Similar Search Results

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

Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions. A monotonized double kernel local linear estimator is applied to estimate moderate (1%)...

Persistent link: https://www.econbiz.de/10008629520

Financial Network Systemic Risk Contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define...

Persistent link: https://www.econbiz.de/10009351506

TENET: Tail-Event driven NETwork risk

Härdle, Wolfgang Karl; Sirotko-Sibirskaya, Natalia; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...

Persistent link: https://www.econbiz.de/10011075765

Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective

Allen, David E; Powell, Robert - Volkswirtschaftliche Fakultät, … - 2008

Credit risk modelling has become increasingly important to Banks since the advent of Basel II which allows Banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks...

Persistent link: https://www.econbiz.de/10011110935

1
2
3
4
5
6
7
8
9
Next
Last