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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
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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
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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
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La exigencia de capitales mínimos por riesgo de mercado - Nota técnica
Delfiner, Miguel; del Canto, Angel - Volkswirtschaftliche Fakultät, … - 2009
requirement as well as the resulting change in bank capital. A spreadsheet is attached which allows to reproduce all the …
Persistent link: https://www.econbiz.de/10005020480
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Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham
Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2009
This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR) and accounting performance (ROE, and EPS) also their market capitalization in Indonesia Stock Exchange period 2003-2006. Some clarification need to achieved, such as: real...
Persistent link: https://www.econbiz.de/10009651390
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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
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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
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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
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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
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The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2010
This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries. The results in the paper indicate the spillover effect of the global crisis varied from a country to another, but...
Persistent link: https://www.econbiz.de/10008574276