Principles for Financial Market Infrastructures (PFMIs
... risk appetite statements, and overseeing the adequacy and operating effectiveness of the risk management program. The roles and responsibilities of the senior management team directly, or through an Internal Risk Management Committee (“IRMC”) include ensuring the appropriate design, operation and ma ...
... risk appetite statements, and overseeing the adequacy and operating effectiveness of the risk management program. The roles and responsibilities of the senior management team directly, or through an Internal Risk Management Committee (“IRMC”) include ensuring the appropriate design, operation and ma ...
Time Consistent Multi-period Robust Risk Measures and
... Application of worst-case risk measures Lobo and Boyd [1999]: worst-case variance, variance uncertainty, transformed to seme-definite program El Ghaoui et al. [2003]: worst-case VaR, mean and variance uncertainty , transformed to SOCP Zhu and Fukushima [2009]: worst-case CVaR, mixture distribution u ...
... Application of worst-case risk measures Lobo and Boyd [1999]: worst-case variance, variance uncertainty, transformed to seme-definite program El Ghaoui et al. [2003]: worst-case VaR, mean and variance uncertainty , transformed to SOCP Zhu and Fukushima [2009]: worst-case CVaR, mixture distribution u ...
Earnings Volatility and Earnings Predictability
... that it reduce the predictability of earnings. To enhance the knowledge in this area, Dichev and Tang decide to analyze this link and to provide empirical evidence about it. They argue that earnings volatility is inversely related to earnings persistence and to earnings predictability. They formed ...
... that it reduce the predictability of earnings. To enhance the knowledge in this area, Dichev and Tang decide to analyze this link and to provide empirical evidence about it. They argue that earnings volatility is inversely related to earnings persistence and to earnings predictability. They formed ...
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 ...
Do Smooth Earnings Lower Investors` Perceptions of Investment Risk?
... associate smooth earnings with reduced investment risk, or whether this association occurs unconsciously due to characteristics of the task or environment. Understanding the cause of this association can also help to identify whether this relation leads to suboptimal judgments and, if so, ways to mi ...
... associate smooth earnings with reduced investment risk, or whether this association occurs unconsciously due to characteristics of the task or environment. Understanding the cause of this association can also help to identify whether this relation leads to suboptimal judgments and, if so, ways to mi ...
International Convergence of Capital Measures and Capital
... This document is a compilation of the June 2004 Basel II Framework, the elements of the 1988 Accord that were not revised during the Basel II process, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on the Application of Basel II to Trading Activities and the ...
... This document is a compilation of the June 2004 Basel II Framework, the elements of the 1988 Accord that were not revised during the Basel II process, the 1996 Amendment to the Capital Accord to Incorporate Market Risks, and the 2005 paper on the Application of Basel II to Trading Activities and the ...
Pilot Measures for the Asset Management Services of Fund
... The asset manager shall deposit the client’s capital entrusted during the initial sales term of the asset management plan into the special-purpose account. No institution or individual may use such capital before the end of the initial sales of such asset management plan. Article 22 Where, at the ex ...
... The asset manager shall deposit the client’s capital entrusted during the initial sales term of the asset management plan into the special-purpose account. No institution or individual may use such capital before the end of the initial sales of such asset management plan. Article 22 Where, at the ex ...
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 ...
CHAPTER 11
... Indeed, when we motivated the index model in Chapter 10, we noted that the systematic or macro factor summarized by the market return arises from a number of sources, for example, uncertainty about the business cycle, interest rates, inflation, and so on. The market return reflects both macro fact ...
... Indeed, when we motivated the index model in Chapter 10, we noted that the systematic or macro factor summarized by the market return arises from a number of sources, for example, uncertainty about the business cycle, interest rates, inflation, and so on. The market return reflects both macro fact ...
Annex VI
... This is a summary template which contains information about items providing stable funding. ...
... This is a summary template which contains information about items providing stable funding. ...
VaR Exceedances at Large Financial Institutions
... firm. Because we do not have the same number of data points for each firm, and the data points we do have are not perfectly aligned, we should be careful about any comparison between firms. This data was collected from 10-K and 10-F filings from the Security and Exchange Commission’s EDGAR database. ...
... firm. Because we do not have the same number of data points for each firm, and the data points we do have are not perfectly aligned, we should be careful about any comparison between firms. This data was collected from 10-K and 10-F filings from the Security and Exchange Commission’s EDGAR database. ...
CAPM with Various Utility Functions: Theoretical Developments and
... of the model supposes verifying the normality of stock returns and investors’ homogeneous anticipations. Under The first condition, the expected utility can be expressed with an exact function of the mean and variance of the returns’ distributions. However, the second one is necessary to legitimate ...
... of the model supposes verifying the normality of stock returns and investors’ homogeneous anticipations. Under The first condition, the expected utility can be expressed with an exact function of the mean and variance of the returns’ distributions. However, the second one is necessary to legitimate ...
part 2 - Bank for International Settlements
... to include general provisions (or general loan-loss reserves) in Tier 2 capital is withdrawn. Banks using the IRB approach for securitisation exposures or the PD/LGD approach for equity exposures must first deduct the EL amounts subject to the corresponding conditions in paragraphs 563 and 386, resp ...
... to include general provisions (or general loan-loss reserves) in Tier 2 capital is withdrawn. Banks using the IRB approach for securitisation exposures or the PD/LGD approach for equity exposures must first deduct the EL amounts subject to the corresponding conditions in paragraphs 563 and 386, resp ...
Simultaneous Reporting of Credit Ratings May Discipline Rating
... collaborating with the bank in arranging for some of its …nancial products to receive ratings as high as triple-A, even though much of the underlying collateral was low-quality or subprime mortgage debt.2 More recently, in February 2013, the U.S. Department of Justice …lled a lawsuit against Standar ...
