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We derive a general framework for collateral risk control determination for central bank's open market operations. This framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the same time reducing the possibility of arbitrage...
Persistent link: https://www.econbiz.de/10005859381
We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...
Persistent link: https://www.econbiz.de/10005859382
The wealth dynamics of insurance companies strongly depends on the success of their investment strategies, but also on … investment strategy that does not take liquidity shocks into account, exposes insurance companies to the risk of bankruptcy. This … paper analyzes the behavior of insurance companies in an evolutionary framework. We show that an insurance company that …
Persistent link: https://www.econbiz.de/10005858142
There is a renewed interest of banks and supervisors in operational risk. In the new Capital Adequacy Framework of June 1999 the Basel Committee calls for capital charges for operational risks as a component of Pillar one...
Persistent link: https://www.econbiz.de/10005857015
Die folgende Vorlage will als Hilfe bei der Entwicklung, Formulierung und Überprüfung der Risikopolitk einer Bank dienen...
Persistent link: https://www.econbiz.de/10005857023
Praktiker wie Akademiker setzen sich im Allgemeinen mit Finanzrisiken vertieft auseinander und vernachlässigen dabei die übrigen Risiken. Damit geht ein unnötiger Wertverzehr einher...
Persistent link: https://www.econbiz.de/10005857042
analyzed in this pap er reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as …
Persistent link: https://www.econbiz.de/10005857781
loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe …
Persistent link: https://www.econbiz.de/10005858102
In this paper we discuss some statistical pitfalls that may occur in modeling cross-dependences with copulas in financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well as in the design of time-dependent copulas.
Persistent link: https://www.econbiz.de/10005858145
This paper argues that observations of non-stationary choice behavior need notnecessarily imply specific properties of the individual’s discount function. As weshow, the observed “anomalies” in intertemporal choice can alternatively be explained by an individual’s perception of the risk...
Persistent link: https://www.econbiz.de/10005858206