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The type of risk that poses the greatest danger to the profitability of commercial banks is credit risk. In simplified … of likelihood, how the risk is distributed among sub-portfolios compiled according to various criteria, and how the … individual loans contribute to the total portfolio risk. The first step towards answering this is to devise an economic model …
Persistent link: https://www.econbiz.de/10010963158
(Re)insurance companies need to model their liabilities' portfolio to compute the risk-adjusted capital (RAC) needed to … frameworks of both Solvency II and the Swiss Solvency Test, we deal with two risk measures: the Value-at-Risk and the expected … choice of the risk measure. …
Persistent link: https://www.econbiz.de/10009246898
Es werden die mathematischen Einflussgrößen risikobehafteter Investments auf die Vermögensentwicklung analysiert. Danach muss bei solchen Anlagen das Verhältnis Gewinn/Verlust einen berechenbaren Mindestbetrag ausmachen und die Anlagehöhe darf in Prozent vom Vermögen einen bestimmten Wert...
Persistent link: https://www.econbiz.de/10010981064
This paper introduces a notion on nonlinear innovation for the ananlysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of nonlinear innovations.
Persistent link: https://www.econbiz.de/10005486765
An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...
Persistent link: https://www.econbiz.de/10005067673
limited amount of risk. Segregated Funds, which are, simply put, mutual funds with additional features, have grown in …
Persistent link: https://www.econbiz.de/10005621847
We provide a Matlab quadratic optimization tool based on Markowitz's critical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to...
Persistent link: https://www.econbiz.de/10005212469
Persistent link: https://www.econbiz.de/10002653682
We perform an extensive series of Monte Carlo experiments to compare the performance of the "Jacknife Instrumental Variables Estimator", or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest that JIVE should ever be used. It is always more dispersed...
Persistent link: https://www.econbiz.de/10005503845
Persistent link: https://www.econbiz.de/10005537695