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Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis
cipollini, rea; missaglia, giuseppe - EconWPA - 2005
In this paper, we focus on measuring the risk associated to a bank loan portfolio. In particular, we depart from the … standard one factor model representation of portfolio credit risk. In particular, we consider an hetrogeneous portfolio, and we … state of the business cycle) or two systemic shocks (interpreted as demand and supply innovations) on portfolio credit risk …
Persistent link: https://www.econbiz.de/10005134746
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Central counterparty clearing: constructing a framework for evaluation of risks and benefits
Ripatti, Kirsi - EconWPA - 2005
Counterparty Clearing has become increasingly popular in Europe, not just in derivatives markets, where, due to the high risk …’s securities market infrastructure – clearing and settlement. Because of the importance of its role, a CCP must have sound risk … management. The CCP assumes responsibility in the aggregate and reallocates risk among participants. Moreover, if the CCP fails …
Persistent link: https://www.econbiz.de/10005134670
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Equilibrium in financial markets with adverse selection
Takalo, Tuomas; Toivanen, Otto - EconWPA - 2004
We study a financial market adverse selection model where all agents are endowed with initial wealth and choose to invest as entrepreneurs or financiers, or not to invest. We show that often a lack of outside finance leads to the emergence of financial markets where availability of outside...
Persistent link: https://www.econbiz.de/10005134723
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INDIAN VENTURE CAPITALISTS (VCs) INVESTMENT EVALUATION CRITERIA
Mishra, Asim - EconWPA - 2005
The Venture capital (VC) industry in India is of recent origin. However, the average investment value of each deal in India have grown from $3.85 million in 2000 to $7.89 million in 2001.These developments together with the recent steps taken by government to promote venture capitalism in India...
Persistent link: https://www.econbiz.de/10005134795
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Question de causalité entre développement réel et développement financier : Une notion encore embarrassée
KHALFAOUI, Hamdi - EconWPA - 2005
Bien que les études théoriques et empiriques convergent sur la dimension financière dans la croissance économique, elles n’apportent pas une réponse commune à la question de l’interaction entre la libéralisation financière et la croissance économique. D'une part, la libéralisation...
Persistent link: https://www.econbiz.de/10005118839
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Banking sector development and financial stability in the run up to EU accession
Brouwer, Henk; Haas, Ralph de; Kiviet, Bas - EconWPA - 2002
The EU accession countries have made remarkable progress in developing their financial sectors. Nevertheless, potential risks to banking sector stability remain. We take stock of these risks, with a focus on the challenges posed by the EU accession process. Important potential risks we identify...
Persistent link: https://www.econbiz.de/10005126335
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Financiële stabiliteit: de rol van DNB
Haas, Ralph de; Vor, Marc de - EconWPA - 2002
DNB bewaakt de stabiliteit van ons financiële stelsel via het monetaire beleid, het toezicht en de zorg voor het betalingsverkeer. Deze gezamenlijke taakuitoefening biedt belangrijke voordelen.
Persistent link: https://www.econbiz.de/10005412465
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Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes
Raviv, Alon - EconWPA - 2004
the effects of DES contract versus subordinated debt on bank stability, depositor protection, incentives for risk taking … is beneficial as a tool for monitoring due to its negative sensitivity to increase in assets risk. However, when the …
Persistent link: https://www.econbiz.de/10005413031
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The Basel Process and Financial Stability
Bieri, David S. - EconWPA - 2004
The Basel Process is a key element of the global financial system and as such plays an important role in co-ordinating the multilateral efforts of various committees, uniquely geared towards fostering and maintaining financial stability.
Persistent link: https://www.econbiz.de/10005561277
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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