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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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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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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
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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. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution
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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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
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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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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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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