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Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.
Fries, Christian P. - Volkswirtschaftliche Fakultät, … - 2010
Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...
Persistent link: https://www.econbiz.de/10008530717
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Risk management in Takaful
Akhter, Waheed - Volkswirtschaftliche Fakultät, … - 2010
Risk management is of vital importance in Islam and Takāful provides a way to manage risks in business according to Sharī’ah principles. This research paper attempts to identify various types of risks involved in Takāful business that affect operational and investment functions of Takāful...
Persistent link: https://www.econbiz.de/10011261182
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IFRS 7 Financial Instruments: Disclosures - A Closer Look
Muthupandian, K S - Volkswirtschaftliche Fakultät, … - 2008
The International Accounting Standards Board issued the International Financial Reporting Standard 7, Financial Instruments: Disclosures. The objective of IFRS 7 is to provide more transparency to financial statement users on an entity’s exposure to risks and how those risks are managed. An...
Persistent link: https://www.econbiz.de/10009495130
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Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach
Voloshyn, Ihor; Voloshyn, Mykyta - Volkswirtschaftliche Fakultät, … - 2013
In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching profitability, liquidity and coverage of banking risks...
Persistent link: https://www.econbiz.de/10011130320
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A detailed analysis of fulfilling and delinquency of payments on loan
Voloshyn, Ihor - Volkswirtschaftliche Fakultät, … - 2014
A new model for predicting the future expected cash flows from a loan is developed. It is based on a detailed analysis of the events of fulfilling, delinquency and default of each individual payment on the loan. The proposed model has significantly less uncertainty compared with the Markov chain...
Persistent link: https://www.econbiz.de/10011111290
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On the market portfolio for multi-asset classes
Louis, Rodolphe; Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2012
references as their principal problem is to define their stock/bond asset mix policy. It is especially true for institutional …
Persistent link: https://www.econbiz.de/10011113146
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Estimating term structure changes using principal component analysis in Indian sovereign bond market
Nath, Golaka - Volkswirtschaftliche Fakultät, … - 2012
from government bond trading using Nelson-Siegel functional form. This decomposition of the yield curve highlights …
Persistent link: https://www.econbiz.de/10011113377
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Financial Integration within the European Union : Towards a Single Market for Insurance
Beckmann, Rainer - 2010
Our study analyses the extent of integration of the EU market for life and non-life insurance. The main integration … even less advanced for life than for non-life insurance and that mergers and acquisitions are the dominant strategy to … access a foreign market. Besides summarising the liberalisation history of the European insurance sector and discussing …
Persistent link: https://www.econbiz.de/10013136591
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The yield curve and the prediction on the business cycle: a VAR analysis for the European Union
Cinquegrana, Giuseppe; Sarno, Domenico - Volkswirtschaftliche Fakultät, … - 2010
The literature on the yield curve deals with the capacity to predict the future inflation and the future real growth from the term structure of the interest rates. The aim of the paper is to verify this predictive power of the yield curve for the European Union at 16 countries in the 1995-2008...
Persistent link: https://www.econbiz.de/10008550561
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Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Anginer, Deniz; Yildizhan, Celim - Volkswirtschaftliche Fakultät, … - 2009
The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike...
Persistent link: https://www.econbiz.de/10011259646