Showing 1 - 10 of 533
equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …
Persistent link: https://www.econbiz.de/10009305103
Unter der Reputation einer Bank versteht man ihren aus Wahrnehmungen der Anspruchsgruppenresultierenden öffentlichen … Ruf bezüglich Kompetenz, Integrität und Vertrauenswürdigkeit.Für die Sicherung nachhaltiger Rentabilität ist Reputation … erwarteten Reputation. Ein aktives Reputationsmanagement ist hierbeiunabdingbarer Baustein des integrierten Controlling …
Persistent link: https://www.econbiz.de/10005868116
The following article develops a simultaneous multi-factor model for defaults and recoveries. Applying this model, risk … parameters can be forecast using systematic and idiosyncratic risk fac-tors and their implied correlations. The theoretical … framework is accompanied by an empirical analysis in which a negative correlation between defaults and recoveries over the …
Persistent link: https://www.econbiz.de/10005867438
This article defines correlation products andexplores the problems they raise for risk management systemsin financial … institutions. It explains the difficulties ofanalyzing nonseparable risk in one type of correlation product,the differential (diff … article concludes withsome general ways nonseparable risk can be managed.[...] …
Persistent link: https://www.econbiz.de/10005870345
), rather than the standard deviation, is used as the measure of risk. …
Persistent link: https://www.econbiz.de/10005843487
In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful … extend coherence to all possible situations of initial wealth. Since a coherent risk measure is the negative of a coherent … lower prevision, all results presented in this paper can easily be reformulated in terms of risk measures. Finally, we …
Persistent link: https://www.econbiz.de/10005858724
risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation … model with expected shortfall as corresponding risk value is a prominent member of this class. Our contribution values also …
Persistent link: https://www.econbiz.de/10005858735
Die internationalen Rohstoffmärkte befinden sich seit einigen Jahren in einerPreisrallye. Während private und institutionelle Anleger die gehandelten Warenüberwiegend als Asset-Klasse zur Diversifizierung ihres Portfolios zunutzen versuchen, sind industrielle Unternehmen mit volatilen...
Persistent link: https://www.econbiz.de/10009302665
In the era of Basel II a powerful tool for bankruptcy prognosis isvital for banks. The tool must be precise but also easily adaptable tothe bank's objections regarding the relation of false acceptances (TypeI error) and false rejections (Type II error). We explore the suitabil-ity of Smooth...
Persistent link: https://www.econbiz.de/10005860752
This paper presents a behavioral finance model of the exchange rate. Agents forecast theexchange rate by means of very simple rules. They can choose between three groups offorecasting rules: fundamentalist, extrapolative and momentum rules. Agents using afundamentalist rule are not able to...
Persistent link: https://www.econbiz.de/10005861184