Backtesting Value-at-Risk based on Tail Losses Woon K. Wong
... for the market risk at 99% whereas for the credit and operational risks, VaR is calculated at 99.9% level. Moreover, due to diversification, VaR at the level of the whole bank is often found to be adequate for regulatory capital determination. As long as there is no single position that dominates t ...
... for the market risk at 99% whereas for the credit and operational risks, VaR is calculated at 99.9% level. Moreover, due to diversification, VaR at the level of the whole bank is often found to be adequate for regulatory capital determination. As long as there is no single position that dominates t ...
Trading Is Hazardous to Your Wealth: The Common Stock
... ~1997!!.6 The average purchase in excess of $1,000 costs 1.58 percent in commissions, and the average sale in excess of $1,000 costs 1.45 percent.7 In Panels C and D of Table I, we calculate the trade-weighted ~weighted by trade size! spreads and commissions. These figures can be thought of as the t ...
... ~1997!!.6 The average purchase in excess of $1,000 costs 1.58 percent in commissions, and the average sale in excess of $1,000 costs 1.45 percent.7 In Panels C and D of Table I, we calculate the trade-weighted ~weighted by trade size! spreads and commissions. These figures can be thought of as the t ...
2012 FOURTH QUARTER AND FULL YEAR EARNINGS REVIEW AND 2013 OUTLOOK
... statements are based on expectations, forecasts, and assumptions by our management and involve a number of risks, uncertainties, and other factors that could cause actual results to differ materially from those stated, including, without limitation: • Decline in industry sales volume, particularly i ...
... statements are based on expectations, forecasts, and assumptions by our management and involve a number of risks, uncertainties, and other factors that could cause actual results to differ materially from those stated, including, without limitation: • Decline in industry sales volume, particularly i ...
M@thematical Economics - Md.ahsan
... more likely to choose wisely than those who do not. This becomes increasingly the case as developments on the international scene broaden both our opportunities and our range of choices. Role of Managerial Economics in Problem Solving Whether one's major field is accounting, marketing, information s ...
... more likely to choose wisely than those who do not. This becomes increasingly the case as developments on the international scene broaden both our opportunities and our range of choices. Role of Managerial Economics in Problem Solving Whether one's major field is accounting, marketing, information s ...
Chapter 14 Fixed capital investment and Tobins q
... in only half the time, then the installation costs are more than doubled (the risk of mistakes is larger, the problems with reorganizing work routines are larger etc.). Think of building a new plant in a month instead of a year. The strictly convex graph in Fig. 14.1 illustrates the essence of the m ...
... in only half the time, then the installation costs are more than doubled (the risk of mistakes is larger, the problems with reorganizing work routines are larger etc.). Think of building a new plant in a month instead of a year. The strictly convex graph in Fig. 14.1 illustrates the essence of the m ...
Document
... expect from her investment next year assuming all else remains the same as in the past? • The geometric average answers the question, what rate of return Mary can expect over a five-year period? Copyright © 2011 Pearson Prentice Hall. All rights reserved. ...
... expect from her investment next year assuming all else remains the same as in the past? • The geometric average answers the question, what rate of return Mary can expect over a five-year period? Copyright © 2011 Pearson Prentice Hall. All rights reserved. ...
GC17/2: Treatment of politically exposed persons (PEPs) under the
... When deciding whether a person is a known close associate of a PEP, firms only need to have regard for information that is already in their possession or credible information that is publicly known. Firms should also make use of credible public information when establishing source of wealth and sour ...
... When deciding whether a person is a known close associate of a PEP, firms only need to have regard for information that is already in their possession or credible information that is publicly known. Firms should also make use of credible public information when establishing source of wealth and sour ...
Securities Processing: The Effects of a T+3 System on Security Prices
... compensate sellers at rates greater than I expected during normal conditions. Second, the risk of failed delivery may also affect security prices if market participants expect that sellers will not deliver securities on time. A failed delivery effectively becomes a forward transaction. I predicted t ...
... compensate sellers at rates greater than I expected during normal conditions. Second, the risk of failed delivery may also affect security prices if market participants expect that sellers will not deliver securities on time. A failed delivery effectively becomes a forward transaction. I predicted t ...
Download paper (PDF)
... us to obtain new equivalences between power utility functions and the various objective criteria considered previously. The optimal policies we obtain here are all constant proportion, or constant mix, portfolio allocation strategies, whereby the portfolio is continuously rebalanced so as to always ...
... us to obtain new equivalences between power utility functions and the various objective criteria considered previously. The optimal policies we obtain here are all constant proportion, or constant mix, portfolio allocation strategies, whereby the portfolio is continuously rebalanced so as to always ...
Dreyfus Variable Investment Fund: Quality Bond Portfolio
... An investment in the fund is not a bank deposit. It is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. It is not a complete investment program. The fund's share price fluctuates, sometimes dramatically, which means you could lose money. • ...
... An investment in the fund is not a bank deposit. It is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. It is not a complete investment program. The fund's share price fluctuates, sometimes dramatically, which means you could lose money. • ...
Collateral requirements and asset prices
... Moreover, so far, there have been few quantitative studies that take into account that a household can use several different assets as collateral, and that regulated margin requirements for loans on one asset might have important effects on the volatility of other assets in the economy. In this pape ...
... Moreover, so far, there have been few quantitative studies that take into account that a household can use several different assets as collateral, and that regulated margin requirements for loans on one asset might have important effects on the volatility of other assets in the economy. In this pape ...
Uncertainty Shocks in Eurozone Periphery Countries and Germany
... caused by political factors on economic outcome. The surge of uncertainty, from certain political or economic shocks, can have a direct, powerful and long-lasting impact on the economy (Alexopoulos and Cohen 2008; Baker et al. 2011). Production, employment, productivity, and investment fall in respo ...
