is of great interest for policy makers as well as for academics. In Sweden and in other EU countries, proposed targets of the area in organic farmland have failed to be reached in spite of different kinds of policy measures. Most studies agree that the average profitability seems ...
... to organic farming is of great interest for policy makers as well as for academics. In Sweden and in other EU countries, proposed targets of the area in organic farmland have failed to be reached in spite of different kinds of policy measures. Most studies agree that the average profitability seems ...
chapter 1 - Test Bank wizard
... Even if the correlation between the returns on two securities is +1.0, if the securities are combined in the correct proportions, the resulting 2-asset portfolio will have less risk than either security held alone. a. True b. False ...
... Even if the correlation between the returns on two securities is +1.0, if the securities are combined in the correct proportions, the resulting 2-asset portfolio will have less risk than either security held alone. a. True b. False ...
CSA Mutual Fund Risk Classification Methodology for Use in Fund
... over the course of their existence even with the lowering of the volatility and the small minority that do shift, will not shift by more than one risk band. As such, we do not believe that any modifications are required to the Proposed Methodology for target date funds. ...
... over the course of their existence even with the lowering of the volatility and the small minority that do shift, will not shift by more than one risk band. As such, we do not believe that any modifications are required to the Proposed Methodology for target date funds. ...
Cross-Sectional Dispersion and Expected Returns
... market portfolio. However, the assumption of full diversification is particularly restrictive and highly unlikely to describe the way in which investors actually construct portfolios, since in reality different investors clearly hold equity portfolios that are different from the market portfolio and ...
... market portfolio. However, the assumption of full diversification is particularly restrictive and highly unlikely to describe the way in which investors actually construct portfolios, since in reality different investors clearly hold equity portfolios that are different from the market portfolio and ...
How Important Is the Inflation Risk Premium?
... percent. Further, because our retiree typically knows the actual inflation rate only with a time lag, she may find herself having consumed too much or too little in hindsight.6 Consequently, even if our retiree expects average inflation for the life of the bond to be 2 percent, which means the real ...
... percent. Further, because our retiree typically knows the actual inflation rate only with a time lag, she may find herself having consumed too much or too little in hindsight.6 Consequently, even if our retiree expects average inflation for the life of the bond to be 2 percent, which means the real ...
Pillar 3 Report for 30 September 2016 (PDF 1MB)
... satisfying itself through appropriate reporting and oversight that appropriate internal control mechanisms are in place and are being implemented in accordance with regulatory requirements. The Board has delegated to the Board Risk & Compliance Committee responsibility to review and recommend the We ...
... satisfying itself through appropriate reporting and oversight that appropriate internal control mechanisms are in place and are being implemented in accordance with regulatory requirements. The Board has delegated to the Board Risk & Compliance Committee responsibility to review and recommend the We ...
detailed assessment report of lbtr, sistema de liquidación bruta en
... first exhausting the collateral provided by the delayed/defaulted participant(s). Collateral in securities – although highly liquid – may not be readily available (within one or two hours), at least in part because ComDer uses a model of electronic pledge. Also, the same considerations that were mad ...
... first exhausting the collateral provided by the delayed/defaulted participant(s). Collateral in securities – although highly liquid – may not be readily available (within one or two hours), at least in part because ComDer uses a model of electronic pledge. Also, the same considerations that were mad ...
Credit ratings and credit risk: Is one measure enough?
... investors are interested in ratings and why variation in borrowing cost is strongly related to rating: investors care both about expected payo¤ and about risk premia. This paper adds to a growing literature that evaluates the ability of ratings to predict default, beginning with Hickman (1958). Some ...
... investors are interested in ratings and why variation in borrowing cost is strongly related to rating: investors care both about expected payo¤ and about risk premia. This paper adds to a growing literature that evaluates the ability of ratings to predict default, beginning with Hickman (1958). Some ...
Possible Appendix/Side panel/Sidebar/Footnote(s) re: references
... outcomes from a large number of similar insured risks should be distributed around the mean, and will become closer to the mean as more similar insured risks are added to the same portfolio. If the actual cash flows turned out to be equal to the expected value of the cash flows, no profit or loss f ...
... outcomes from a large number of similar insured risks should be distributed around the mean, and will become closer to the mean as more similar insured risks are added to the same portfolio. If the actual cash flows turned out to be equal to the expected value of the cash flows, no profit or loss f ...
Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk
... 54. Which of the following is false about the security market line (SML) derived from the APT? A. The SML has a downward slope. B. The SML for the APT shows expected return in relation to portfolio standard deviation. C. The SML for the APT has an intercept equal to the expected return on the market ...
... 54. Which of the following is false about the security market line (SML) derived from the APT? A. The SML has a downward slope. B. The SML for the APT shows expected return in relation to portfolio standard deviation. C. The SML for the APT has an intercept equal to the expected return on the market ...
