Report
... Repurchase price > original sale price, the difference representing interest, the “repo rate” Seller is a borrower, using securities as collateral for a cash loan at specified interest rate The buyer acts as a lender ...
... Repurchase price > original sale price, the difference representing interest, the “repo rate” Seller is a borrower, using securities as collateral for a cash loan at specified interest rate The buyer acts as a lender ...
Insurance Concentration Risk Charge Natural Perils
... Policy data represents a one to one correspondence with the policies written by the insurer. However for many classes of commercial insurances a policy can cover many locations (could be thousands). For example a commercial policy may cover a wide range of retail outlets, each with its own specific ...
... Policy data represents a one to one correspondence with the policies written by the insurer. However for many classes of commercial insurances a policy can cover many locations (could be thousands). For example a commercial policy may cover a wide range of retail outlets, each with its own specific ...
BERMUDA MONETARY AUTHORITY
... insurers in accordance with the proportionality principle. Additionally, the Authority is currently enhancing its Long-term insurer’s regime, and will publish a consultation paper in the fall of 2010. It is expected that that paper will outline a classification for Long-term insurers, similar to tha ...
... insurers in accordance with the proportionality principle. Additionally, the Authority is currently enhancing its Long-term insurer’s regime, and will publish a consultation paper in the fall of 2010. It is expected that that paper will outline a classification for Long-term insurers, similar to tha ...
Information on risk, own funds and capital requirements
... body, its objectives and any relevant targets set out in that policy, and the extent to which these objectives and targets have been achieved Personnel Committee of Supervisory Board selects Board Members in the way that general composition of Board of Management possesses practical experience relat ...
... body, its objectives and any relevant targets set out in that policy, and the extent to which these objectives and targets have been achieved Personnel Committee of Supervisory Board selects Board Members in the way that general composition of Board of Management possesses practical experience relat ...
Multi-stock portfolio optimization under prospect theory
... Our CPT framework is fairly general in all its three key elements. First, we allow for general reference points or targets. We cover fixed reference points, which include the riskless return. The reference point may depend on the amounts the agents chooses to invest, which includes the expected retu ...
... Our CPT framework is fairly general in all its three key elements. First, we allow for general reference points or targets. We cover fixed reference points, which include the riskless return. The reference point may depend on the amounts the agents chooses to invest, which includes the expected retu ...
Bank Capital Methodology And Assumptions - A
... multiplying the bank's main risk exposures by the relevant risk weights, stated as a percentage. Risk weights adjust the exposures to reflect our view of their relative degree of risk; this means, the greater the risk we see, the higher the risk weight we apply and consequently the higher the result ...
... multiplying the bank's main risk exposures by the relevant risk weights, stated as a percentage. Risk weights adjust the exposures to reflect our view of their relative degree of risk; this means, the greater the risk we see, the higher the risk weight we apply and consequently the higher the result ...
Sensitivity, Specificity, and Useful Measures of Diagnostic Utility
... how radio receivers (like radar receivers) operated over a range of frequencies. . . . This is not how most ROC curves are used now, particularly in medicine. The receiver of a diagnostic measurement . . . wants to make a decision based on some xc , and is not especially interested in how well he wo ...
... how radio receivers (like radar receivers) operated over a range of frequencies. . . . This is not how most ROC curves are used now, particularly in medicine. The receiver of a diagnostic measurement . . . wants to make a decision based on some xc , and is not especially interested in how well he wo ...
Aggregation of risks and Allocation of capital
... A risk measure needs to be selected that corresponds to how the risk in question is defined. There exist a wide range of risk measures. Each one has its own unique characteristics, so the risk measure an insurer adopts will ultimately depend on the purpose for which it will be used. Different uses i ...
... A risk measure needs to be selected that corresponds to how the risk in question is defined. There exist a wide range of risk measures. Each one has its own unique characteristics, so the risk measure an insurer adopts will ultimately depend on the purpose for which it will be used. Different uses i ...
Three essays on risk management and financial stability
... financial indicators capable of explaining business failure at a 1-year prediction horizon are identified. Using the model estimated in this way, an aggregate indicator of the creditworthiness of the Czech corporate sector (named as JT index) is then constructed and its evolution over time is shown. ...
