We propose a simple approach to combining internal and external loss data in the case when internal and external data come from the same distribution. We assume that the internal data is uncensored but the external data includes only losses above a known threshold. This approach is an...

Die vorliegende Arbeit stellt einen Beitrag zur Bewertung von Mitarbeiterrisiken in Unternehmen dar. Es werden Ursachen determiniert, die einen Mitarbeiterausfall zur Folge haben. Diese werden auf ihre Eintrittswahrscheinlichkeit sowie möglicher Schäden hin untersucht. Darauf aufbauend wird...

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention from financial economists and financial practitioners...

Liberalization of Singapore's financial sector causes its fund management industry to expand rapidly. As of December 1, 1998 there were 191 unit trusts to choose from. Eventually, Singapore, like the USA and Hong Kong, will have more unit trusts than stocks listed on its exchange. Many...

Foreign exchange rates can be subject to considerable daily fluctuations (up to 5 percent within one day). This can, in certain cases, cause serious losses on open overnight positions. Given a maximum tolerable loss for a company, limits have to be set on open overnight positions in foreign...

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...

Many interest rates are as volatile as exchange rates and thus represent an equally important source of risk for corporations. While this is true not only for financial institutions, but for other corporations as well, little is known about the interest rate exposure of nonfinancial firms....

It has been viewed as an unsolved puzzle that only for a small number of firms a significant impact of foreign exchange rate risk on firm value could be detected empirically. This paper investigates whether the results of previous studies can be explained by the fact that only the linear...