Showing 1 - 10 of 1,479
in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the …
Persistent link: https://www.econbiz.de/10014401441
countries and their subsidiaries overseas during 1995-2004, and studies the extent of diversification gains from their local … of a mean-variance portfolio optimization model. Overall, international diversification gains in banking appear to be … diversification gains could usefully be considered in the second pillar of Basel II as the first pillar is based only on the …
Persistent link: https://www.econbiz.de/10014401066
The paper develops a simple three-sector model of a developing country with nominal wage rigidity, in which one sector is thought of as the primary sector and the other two are sectors in which the country can diversify. The paper then analyzes the relationship between the market structure of...
Persistent link: https://www.econbiz.de/10014401433
The paper examines the implications of lower trade barriers for sectoral diversification and macroeconomic stability in … macroeconomic stability. It shows also that diversification, in the form of equal distribution of resources between nonprimary …
Persistent link: https://www.econbiz.de/10014399995
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with...
Persistent link: https://www.econbiz.de/10012251301
The way central banks manage their foreign reserve assets has evolved over the past decades. One major trend is managing reserves in two or more tranches-liquidity tranche and investment tranche-especially for those with adequate reserves. Incorporating reserve tranching, we have developed in...
Persistent link: https://www.econbiz.de/10012009483
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the...
Persistent link: https://www.econbiz.de/10014400299
portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …’s main conclusion is that portfolio diversification and leverage may be sufficient to explain why investors would find it …
Persistent link: https://www.econbiz.de/10014400415
Standard theory shows that sterilized foreign exchange interventions do not affect equilibrium prices and quantities …
Persistent link: https://www.econbiz.de/10014400445
This paper models the idiosyncratic or asset-specific return of an asset as the return on a portfolio that is long in that asset and short in other assets in the same class, thereby removing the common components of returns. This is the type of “hedged” position that is held by...
Persistent link: https://www.econbiz.de/10014400872