Showing 1 - 10 of 141
amplification of systemic risk. We caution against focusing on the accounting rule in isolation, and instead emphasize the …-based information, our results indicate that regulatory simplicity may be preferred to the complexity of risk-weighted capital ratios … that gives rise, through interactions with accounting rules, to distorted risk-taking incentives and potential build-up of …
Persistent link: https://www.econbiz.de/10011171756
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We …
Persistent link: https://www.econbiz.de/10010745701
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...
Persistent link: https://www.econbiz.de/10011071447
Building on previous studies on perceptions of inequality, welfare and risk we investigate the structure of individuals …' rankings of uncertain prospects in terms of risk and their relationship to individual preferences. We examine three interlinked … propositions that are fundamental to the standard economic approach to risk: (i) that rankings by risk are simply the reverse of …
Persistent link: https://www.econbiz.de/10010744849
Orderings of income distribution in terms of inequality should be closely related to orderings in terms of risk. Using …' distributional perceptions. We show that in terms of both inequality and risk individuals consistently reject one of the standard … axioms of distributional comparison. Moreover, there are significant differences in the 'maps' of inequality and risk …
Persistent link: https://www.econbiz.de/10010746203
flavours include inequality, risk, social welfare and justice. The issue of personal involvement in the distributional …
Persistent link: https://www.econbiz.de/10011071116
This paper proposes an approach to estimating the relation between risk (conditional variance) and expected returns in … proxy for the volatility in estimating the risk-return relation. Third, our estimation strategy involves the Generalized …
Persistent link: https://www.econbiz.de/10011071360
and how adaptation might be governed. This paper uses evidence from the field of risk governance and insurance and … the recently published Compendium of Disaster Risk Initiatives in the Developing World and a case study of agricultural …
Persistent link: https://www.econbiz.de/10010884651
This paper tests the presence of multiple independent submarkets in the Italian motor insurance industry. Independence is motivated by administrative boundaries among provinces and by further locational reasons. We find that the independence effects are sufficient to induce a minimum degree of...
Persistent link: https://www.econbiz.de/10010928745
Persistent link: https://www.econbiz.de/10010745270