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Empirical Analysis and Trading Strategies for Defaulted Debt Securities with Models for Risk and Investment Management
Jacobs, Jr., Michael - In: Journal of Financial Transformation 32 (2011), pp. 59-74
. Returns are also increasing for issuers having superior ratings at origination, more leverage at default, higher cumulative … abnormal returns on equity prior to default, or greater market implied loss severity at default. Considering systematic factors …, returns on defaulted debt are positively related to equity market indices and industry default rates. On the other hand …
Persistent link: https://www.econbiz.de/10009291626
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Optimizing risk allocation for CCPs under the European market infrastructure regulation
Zepeda, Rodrigo - In: Journal of Financial Transformation 37 (2013), pp. 39-52
clearing offers significant benefits such as reduced systemic risk, more effective default management, and mitigation of …
Persistent link: https://www.econbiz.de/10010991640
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Understanding business economics for investment managers
Ashkenazy, Irene; Mackris, Frank - In: Journal of Financial Transformation 36 (2013), pp. 18-25
The complex dynamics of world financial markets yield inherent uncertainty and the prospect of periods of enhanced volatility. The turbulent global economic and regulatory environment of the past few years has certainly illustrated this reality. As investment managers interpret clients’...
Persistent link: https://www.econbiz.de/10010991651
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Unwrapping Fund Expenses: What are You Paying For?
Jacobsen, Brian - In: Journal of Financial Transformation 30 (2010), pp. 83-88
It has become almost conventional wisdom that investors should avoid funds with high expense ratios. Like many nuggets of conventional wisdom, there is some truth, but many exceptions: some of the best funds come at the price of higher expense ratios. Financial planners need this type of...
Persistent link: https://www.econbiz.de/10008751494
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Preventing the Next Great Meltdown
Levine, David - In: Journal of Financial Transformation 30 (2010), pp. 95-104
innovation increased. The two instruments that produced the Great Meltdown of 2008 - subprime mortgages and credit default swaps …
Persistent link: https://www.econbiz.de/10008751495
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Optimal business model for financial institutions under post-crisis regulatory environment
Dehnad, Kosrow; Dehnad, Darius - In: Journal of Financial Transformation 36 (2013), pp. 49-54
Dodd-Frank Wall Street Reform regulations and other postcrisis regulations and guidelines have put enormous pressure on financial institutions to optimize the use of their scarce capital and to improve their return on equity (ROE) which has been significantly compressed compared to historical...
Persistent link: https://www.econbiz.de/10010840605
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Stress testing credit risk portfolios
Jacobs Jr, Michael - In: Journal of Financial Transformation 37 (2013), pp. 53-76
In this study we survey practices and supervisory expectations for stress testing (ST) in a credit risk framework for banking book exposures. We introduce and motivate ST; and discuss the function, supervisory requirements and expectations, credit risk parameters, interpretation results with...
Persistent link: https://www.econbiz.de/10010840610
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Basel III: solving the liquidity business challenge
Fiedler, Robert; Mahlknecht, Michael - In: Journal of Financial Transformation 37 (2013), pp. 77-94
The new Basel III rules for liquidity and funding will have an impact on several areas of the banking business. As a consequence, it is useful to identify the key areas within a bank where Basel III has the biggest impact and to define the necessary strategies, processes, and new products to...
Persistent link: https://www.econbiz.de/10010840615
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The properties of short term investing in leveraged ETFs
Deng, Geng; McCann, Craig - In: Journal of Financial Transformation 35 (2012), pp. 27-38
The daily returns on leveraged and inverse-leveraged exchange-traded funds (LETFs) are a multiple of the daily returns of a reference index. Because LETFs rebalance their leverage daily, their holding period returns can deviate substantially from the returns of a leveraged investment. While...
Persistent link: https://www.econbiz.de/10010840633
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FX volatility adjustment for risk factors stimulation
Kondratyev, Alexei - In: Journal of Financial Transformation 37 (2013), pp. 111-116
This paper discusses a class of methodological issues that frequently arise in risk management systems such as PFE and CVA engines. Simplified methodology and shortcuts come at a price, sometimes a steep one. To account for model deficiencies and a disconnect between the calibration and the...
Persistent link: https://www.econbiz.de/10010840638