... collaborating with the bank in arranging for some of its …nancial products to receive ratings as high as triple-A, even though much of the underlying collateral was low-quality or subprime mortgage debt.2 More recently, in February 2013, the U.S. Department of Justice …lled a lawsuit against Standar ...
The Internal Ratings-Based Approach
... (iii) Methods for quantifying PD .................................................................................................. 16 (iv) Impact of credit derivatives and guarantees on estimation of PD ........................................ 16 C. LOSS GIVEN DEFAULT (LGD) ........................ ...
... (iii) Methods for quantifying PD .................................................................................................. 16 (iv) Impact of credit derivatives and guarantees on estimation of PD ........................................ 16 C. LOSS GIVEN DEFAULT (LGD) ........................ ...
Pillar 3 Report for 30 September 2016 (PDF 1MB)
... business’ in which all employees are responsible for identifying and managing risk and operating within the Group's desired risk profile. Effective risk management enables us to: ...
... business’ in which all employees are responsible for identifying and managing risk and operating within the Group's desired risk profile. Effective risk management enables us to: ...
Credit ratings and credit risk: Is one measure enough?
... We advance this line of work since we provide a comprehensive comparison of the marginal and cumulative ability of credit ratings to predict failure when compared to a simple alternative, use the most recent reduced-form models, document that default probabilities can explain variation in CDS spread ...
... We advance this line of work since we provide a comprehensive comparison of the marginal and cumulative ability of credit ratings to predict failure when compared to a simple alternative, use the most recent reduced-form models, document that default probabilities can explain variation in CDS spread ...
Guideline - OSFI-BSIF
... minimum Total Ratio of 100% may be considered acceptable. However, life insurers are exposed to more risks than those for which calculations are specified. Consequently, the minimum Total Ratio for life insurers is set at 120% rather than 100% to cover operational risks that are not explicitly measu ...
... minimum Total Ratio of 100% may be considered acceptable. However, life insurers are exposed to more risks than those for which calculations are specified. Consequently, the minimum Total Ratio for life insurers is set at 120% rather than 100% to cover operational risks that are not explicitly measu ...
Credit Suisse AGM analysis and voting recommendations
... million. The number of beneficiaries on the other hand remained stable at n At the same time, the number of key risk takers (KRT), which comprises the members of the management, has increased from 835 to 939 (+12.5%). In line with the FINMA regulation, Credit Suisse must identify its " ...
... million. The number of beneficiaries on the other hand remained stable at n At the same time, the number of key risk takers (KRT), which comprises the members of the management, has increased from 835 to 939 (+12.5%). In line with the FINMA regulation, Credit Suisse must identify its " ...
Best Practices for Stable NAV LGIPs
... credit risk of an LGIP’s investments. An LGIP should utilize an experienced credit analyst that has the ability to manage and analyze relevant credit risk. Any credit decision should be independent of investment decisions and trading authority. For securities other than U.S. Treasuries and U.S. Agen ...
... credit risk of an LGIP’s investments. An LGIP should utilize an experienced credit analyst that has the ability to manage and analyze relevant credit risk. Any credit decision should be independent of investment decisions and trading authority. For securities other than U.S. Treasuries and U.S. Agen ...
Explaining Credit Default Swap Spreads with Equity Volatility and
... credit spreads on structural variables constructed from equity data, we only use the lagged explanatory variables. Under a typical structural framework, only asset return and volatility are exogenous processes, while equity return and volatility as well as credit spread are all endogenously determin ...
... credit spreads on structural variables constructed from equity data, we only use the lagged explanatory variables. Under a typical structural framework, only asset return and volatility are exogenous processes, while equity return and volatility as well as credit spread are all endogenously determin ...
strategic asset allocation
... • Investors other than those with significant future liabilities may adopt an ALM approach by treating future needs (such as for income) as if they were liabilities; we call those needs ‘‘quasi-liabilities.’’ • In contrast to ALM, an asset-only (AO) approach to strategic asset allocation does not ex ...
... • Investors other than those with significant future liabilities may adopt an ALM approach by treating future needs (such as for income) as if they were liabilities; we call those needs ‘‘quasi-liabilities.’’ • In contrast to ALM, an asset-only (AO) approach to strategic asset allocation does not ex ...
CreditMetrics™ — Technical Document
... lacking. Most prior work has been on the estimation of the relative likelihoods of default for individual firms; Moody’s and S&P have long done this and many others have started to do so. We have designed CreditMetrics to accept as an input any assessment of default ...
... lacking. Most prior work has been on the estimation of the relative likelihoods of default for individual firms; Moody’s and S&P have long done this and many others have started to do so. We have designed CreditMetrics to accept as an input any assessment of default ...
Components of Target Capital for Life Companies
... our portfolios. For this the SST is a good (although in many aspects still to be modified and enhanced) basis. In addition, we can use the SST to test capital requirements for alternative investment strategies. As we have not yet an equally well suited internal model, the SST is for us of great bene ...
... our portfolios. For this the SST is a good (although in many aspects still to be modified and enhanced) basis. In addition, we can use the SST to test capital requirements for alternative investment strategies. As we have not yet an equally well suited internal model, the SST is for us of great bene ...
Credit Expansion and Neglected Crash Risk * Matthew Baron
... Second, our results have implications for the design of financial regulations and other efforts to prevent future financial crises. For example, there is increasing recognition by policymakers across the world of the importance of developing early warning systems of future financial crises. While pr ...
... Second, our results have implications for the design of financial regulations and other efforts to prevent future financial crises. For example, there is increasing recognition by policymakers across the world of the importance of developing early warning systems of future financial crises. While pr ...