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Credit risk management in banks: Hard information, soft Information and manipulation

Godbillon-Camus, Brigitte; Godlewski, Christophe - Volkswirtschaftliche Fakultät, … - 2005

The role of information’s processing in bank intermediation is a crucial input. The bank has access to different types … a bank relationship, is qualitative and non verifiable, therefore manipulable, but produces more precise estimation of … to the banker but requires particular organizational modifications within the bank, as it allows to reduce capital …

Persistent link: https://www.econbiz.de/10005836711

Hedging Effectiveness under Conditions of Asymmetry

Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...

Persistent link: https://www.econbiz.de/10005837212

Examination of VaR after long term capital management

Yalincak, Hakan; Li, Yu; Tong, Mike - Volkswirtschaftliche Fakultät, … - 2005

The 1998 failure of Long-Term Capital Management (‘LTCM’), a very large and prominent Greenwich, Connecticut based hedge fund, is said to have nearly brought down the world financial system. Over the years, few financial debacles such as LTCM, have been so often written about or discussed...

Persistent link: https://www.econbiz.de/10011258944

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821

Non-Parametric methods: An application for the risk measurement

Zeballos, David - Volkswirtschaftliche Fakultät, … - 2010

Currently, the financial institutions are exposed to different types of risks, which has increased the need for new analytical instruments for the risk management, being one of most developed the Value at Risk (VaR). There are different methods of calculation; however, as it was affirmed, there...

Persistent link: https://www.econbiz.de/10011261130

Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan

Qayyum, Abdul; Nawaz, Faisal - Volkswirtschaftliche Fakultät, … - 2010

The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for tail related risk measures.

Persistent link: https://www.econbiz.de/10008866149

Operational risk of option hedging

Mitra, Sovan - In: Economic Modelling 33 (2013) C, pp. 194-203

Operational risk is increasingly being recognised as a significant area of risk and regulation, yet there exists relatively little research on it. In this paper we show that operational risk represents a fundamental risk to option hedging and investigate it by proposing a new theoretical model....

Persistent link: https://www.econbiz.de/10010737959

Foreign exchange risk in a managed float regime: A case study of Pakistani rupee

Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic Modelling 35 (2013) C, pp. 409-417

The study examines applicability and performance of Value-at-Risk (VaR) models with respect to foreign exchange risk assessment within a managed float regime. Pakistani rupee offers an instructive case as it seems to manage its currency mainly against the US dollar, but to a lesser extent...

Persistent link: https://www.econbiz.de/10010719405

Dependence of defaults and recoveries in structural credit risk models

Schäfer, Rudi; Koivusalo, Alexander F.R. - In: Economic Modelling 30 (2013) C, pp. 1-9

The current research on credit risk is primarily focused on modelling default probabilities. Recovery rates are often treated as an afterthought; they are modelled independently, in many cases they are even assumed to be constant. This despite their pronounced effect on the tail of the loss...

Persistent link: https://www.econbiz.de/10011048726

The analysis of bank business performance and market risk—Applying Fuzzy DEA

Chen, Yu-Chuan; Chiu, Yung-Ho; Huang, Chin-Wei; Tu, … - In: Economic Modelling 32 (2013) C, pp. 225-232

In the fast changing financial circumstances of nowadays, in avoiding the crisis of closing down, financial institutions are concerned about the efficiency and risk strictly in the meantime. Therefore, efficiency and risk management are goals for a financial institution administrator. Data...

Persistent link: https://www.econbiz.de/10011048838

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