Principles for Financial Market Infrastructures (PFMIs
... I. EXECUTIVE SUMMARY The objective of this Disclosure Report is to provide relevant information to NGX Contracting Parties and market participants on the risk management framework used by NGX to manage the risks it faces as a central counterparty. This disclosure document has been prepared in accord ...
... I. EXECUTIVE SUMMARY The objective of this Disclosure Report is to provide relevant information to NGX Contracting Parties and market participants on the risk management framework used by NGX to manage the risks it faces as a central counterparty. This disclosure document has been prepared in accord ...
Document
... This report is presented in euros (EUR), which is ABN AMRO’s presentation currency, rounded to the nearest million, and sets out the results for the entire ABN AMRO organisation worldwide (unless otherwise stated). All financial averages present trends that are materially different from those that w ...
... This report is presented in euros (EUR), which is ABN AMRO’s presentation currency, rounded to the nearest million, and sets out the results for the entire ABN AMRO organisation worldwide (unless otherwise stated). All financial averages present trends that are materially different from those that w ...
Influencing Control: Jawboning in Risk Arbitrage
... institutional investor activism has been that it strives to influence corporate policies and governance, but does not aim for control (Brav, Jiang, Partnoy, and Thomas, 2008a). The activist arbitrage strategy, by instilling shareholder activism into corporate control events, thus bridges the two by ...
... institutional investor activism has been that it strives to influence corporate policies and governance, but does not aim for control (Brav, Jiang, Partnoy, and Thomas, 2008a). The activist arbitrage strategy, by instilling shareholder activism into corporate control events, thus bridges the two by ...
Are Dividend Changes a Sign of Firm Maturity?
... profitability than BMT and relate these results to changes in risk. Our initial objective is to use these findings to understand the information content of dividend changes. But the overall goal of our analysis is to relate changes in dividend policy to changes in a firm’s life cycle; the key idea b ...
... profitability than BMT and relate these results to changes in risk. Our initial objective is to use these findings to understand the information content of dividend changes. But the overall goal of our analysis is to relate changes in dividend policy to changes in a firm’s life cycle; the key idea b ...
CLS Bank International Best Practices for Nostro Agents and Nostro
... A secondary CLS Nostro account can be an existing Nostro account used by a different business line/product, or a CLS specific back-up Nostro account. Secondary CLS accounts should be tested in production on low-value CLS days such as a USD holiday. It is recommended that Members have an internal doc ...
... A secondary CLS Nostro account can be an existing Nostro account used by a different business line/product, or a CLS specific back-up Nostro account. Secondary CLS accounts should be tested in production on low-value CLS days such as a USD holiday. It is recommended that Members have an internal doc ...
Knowingly taking risk Investment decision making in real estate
... as soon as the project is completed. All these activities are internally financed or have the backing of financial institutions. This means that a real estate developer needs to have expertise on various disciplines as he has to cooperate with many different actors. Most of these parties are directly ...
... as soon as the project is completed. All these activities are internally financed or have the backing of financial institutions. This means that a real estate developer needs to have expertise on various disciplines as he has to cooperate with many different actors. Most of these parties are directly ...
Prospectus - Franklin Templeton Investment Funds (SICAV)
... under US law, any applicable statute, rule or interpretation. US Persons are not eligible to invest in the Company. Prospective Investors shall be required to declare that they are not a US Person and are not applying for Shares on behalf of any US Person. In the absence of written notice to the Com ...
... under US law, any applicable statute, rule or interpretation. US Persons are not eligible to invest in the Company. Prospective Investors shall be required to declare that they are not a US Person and are not applying for Shares on behalf of any US Person. In the absence of written notice to the Com ...
Low volatility anomaly and mutual fund allocations - Aalto
... stocks deliver higher absolute returns than the CAPM predicts. In other words, this means that the security market line which describes the relationship between risk and expected return was too flat relative to the CAPM. There are several explanations for the anomaly – many of them relating to biase ...
... stocks deliver higher absolute returns than the CAPM predicts. In other words, this means that the security market line which describes the relationship between risk and expected return was too flat relative to the CAPM. There are several explanations for the anomaly – many of them relating to biase ...
Draft technical specifications
... SCR.12.5. Special features regarding credit derivatives ................................................... 328 SCR.12.6. Collateral .......................................................................................................... 329 SCR.12.7. Segregation of assets ........................ ...
... SCR.12.5. Special features regarding credit derivatives ................................................... 328 SCR.12.6. Collateral .......................................................................................................... 329 SCR.12.7. Segregation of assets ........................ ...
Evaluation of Active Management of the Norwegian Government
... In line with the brief, the report has three main sections. The first undertakes a review of the theory and empirical evidence on the Efficient Market Hypothesis [EMH]. If markets are completely efficient, active portfolio management has little potential to add to fund performance. Therefore, in ...
... In line with the brief, the report has three main sections. The first undertakes a review of the theory and empirical evidence on the Efficient Market Hypothesis [EMH]. If markets are completely efficient, active portfolio management has little potential to add to fund performance. Therefore, in ...
Copula-based top-down approaches in financial risk aggregation
... the amount of economic capital depends on the rating that a financial institution aspires, as the probability of default (i.e. the probability that the economic capital cannot absorb the realised losses) is related to the confidence level of the risk measure.1 Such reasoning also forms the basis of ...
... the amount of economic capital depends on the rating that a financial institution aspires, as the probability of default (i.e. the probability that the economic capital cannot absorb the realised losses) is related to the confidence level of the risk measure.1 Such reasoning also forms the basis of ...