... caused by political factors on economic outcome. The surge of uncertainty, from certain political or economic shocks, can have a direct, powerful and long-lasting impact on the economy (Alexopoulos and Cohen 2008; Baker et al. 2011). Production, employment, productivity, and investment fall in respo ...
Document
... Unlike other ratios, return on capital has a theoretical benchmark, the cost of capital also called the required return on capital. For example, the return on equity, ROE, could be compared with the required return on equity, kE, as estimated, for example, by the capital asset pricing model. If ROE ...
... Unlike other ratios, return on capital has a theoretical benchmark, the cost of capital also called the required return on capital. For example, the return on equity, ROE, could be compared with the required return on equity, kE, as estimated, for example, by the capital asset pricing model. If ROE ...
index number
... An index number of prices shows the average percentage change of prices from one point of time to another. The percentage change in the price of a single product from one time to another is found by dividing its price at time t by its price in time 0. Pt/P0: price relative of a commodity in relation ...
... An index number of prices shows the average percentage change of prices from one point of time to another. The percentage change in the price of a single product from one time to another is found by dividing its price at time t by its price in time 0. Pt/P0: price relative of a commodity in relation ...
gentherm incorporated - corporate
... amendments in this update is permitted. Lessees are required to recognize and measure leases at the beginning of the earliest period presented using a modified retrospective approach which includes a number of practical expedients, including the ability to use hindsight in evaluating lessee options ...
... amendments in this update is permitted. Lessees are required to recognize and measure leases at the beginning of the earliest period presented using a modified retrospective approach which includes a number of practical expedients, including the ability to use hindsight in evaluating lessee options ...
Have Increases in Federal Reserve Transparency Improved Private
... sufficiently richly specified that we do not need to append a stochastic “shock” to the end of Equation (1). This is in contrast to simple interest rate rules such as the Taylor Rule or a VAR interest rate setting equation, which typically include a shock εt to capture the effects of omitted variabl ...
... sufficiently richly specified that we do not need to append a stochastic “shock” to the end of Equation (1). This is in contrast to simple interest rate rules such as the Taylor Rule or a VAR interest rate setting equation, which typically include a shock εt to capture the effects of omitted variabl ...
The Future Of Collective Investment Schemes In
... 2. Nairobi Stock Exchange - CIS instruments, may be the missing link required to escalate investor interest in the existing products. This will hopefully boost activity in the plummeting market. 3. Investment Advisors, Stock Brokers, Credit Rating Agencies, and Investment Bankers These are the play ...
... 2. Nairobi Stock Exchange - CIS instruments, may be the missing link required to escalate investor interest in the existing products. This will hopefully boost activity in the plummeting market. 3. Investment Advisors, Stock Brokers, Credit Rating Agencies, and Investment Bankers These are the play ...
Math Gone Mad: Regulatory Risk Modeling by the Federal Reserve
... where it is the tail that matters. ■■ The VaR is very gameable: traders and other risk takers are very adept at gaming VaR-based risk management by “stuffing risk into the tail” where the model fails to detect it, exposing their banks to hidden risks that the VaR model can’t pick up. ■■ The combinat ...
... where it is the tail that matters. ■■ The VaR is very gameable: traders and other risk takers are very adept at gaming VaR-based risk management by “stuffing risk into the tail” where the model fails to detect it, exposing their banks to hidden risks that the VaR model can’t pick up. ■■ The combinat ...
NBER WORKING PAPER SERIES ASSET LIQUIDITY AND INTERNATIONAL PORTFOLIO CHOICE Athanasios Geromichalos
... home bias, and asset markets are incomplete. However, in this setting, domestic asset flows are also high, thus yielding equally high turnover rates of domestic assets. Unlike the consumption-based models of home bias above, Amadi and Bergin (2008) offer an explanation for the coexistence of asset h ...
... home bias, and asset markets are incomplete. However, in this setting, domestic asset flows are also high, thus yielding equally high turnover rates of domestic assets. Unlike the consumption-based models of home bias above, Amadi and Bergin (2008) offer an explanation for the coexistence of asset h ...
ditc_commb_EneFin_00001
... Financiers generally insist on forward sales of much of the LNG that is expected to be produced, to creditworthy buyers. The term of these sales has to exceed the tenor of the financing by several years, to enable financiers to recuperate eventual payment delays. Financiers would also like a high d ...
... Financiers generally insist on forward sales of much of the LNG that is expected to be produced, to creditworthy buyers. The term of these sales has to exceed the tenor of the financing by several years, to enable financiers to recuperate eventual payment delays. Financiers would also like a high d ...
NBER WORKING PAPER SERIES STOCK MARKET EXPECTATIONS OF DUTCH HOUSEHOLDS
... market expectations.2 Individuals may base expectations upon the notion that stock market prices follow a random walk with drift; they may believe in mean reversion of stock prices; or they may believe in persistence of recent price changes. Moreover, individuals could use different models for diffe ...
... market expectations.2 Individuals may base expectations upon the notion that stock market prices follow a random walk with drift; they may believe in mean reversion of stock prices; or they may believe in persistence of recent price changes. Moreover, individuals could use different models for diffe ...
List of KASE internal documents and amendments to KASE internal
... with the term before maturity over 1,460 days were defined based on the data of auctions on offering and/or additional offering of such GS, which did not allow considering the secondary market structure at their valuation, and led to overestimation or underestimation of some securities of this type; ...
... with the term before maturity over 1,460 days were defined based on the data of auctions on offering and/or additional offering of such GS, which did not allow considering the secondary market structure at their valuation, and led to overestimation or underestimation of some securities of this type; ...