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Visible and hidden risk factors for banks
Schuermann, Til; Stiroh, Kevin J. - 2006
This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We compare a range of market models from a basic one-factor model to a nine-factor model that includes the standard Fama-French factors and additional factors thought to be...
Persistent link: https://www.econbiz.de/10010333053
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Modeling dependencies in finance using copulae
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2008
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...
Persistent link: https://www.econbiz.de/10010274147
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Firm heterogeneity and credit risk diversification
Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...
Persistent link: https://www.econbiz.de/10010276169
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Why Hedge? - A Critical Review of Theory and Empirical Evidence -
Ammon, Norbert - 1998
Der Artikel gibt einen Literaturüberblick zur Fragestellung, warum Unternehmen Risikomanagement betreiben und …
Persistent link: https://www.econbiz.de/10010297586
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Marktpreisrisiko-Reporting bei Nichtfinanzinstituten nach IFRS 7: empirische Befunde zum Einsatz von Value at Risk und Sensitivitätsanalysen bei kapitalmarktorientierten Unternehme...
Fürst, Benedikt; Henselmann, Klaus; Klein, Martin - 2009
The paper shows the ways of disclosing financial risks by IFRS 7 and certain types of sensitivity analysis. The different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for reporting are faced critically. Following, the manner of...
Persistent link: https://www.econbiz.de/10010299998
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Trade in financial services, capital flows, and the value-at-risk of countries
Cornelius, Peter K. - 2000
In light of the recent financial crises in the emerging markets, the coming-into-force of the financial services agreement under the GATS has been considered a success. While the agreement provides for little new liberalization but rather formalizes the status quo, it was feared that governments...
Persistent link: https://www.econbiz.de/10010301752
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Risk management with default-risky forwards
Korn, Olaf - 2008
This paper studies the impact of counter-party default risk of forward contracts on a firm's production and hedging decisions. Using a model of a risk-averse competitive firm under price uncertainty, it derives several fundamental results. If expected profits from forward contracts are zero, the...
Persistent link: https://www.econbiz.de/10010302529
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Central counterparties
Koeppl, Thorsten V.; Monnet, Cyril - 2008
Central counterparties (CCPs) have increasingly become a cornerstone of financial markets infrastructure. We present a model where trades are time-critical, liquidity is limited and there is limited enforcement of trades. We show a CCP novating trades implements efficient trading behaviour. It...
Persistent link: https://www.econbiz.de/10010303758
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Value at risk, bank equity and credit risk
Broll, Udo; Wahl, Jack E. - 2003
We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...
Persistent link: https://www.econbiz.de/10010305454
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Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?
Rünger, Petra; Walther, Ursula - 2004
Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …
Persistent link: https://www.econbiz.de/10010305656