Similar Search Results

Risk management, soft information and bankers' incentives

Godbillon-Camus, Brigitte; Godlewski, Christophe J. - In: Revue d'économie politique 123 (2013) 5, pp. 763-791

Nous étudions dans cet article l?influence de l?information dite « soft » sur la gestion intégrée du risque dans les banques. Les politiques régissant la gestion du risque, l?allocation du capital et la structure financière de la banque sont mises en ?uvre par la direction qui s?appuie...

Persistent link: https://www.econbiz.de/10011020695

Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions. A monotonized double kernel local linear estimator is applied to estimate moderate (1%)...

Persistent link: https://www.econbiz.de/10008629520

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

Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy

Caillault, Cyril; Guégan, Dominique - In: Frontiers in Finance and Economics 6 (2009) 1, pp. 26-50

management of bank supervisors. The copula approach seems to be a good compromise between all these models. It permits taking …

Persistent link: https://www.econbiz.de/10004998296

CONDITIONAL RISK MEASURE MODELING FOR LATVIAN INSURANCE COMPANIES

KUZMINA, JEKATERINA; PETTERE, GAIDA; VORONOVA, IRINA - In: Perspectives of Innovation in Economics and Business (PIEB) 3 (2009) 3, pp. 59-61

Due to the current economical situation on the Latvian market insurance companies are forced to consider other possibilities of income generation. One of such opportunities could be seen in cash flows from investment operations, while managing stocks' portfolios. The process of portfolio...

Persistent link: https://www.econbiz.de/10010615563

Risk Averse Banks and Uncertain Correlation Values: A Theory of Rational Bank Panics

Morrison, Alan - Department of Economics, Oxford University - 2000

We present a model for Financial fragility in which banks are risk-averse portfolio managers and there is uncertainty over risk management parameters. There is a danger of heightened risk aversion and projects in small economies are assumed to be riskier than those in large economies. In this...

Persistent link: https://www.econbiz.de/10010820278

The optimal portfolio in respect to Expected Shortfall: a comparative study

Gurgul, Henryk; Machno, Artur; Syrek, Robert - In: Managerial Economics 14 (2013), pp. 17-38

Value at Risk plays a crucial role in the risk management. However, this risk measure has some drawbacks. The alternative risk measure is Expected Shortfall, which is rarely used, but exhibits desirable properties. In the paper, the estimation of both risk measures has been conducted, for pairs...

Persistent link: https://www.econbiz.de/10010820359

The Evaluation Of Risk Regarding Insurance. Statistical Methods Of Risk Dissipation

Ungureanu, Mihai Aristotel; Gruiescu, Mihaela; … - In: Annals of the University of Petrosani, Economics 10 (2010) 2, pp. 353-362

Value at risk (VaR) is a summary statistic that quantifies the exposure of an asset or portfolio to market risk. Value at risk is now viewed by many as indispensable ammunition in any serious corporate risk manager’s arsenal. VaR is often used as an approximation of the maximum reasonable loss...

Persistent link: https://www.econbiz.de/10008853318

Kreditrisiken - Modellierung und Management: Ein Überblick

Albrecht, Peter - In: German Risk and Insurance Review (GRIR) 1 (2005) 2, pp. 22-152

Die Messung und Bewertung von Kreditrisiken stellt sich aktuell als ein sehr bedeutsames (Stichworte : Basel II, Solvency II, Kreditderivate) Gebiet dar. Allerdings hat sich hierbei keine einheitliche Vorgehensweise herausgebildet, sondern es existieren eine Vielzahl unterschiedlicher...

Persistent link: https://www.econbiz.de/10010984673

THE BANK RISKS MANAGEMENT – A NEW APPROACH

FRATILA, LAURENTIU; ION, LUMINITA - In: International Conference Modern Approaches in … 5 (2011) 1, pp. 192-195

derivative products (swaps, futures, options). Given this, the paper treats the bank risk management, focusing on market risk … book. Bank managers must know the appropriate tools to accurately assess risk and to take the best decisions in order to … increase the bank's income from investments, while maintaining an acceptable level of risk and low cost of attracted resources. …

Persistent link: https://www.econbiz.de/10010541115