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Risk Diversification in the Credit Portfolio : An Overview of Country Practices
Morris, JoAnne - 2001
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
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International Diversification Gains and Home Bias in Banking
García-Herrero, Alicia - 2007
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
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Economic Integration, Sectoral Diversification, and Exchange Rate Policy in a Developing Economy
Srour, Gabriel - 2004
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
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The Implications of Trade Barriers for Sectoral Diversification and Macroeconomic Stability in Developing Economies
Srour, Gabriel - 2006
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
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Riding the yield curve : risk taking behavior in a low interest rate environment
Chami, Ralph; Cosimano, Thomas F.; Rochon, Céline; … - 2020
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
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Determinants of currency composition of reserves : a portfolio theory approach with an application to RMB
Lu, Yinqiu; Wang, Yilin - 2019
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
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Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk
Christoffersen, Peter F. - 1999
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
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Portfolio Diversification, Leverage, and Financial Contagion
Smith, T. Todd - 1999
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
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Monetary Policy in an Equilibrium Portfolio Balance Model
Kumhof, Michael - 2007
Standard theory shows that sterilized foreign exchange interventions do not affect equilibrium prices and quantities …
Persistent link: https://www.econbiz.de/10014400445
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Idiosyncratic Risk : An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies
Richards, Anthony J. - 1999
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