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SECURITIES MARKETS AND SOCIAL CAPITAL INTEGRATION IN AFRICA: RISKS AND POLICY OPTIONS

NWAOBI, GODWIN - EconWPA - 2005

partnerships. Without these additional institutional elements, society risks fragmentation that imperil both income growth and … that shape market outcomes) with minimum risks. However,when societies become more equitable in ways that lead to greater …

Persistent link: https://www.econbiz.de/10005561601

INVESTING IN THE FINANCIAL SECTOR OF EMERGING COUNTRIES: POTENTIAL RISK AND HOW TO MANAGE THEM

HERRERO, ALICIA GARCIA; HERRERO, SONSOLES GALLEGO; … - EconWPA - 2004

the last decades have altered the risks they face as well as their mitigation techniques. The recent expansion of the … the nature of the risks faced. Nevertheless, it is hard to determine whether risks, on the whole, are larger now than when … various channels through which the risks faced by banks operating in emerging countries increase in times of crisis …

Persistent link: https://www.econbiz.de/10005556585

Stochastics for the worst case: distributions and risk measures for minimal returns

Mihai, Mihnea-Stefan - EconWPA - 2003

Distributions for returns are used to compute the capital charge for portfolios in investment banks. The mainstream definition of returns is based on closing prices and neglects the important effects of intraday trading activity on the losses . In this paper we introduce ''minimal returns'', a...

Persistent link: https://www.econbiz.de/10005561067

“The Consumer Financing Business in India” – Building Blocks for the Future

Gupta, Akash; Agarwal, Rahul - EconWPA - 2004

In view of this changing landscape, we look at the three major drivers of growth in consumer finance: auto finance, housing finance and consumer durable finance. We discuss the trends in each of these areas as well as the shortcomings which are slowing down growth. We present some of the...

Persistent link: https://www.econbiz.de/10005561323

Did Producer Hedging Opportunities in the Live Hog Contract Decline?

Zanini, Fabio C.; Garcia, Philip - EconWPA - 1997

The paper assesses the usefulness of selective hedging strategies when combined with forecast techniques in the live hog contract. The use of routine futures and options hedging is not attractive relative to a cash-only strategy. However, forecasting and hedging can contribute to price risk...

Persistent link: https://www.econbiz.de/10005561582

Extreme Moves in Foreign Exchange Rates and Risk Limit Setting

Dacorogna, Michel; Blum, Peter - EconWPA - 2003

underestimates the actual extreme risks and, based on methods from the Extreme Value Theory (EVT), we propose and justify a more …

Persistent link: https://www.econbiz.de/10005126103

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

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...

Persistent link: https://www.econbiz.de/10005134650

The Interest Rate Exposure of Nonfinancial Corporations

Bartram, Sohnke M. - EconWPA - 2001

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....

Persistent link: https://www.econbiz.de/10005134675

Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations

Bartram, Sohnke M. - EconWPA - 2002

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...

Persistent link: https://www.econbiz.de/10005134773

Testing the Gaussian Copula Hypothesis for Financial Assets Dependences

Malevergne, Y.; Sornette, D. - EconWPA - 2001

Using one of the key property of copulas that they remain invariant under an arbitrary monotonous change of variable, we investigate the null hypothesis that the dependence between financial assets can be modeled by the Gaussian copula. We find that most pairs of currencies and pairs of major...

Persistent link: https://www.econbiz.de/10005134789