... financial indicators capable of explaining business failure at a 1-year prediction horizon are identified. Using the model estimated in this way, an aggregate indicator of the creditworthiness of the Czech corporate sector (named as JT index) is then constructed and its evolution over time is shown. ...
LOWER PARTIAL MOMENTS AS A MEASURE OF VULNERABILITY
... To address the critique of implicit risk attitude assumptions of the VEP, we suggest that the general concept of vulnerability, defined as an ex‐ante risk measure based on stochastic welfare distributions, is not different from risk analysis concepts as they have been wide ...
... To address the critique of implicit risk attitude assumptions of the VEP, we suggest that the general concept of vulnerability, defined as an ex‐ante risk measure based on stochastic welfare distributions, is not different from risk analysis concepts as they have been wide ...
Chapter 6 - NYU Stern School of Business
... firm (or to particular business lines within the firm). This overall cost may be determined using past data on internal operational failures and the costs involved. Alternatively, industry data may be used to assess the overall severity of operational risk events for similar-sized firms as well as t ...
... firm (or to particular business lines within the firm). This overall cost may be determined using past data on internal operational failures and the costs involved. Alternatively, industry data may be used to assess the overall severity of operational risk events for similar-sized firms as well as t ...
risk measurement for hedge fund portfolios
... The nature of the industry however, makes hedge fund investing difficult. First, many hedge fund strategies are complex and challenging to evaluate. Hedge fund managers, unlike mutual fund managers, have no rules or regulations limiting how or in what financial instruments they can invest. Secondly, ...
... The nature of the industry however, makes hedge fund investing difficult. First, many hedge fund strategies are complex and challenging to evaluate. Hedge fund managers, unlike mutual fund managers, have no rules or regulations limiting how or in what financial instruments they can invest. Secondly, ...
PDF
... et al. 2008; Mahul 2001). In brief, the issuer of a bond grants an investor an annual return in the form of a coupon as well as principal payments in exchange for paying the bond price. In the case of an unfavorable event, the issuer retains a certain share of the principal or the coupon as a compen ...
... et al. 2008; Mahul 2001). In brief, the issuer of a bond grants an investor an annual return in the form of a coupon as well as principal payments in exchange for paying the bond price. In the case of an unfavorable event, the issuer retains a certain share of the principal or the coupon as a compen ...
Short Selling Risk - Rady School of Management
... Fee Risk and Recall Risk are related to future returns: a long-short portfolio formed based on Fee Risk earns a 9.7% annual three-factor alpha. The same portfolio based on Recall Risk earns 8.6% annually. Higher short selling risk appears to limit the ability of arbitrageurs to correct mispricing, ...
... Fee Risk and Recall Risk are related to future returns: a long-short portfolio formed based on Fee Risk earns a 9.7% annual three-factor alpha. The same portfolio based on Recall Risk earns 8.6% annually. Higher short selling risk appears to limit the ability of arbitrageurs to correct mispricing, ...
A Modern, Behavior-Aware Approach to Asset Allocation and
... Yet it was not until Dr. Harry Markowitz published his seminal article “Portfolio Selection” in 1952 that investors had a mathematical formulation for the concept. His work, which ultimately coalesced into Modern Portfolio Theory (MPT), not only provided practitioners a means to measure risk and div ...
... Yet it was not until Dr. Harry Markowitz published his seminal article “Portfolio Selection” in 1952 that investors had a mathematical formulation for the concept. His work, which ultimately coalesced into Modern Portfolio Theory (MPT), not only provided practitioners a means to measure risk and div ...
Measuring and marking counterparty risk
... usually modeled as lognormal diffusions. This practice is in contrast with the modeling of emerging market foreign exchange rates, where significant jumps can occur. Jump-diffusion processes are generally employed to characterize the movements of the prices of emerging market or pegged currencies. T ...
... usually modeled as lognormal diffusions. This practice is in contrast with the modeling of emerging market foreign exchange rates, where significant jumps can occur. Jump-diffusion processes are generally employed to characterize the movements of the prices of emerging market or pegged currencies. T ...
Diversification Preferences in the Theory of
... Another rule which may prove useful can be derived from our theory. This is the rule that it is advisable to divide goods which are exposed to some danger into several portions rather than to risk them all together. – Daniel Bernoulli, 1738 ...
