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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10010564003
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Uncertainty of Multiple Period Risk Measures
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...
Persistent link: https://www.econbiz.de/10005198007
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A Corrected Value-at-Risk Predictor
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2008
In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.
Persistent link: https://www.econbiz.de/10005651967
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Understanding Risk Management in Emerging Retail Payments
Braun, Michele; McAndrews, James; Roberds, William; … - Federal Reserve Bank <New York, NY>; Federal Reserve …; … - 2008
[...]This article explores in several ways the structure andvocabulary of emerging payments system risks and theirmitigation. We begin by recounting several incidents of fraudand losses associated with emerging payment methods. Wethen describe an economic framework for understanding riskcontrol...
Persistent link: https://www.econbiz.de/10005869407
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A special focus on hedge funds : creators of risk? ; [Atlanta Fed's 2006 Financial Markets Conference, "Hedge Funds: Creators of Risk?" held May 15-18, 2006]
Dwyer, Gerald P. <jun.> (contributor) - 2006
Persistent link: https://www.econbiz.de/10003417628
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Shareholder distribution choices for industrial companies listed on the JSE : share buybacks versus dividends
Bester, P. G. - 2008
ENGLISH ABSTRACT: Repurchasing of shares by South African companies were legalised on 1 July 1999.This introduced an alternative to dividends for distributing cash to shareholders.Although dividends and share repurchases realise the same value in a perfect efficientmarket, the inefficiencies of...
Persistent link: https://www.econbiz.de/10009442030
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Die invloed van finansiele bestuur op entrepreneuriese gedrag in die kernbesigheid van akademiese instellings
Brooks, Mathys Johannes - 2007
AFRIKAANSE OPSOMMING: Instellings vir hoër onderwys is unieke organisasies deurdat hul grootste groep kliënte verdeel is in twee heterogene groepe met uiteenlopende behoeftes naamlik die staat en die algemene publiek. Hierdie twee primêre kliënte is onderskeidelik verantwoordelik vir die...
Persistent link: https://www.econbiz.de/10009442032
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Credit guarantee schemes and the support of small businesses in Lesotho
Lepolesa, Gerard - 2008
materials, lack of skills, etc.However, access to finance is frequently cited as the most prominent problem facing theSMEs …. Access to finance is defined as the easiness to access credit from financialinstitutions and the costs associated with … (ComprehensiveExport Finance Scheme) was administered by the Central Bank of Lesotho throughLesotho National Development Cooperation …
Persistent link: https://www.econbiz.de/10009442065
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The financial sustainability of South Africa's National Development Finance Institutions
Mulusa, Lucky Mabenga - 2008
ENGLISH ABSTRACT: Development Finance Institutions (DFIs) in South Africa can enhance their role as prime vehicles for …Thesis (MDF (Development Finance))--University of Stellenbosch, 2008. …
Persistent link: https://www.econbiz.de/10009442071