Similar Search Results

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

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

Behavioral approach to market and default risks modeling

Taguedong, Sylvain Chamberlain - Volkswirtschaftliche Fakultät, … - 2009

In this paper we discuss popular market and default risks modeling. We highlight some shortcomings. Then, we present the prospect and cumulative prospect theories. We discuss again the previous models under behavioral finance framework and get different results. Based on these results, we...

Persistent link: https://www.econbiz.de/10008543781

Computing Skills in the Market Risk Management in the G-Sec Portfolio by the Banks in India

Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2009

Market Risk Management Process in India is in an evolving process since the Banks in India are still in an early stage of development in the sense that they are lacking statistical database, equipped MIS and adequate supply of trained personnel. Many a good number of banks are suffering from...

Persistent link: https://www.econbiz.de/10005619936

Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index

Dominique, C-Rene; Rivera-Solis, Luis Eduardo; Des … - Volkswirtschaftliche Fakultät, … - 2010

In extant financial market models, including the Black-Scholes’ contruct, the dramatic events of October 1987 and August 2007 are totally unexpected, because these models are based on the assumptions of ‘independent price fluctuations’ and the existence of some ‘fixed-point...

Persistent link: https://www.econbiz.de/10008577625

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

The Impact of Merger and Acquisition on Value at Risk (VaR): A Case Study of China Eastern Airline

Fung, Ka Wai Terence; Wan, Wilson - Volkswirtschaftliche Fakultät, … - 2013

This paper attempts to examine the impact of merger and acquisition on Value at Risk (VaR) of China Eastern Airline. The VaR is estimated for the whole sample and pre-merger periods by three methods: RiskMetrics , AR-GARCH and Generalized Extreme Value (GEV). The regression-based model reports...

Persistent link: https://www.econbiz.de/10011113885