Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution-wide hurdle rate is inconsistent with the standard theory of financial valuation. We use asset pricing theory to determine the appropriate hurdle rate for such a RAROC...

Die Allokation des ökonomischen Kapitals stellt sowohl in der Theorie als auch in der Praxis ein zentrales Problem der Banksteuerung dar. Insbesondere Handelsentscheidungen und die Organisation von Handelsabteilungen in Kreditinstituten sind ein weit gehend unerforschtes Feld, das aber in der...

BRICS (Brazil, Russia, India, China and South Africa) are viewed currently as pillars of relative political, economic and financial stability, with the prospect of a major shift in future world power. The paper aims at investigating the relationships among the economic, financial and political...

The possibility to minimize volatility, while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model - extendet by a parameter gamma - seems to be more qualified for this reason. An...

We investigate the association between the existence of the risk committee and the implied cost of equity capital in a unique institutional setting where the formation of the board risk committee as part of the risk governance mechanism is not mandatory in the Gulf Cooperation Council (GCC)...

The Financial Crisis of 2008/2009 increased plan sponsors' desire to control risk — and we are still seeing the unfortunate effects. Many approaches adopted to control risk are illusions of risk control. Of particular concern is how sponsors are misapplying tools designed to monitor...

German Abstract: Angesichts der politischen und wirtschaftlichen Turbulenzen am Aktienmarkt stellt sich die Frage, ob es trotz umfassender Portfolioliteratur neuere Wege gibt, die Problematik des systematischen Risikos bei Aktienanlagen wesentlich zu mindern. Die folgende Arbeit leitet ein...

This paper reviews the most pertinent literature on the sources and uses of equity capital in the U.S. property-casualty (P-C) insurance industry. P-C insurers serve a risk management and risk bearing function in the economy. Insurers create diversified risk pools consisting of large numbers of...

Previous research on insurer cost of equity (COE) focuses on single-period asset pricing models. In reality, however, investment and consumption decisions are made over multiple periods, exposing firms to time-varying risks related to economic cycles and market volatility. We extend the...

Money is not everything in life but money is the most important need of everyone's life. This paper describes the value of money which changed over a period of time. It also explain the important factor i.e. interest, due to which the value of money changes. This paper also discussed the...