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We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10005263928
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...
Persistent link: https://www.econbiz.de/10005826656
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...
Persistent link: https://www.econbiz.de/10005768778
The aim of statistical analysis and inference is to draw meaningful conclusions. In the case where there is prior knowledge of stochastic orderings or inequalities, it is desirable to incorporate this information in the estimation. This avoids possible unrealistic estimates, and may also lead to...
Persistent link: https://www.econbiz.de/10009482960
Persistent link: https://www.econbiz.de/10011898552
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
This paper assesses the extent of regional financial integration in the Caribbean Community (CARICOM) by analyzing equity prices in the region and rigidity of external financing constraints. The results are presented in a cross-regional perspective. The Caribbean stock markets are not as well...
Persistent link: https://www.econbiz.de/10008528700
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …
Persistent link: https://www.econbiz.de/10011559141
following parameters are varied: the riskless return, the market standard deviation, the market stock premium, and the skewness …
Persistent link: https://www.econbiz.de/10010490408
Persistent link: https://www.econbiz.de/10012617351