... Another rule which may prove useful can be derived from our theory. This is the rule that it is advisable to divide goods which are exposed to some danger into several portions rather than to risk them all together. – Daniel Bernoulli, 1738 ...
The Effect of Poison Pills on Firm Risk: An Application of Options Pricing Theory
... simple buy-hold equity investment strategy would yield above normal returns. Obviously so simple a trading opportunity would quickly be exploited, pushing up prices of firms that make long term or high risk investments. The presence of noise in market valuations, however, implies that the threat of ...
... simple buy-hold equity investment strategy would yield above normal returns. Obviously so simple a trading opportunity would quickly be exploited, pushing up prices of firms that make long term or high risk investments. The presence of noise in market valuations, however, implies that the threat of ...
Risk Aversion, Wealth, and Personality
... narrow framing (evaluating the gamble in isolation, without incorporating it with overall wealth - see e.g. Barberis et al. (2006)), thus we also use household income and personal income as reference values in the utility function. If we assume negative exponential utility (eq. 3), we are able to fi ...
... narrow framing (evaluating the gamble in isolation, without incorporating it with overall wealth - see e.g. Barberis et al. (2006)), thus we also use household income and personal income as reference values in the utility function. If we assume negative exponential utility (eq. 3), we are able to fi ...
Credit Risk
... changes in debt value caused by changes in obligor credit quality. Changes in value caused not only by possible default events, but also by upgrades and downgrades in credit quality are included. The value-at-risk (VaR) - the volatility of value, not just the expected losses, is assessed. ...
... changes in debt value caused by changes in obligor credit quality. Changes in value caused not only by possible default events, but also by upgrades and downgrades in credit quality are included. The value-at-risk (VaR) - the volatility of value, not just the expected losses, is assessed. ...
Asset Pricing with Idiosyncratic Risk and Overlapping Generations
... two OLG versions of the Constantinides-Duffie model, one without retirement and one with retirement. We calibrate the models and confirm the above intuition: the existence of retirees reduces the Sharpe ratio on equity from 41% — which matches U.S. data — to 34%, which is roughly halfway to the comp ...
... two OLG versions of the Constantinides-Duffie model, one without retirement and one with retirement. We calibrate the models and confirm the above intuition: the existence of retirees reduces the Sharpe ratio on equity from 41% — which matches U.S. data — to 34%, which is roughly halfway to the comp ...
The effects of the sample size, the investment horizon, and market
... paper generalizes this important result to include Treynor's and Jensen's In addition, it is shown that the relationship performance measures. between the estimated Sharpe's measure and its risk proxy is a special case of the relationship between the estimated Treynor's measure and Moreover, the con ...
... paper generalizes this important result to include Treynor's and Jensen's In addition, it is shown that the relationship performance measures. between the estimated Sharpe's measure and its risk proxy is a special case of the relationship between the estimated Treynor's measure and Moreover, the con ...
NBER WORKING PAPER SERIES OF BELIEFS. Pierre Collin-Dufresne
... (1999), and the “Cox-process” framework described in Lando (1998). The tractability of these frameworks stemmed directly from their assumption that no contagion risk was present. One contribution of this paper is to identify a simple and economically intuitive framework that tractably captures cont ...
... (1999), and the “Cox-process” framework described in Lando (1998). The tractability of these frameworks stemmed directly from their assumption that no contagion risk was present. One contribution of this paper is to identify a simple and economically intuitive framework that tractably captures cont ...
Firm Risk and Leverage-Based Business Cycles
... There are two distinct components of this paper that contribute to the literature on macro-financial accelerator models. The first is an estimation of time-series volatility of “risk shocks” using microeconomic data, and the second is an application of the empirical results to a well-known macroecon ...
... There are two distinct components of this paper that contribute to the literature on macro-financial accelerator models. The first is an estimation of time-series volatility of “risk shocks” using microeconomic data, and the second is an application of the empirical results to a well-known macroecon ...
discount rates
... (Examples: A drug working its way through the FDA pipeline may fail at some stage of the approval process or a company in Venezuela may be nationalized) Continuous risk: Risks changes in interest rates or economic growth occur continuously and affect value as they happen. ...
... (Examples: A drug working its way through the FDA pipeline may fail at some stage of the approval process or a company in Venezuela may be nationalized) Continuous risk: Risks changes in interest rates or economic growth occur continuously and affect value as they happen. ...
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.