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Simulated determination of credit risk in portfolio terms

Janecskó, Balázs - In: Közgazdasági Szemle (Economic Review - monthly of the … XLIX (2002) 7, pp. 664-676

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

Estimating the risk-adjusted capital is an affair in the tails

Canestraro, Davide; Dacorogna, Michel - Volkswirtschaftliche Fakultät, … - 2010

(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

Modell zur Maximierung des Endvermögens unter gleichzeitiger Sicherstellung intertemporärer Vermögenserhaltung/Solvenz

Scholtz, Hellmut D. - In: EconStor Open Access Articles (2009-09), pp. 496-505

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

Country and Industry Dynamics in Stock Returns

Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

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

Nonlinear Innovations and Impulse Responses.

Gourieroux, C.; Jasiak, J. - 1999

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

Mutual Funds and Segregated Funds: A Comparison

Palombizio, Ennio A. - Volkswirtschaftliche Fakultät, … - 2007

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

Applying Markowitz's Critical Line Algorithm

Niedermayer, Andras; Niedermayer, Daniel - Department Volkswirtschaftlehre, Universität Bern - 2007

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

Optimal funding and asset allocation rules for defined-benefit pension plans

Harrison, J. Michael; Sharpe, William F. - In: Financial aspects of the United States pension system, (pp. 91-105). 1983

Persistent link: https://www.econbiz.de/10002653682

Time Reversal Invariance in Finance

Zumbach, Gilles O. - 2008

Time reversal invariance can be sumarised as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and orders, the existence of time reversal invariance requires...

Persistent link: https://www.econbiz.de/10012726396

Sv Mixture Models with Application to S&P 500 Index Returns

Durham, Garland - 2008

Understanding both the dynamics of volatility as well as the shape of the distribution of returns conditional on the volatility state are important for many financial applications. A simple single-factor SV model appears to be sufficient to capture most of the dynamics; it is the shape of the...

Persistent link: https://www.econbiz.de/10012727188

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