INFORMATION REQUESTS FOR ROGER A. MORIN (RAM) In the matter of:
... Morin agree that energy distribution in the U.S. is farther along in the process of deregulation? If not, please explain why not. If so, kindly explain Dr. Morin’s view of how greater deregulation affects the amount of equity carried by utilities. FCEI/UMQ&OptionConsommateurs-HQDIST(RET.).28 Referen ...
... Morin agree that energy distribution in the U.S. is farther along in the process of deregulation? If not, please explain why not. If so, kindly explain Dr. Morin’s view of how greater deregulation affects the amount of equity carried by utilities. FCEI/UMQ&OptionConsommateurs-HQDIST(RET.).28 Referen ...
Introduction to Credit Risk Modeling, An
... credit default swaps; see the chapter on credit derivatives). • Calibration of default probabilites from ratings. In this approach, default probabilities are associated with ratings, and ratings are assigned to customers either by external rating agencies like Moody’s Investors Services, Standard & ...
... credit default swaps; see the chapter on credit derivatives). • Calibration of default probabilites from ratings. In this approach, default probabilities are associated with ratings, and ratings are assigned to customers either by external rating agencies like Moody’s Investors Services, Standard & ...
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 ...
International Convergence of Capital Measures and Capital
... General criteria......................................................................................... 191 ...
... General criteria......................................................................................... 191 ...
WESTPAC BANKING CORP (Form: 6-K, Received
... Controlling and managing risk Westpac manages the risks that affect our business as they influence our performance, reputation and future success. Effective risk management involves taking an integrated approach to risk and reward, and enables us to both increase financial growth opportunities and m ...
... Controlling and managing risk Westpac manages the risks that affect our business as they influence our performance, reputation and future success. Effective risk management involves taking an integrated approach to risk and reward, and enables us to both increase financial growth opportunities and m ...
Portfolio Risk Calculation and Stochastic Portfolio Optimization by A
... 3. COPULA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...
... 3. COPULA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...
More Finance Questions
... ____ 23. Historically the return on stocks has been higher than the return on bonds. In part this reflects the higher risk from holding stock. ____ 24. Risk-averse persons will take no risks. ____ 25. The market for insurance is one example of reducing risk by using diversification. ____ 26. A perso ...
... ____ 23. Historically the return on stocks has been higher than the return on bonds. In part this reflects the higher risk from holding stock. ____ 24. Risk-averse persons will take no risks. ____ 25. The market for insurance is one example of reducing risk by using diversification. ____ 26. A perso ...
CreditMetrics™ — Technical Document
... default risk as the available data quality would allow. Although we never mandated during this development that CreditMetrics must resemble RiskMetrics, the outcome has yielded philosophically similar models. One major difference in the models was driven by the difference in the available data. In R ...
... default risk as the available data quality would allow. Although we never mandated during this development that CreditMetrics must resemble RiskMetrics, the outcome has yielded philosophically similar models. One major difference in the models was driven by the difference in the available data. In R ...
Adverse Selection in Reinsurance Markets
... bounded from below at -1 and bounded from above at +1.6 Our external ceded reinsurance premium variable is taken directly from Schedule F, Part 3 of the annual statement. There, reinsurers are classified as being either authorized or unauthorized. Unauthorized reinsurers are accorded this status bec ...
... bounded from below at -1 and bounded from above at +1.6 Our external ceded reinsurance premium variable is taken directly from Schedule F, Part 3 of the annual statement. There, reinsurers are classified as being either authorized or unauthorized. Unauthorized reinsurers are accorded this status bec ...
Competition, Reach for Yield, and Money Market Funds
... Do money market funds “reach for yield” because of competitive pressure when riskfree rates decrease? Are there differences in the cross-section? What is the proper notion of competitive pressure for money market funds? To answer these questions, I propose a tournament model of money market funds a ...
... Do money market funds “reach for yield” because of competitive pressure when riskfree rates decrease? Are there differences in the cross-section? What is the proper notion of competitive pressure for money market funds? To answer these questions, I propose a tournament model of money market funds a ...
Pillar 3 Risk and Capital Management Report 2016
... The group’s comprehensive Pillar 3 and public disclosure complies with regulation 43 of the regulations relating to banks issued in terms of the Banks Act (Act No. 94 of 1990). Set out below are the key subsidiary companies of Nedbank Group. Consistent with the principle of proportionality (or mater ...
... The group’s comprehensive Pillar 3 and public disclosure complies with regulation 43 of the regulations relating to banks issued in terms of the Banks Act (Act No. 94 of 1990). Set out below are the key subsidiary companies of Nedbank Group. Consistent with the principle of proportionality (or mater ...
AdamsSafe Harbors - Digital Access to Scholarship at Harvard
... repurchase agreements from key provisions, such as the automatic stay. The primary rationale for this special treatment has been the fear that the failure of an important market participant could cascade if counterparties could not immediately exit their contracts. Reflecting on the recent financial ...
... repurchase agreements from key provisions, such as the automatic stay. The primary rationale for this special treatment has been the fear that the failure of an important market participant could cascade if counterparties could not immediately exit their contracts. Reflecting on the recent financial ...
Volatility and Fixed Income Asset Class Comparison
... Where k is the mean reversion parameter, a is the long-term mean, rt is the instantaneous interest rate, Vt is the instantaneous level of implied volatility, σ is the volatility of rates and the volatility of implied volatility (for each equation, respectively), and dWt is a standard Brownian motion ...
... Where k is the mean reversion parameter, a is the long-term mean, rt is the instantaneous interest rate, Vt is the instantaneous level of implied volatility, σ is the volatility of rates and the volatility of implied volatility (for each equation, respectively), and dWt is a standard Brownian motion ...
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.