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The Allocation of Economic Capital in Opaque Financial Conglomerates
Mierzejewski, Fernando - 2009
The capital structure of firms that face restrictions on liquidity (i.e. that cannot hedge continuously) is affected by the agency costs and moral-hazard implicit in the contracts they establish with stockholders and customers. It is demonstrated in this paper that then an optimal level of...
Persistent link: https://www.econbiz.de/10013159445
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Market Access Strategies in the EU Banking Sector - Obstacles and Benefits Towards an Integrated European Retail Market
Beckmann, Rainer - 2010
The integration process in the European banking sector considerably differs with regard to product types. Deep integration can be observed in the money market as well as the market for wholesale products. In contrast to that, a strong segmentation of national markets still exists in the field of...
Persistent link: https://www.econbiz.de/10013136603
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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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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
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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
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Credit risk tools: an overview
Esposito, Francesco Paolo - Volkswirtschaftliche Fakultät, … - 2010
This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS),...
Persistent link: https://www.econbiz.de/10008788796
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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
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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