Speculation and Risk Sharing with New Financial Assets Alp Simsek
... diversi…cation and the sharing of risks.1 However, this view does not take into account that new assets are often associated with much uncertainty, especially because they do not have a long track record. Belief disagreements come as a natural by-product of this uncertainty and change the implicatio ...
... diversi…cation and the sharing of risks.1 However, this view does not take into account that new assets are often associated with much uncertainty, especially because they do not have a long track record. Belief disagreements come as a natural by-product of this uncertainty and change the implicatio ...
Credit Ratings and The Cross
... following the procedure in Fama and French (1992), (iii) Turnover: Measured as the ratio of monthly share trading volume to the number of shares outstanding, (iv) R(t−7:t−2) : Cumulative return over the last six months. All the characteristics are lagged by two months relative to the month in which ...
... following the procedure in Fama and French (1992), (iii) Turnover: Measured as the ratio of monthly share trading volume to the number of shares outstanding, (iv) R(t−7:t−2) : Cumulative return over the last six months. All the characteristics are lagged by two months relative to the month in which ...
QIS4 Technical Specifications
... The technical specifications laid out in this document have been written exclusively for the purposes of the QIS4 exercise. Whilst the results of this exercise will be the main quantitative input used by CEIOPS in the development of their final advice on potential level 2 implementing measures, whic ...
... The technical specifications laid out in this document have been written exclusively for the purposes of the QIS4 exercise. Whilst the results of this exercise will be the main quantitative input used by CEIOPS in the development of their final advice on potential level 2 implementing measures, whic ...
Guidelines on Risk Based Capital Adequacy
... the banking sector’s ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy. “Basel III: A global regulatory framework for more resilient banks and banking systems” (known as Basel II ...
... the banking sector’s ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy. “Basel III: A global regulatory framework for more resilient banks and banking systems” (known as Basel II ...
NBER WORKING PAPER SERIES INTERNATIONAL CONSUMPTION RISK IS SHARED AFTER ALL:
... How much welfare improvement can be generated by optimal international consumption risksharing? The obvious importance of this question has motivated a significant body of research.1 As this literature shows, international risk-sharing gains depend directly upon the value of consumption risk and the ...
... How much welfare improvement can be generated by optimal international consumption risksharing? The obvious importance of this question has motivated a significant body of research.1 As this literature shows, international risk-sharing gains depend directly upon the value of consumption risk and the ...
Managing biodiversity correctly – Efficient portfolio - Bio
... this context. While future holistic approach, as expressed returns cannot be predicted in the concept of sustainable with certainty, financial service development. Long-term consideproviders combine risks which rations and future expectations are independent of each other represent the basis on whic ...
... this context. While future holistic approach, as expressed returns cannot be predicted in the concept of sustainable with certainty, financial service development. Long-term consideproviders combine risks which rations and future expectations are independent of each other represent the basis on whic ...
Does Financial Distress Risk Drive the Momentum Anomaly?
... first to demonstrate that subsequently bankrupt firms under perform the market for up to four years prior to bankruptcy, and particularly during the last year. This suggests that the market is anticipating, but not fully incorporating (i.e., under reacting to), the deteriorating financial health of ...
... first to demonstrate that subsequently bankrupt firms under perform the market for up to four years prior to bankruptcy, and particularly during the last year. This suggests that the market is anticipating, but not fully incorporating (i.e., under reacting to), the deteriorating financial health of ...
Intensity and Effectiveness of SIFI Supervision
... operational independence and also expanding on some of the criteria for assessment. For instance some criteria that could be considered would be, under what circumstances key decisions on individual companies be referred to the government; supervisory agencies should not manage or otherwise run the ...
... operational independence and also expanding on some of the criteria for assessment. For instance some criteria that could be considered would be, under what circumstances key decisions on individual companies be referred to the government; supervisory agencies should not manage or otherwise run the ...
Risk analysis of the proxy life-cycle investments in the second pillar
... For the purpose of optimizing the cost of the system on the one hand and efforts to approximate the true life-cycle investment model with the proxy model, as far as possible, in practice there are only three to five pension funds of various risk categories. Depending on the number of funds, for a me ...
... For the purpose of optimizing the cost of the system on the one hand and efforts to approximate the true life-cycle investment model with the proxy model, as far as possible, in practice there are only three to five pension funds of various risk categories. Depending on the number of funds, for a me ...
Risk
Risk is potential of losing something of value. Values (such as physical health, social status, emotional well being or financial wealth) can be gained or lost when taking risk resulting from a given action, activity and/or inaction, foreseen or unforeseen. Risk can also be defined as the intentional interaction with uncertainty. Uncertainty is a potential, unpredictable, unmeasurable and uncontrollable outcome, risk is a consequence of action taken in spite of uncertaintyRisk perception is the subjective judgment people make about the severity and/or probability of a risk, and may vary person to person. Any human endeavor carries some risk, but some are much riskier than others.