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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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How Does Owners' Exposure to Idiosyncratic Risk Influence the Capital Structure of Private Companies?
Müller, Elisabeth - 2005
This paper identifies the entrepreneur's exposure to idiosyncratic risk as an important determinant of the capital structure of private companies. The exposure to idiosyncratic risk is approximated by the share of personal net worth invested in one company (SNWI). Exposure to idiosyncratic risk...
Persistent link: https://www.econbiz.de/10010297423
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How Does Owners' Exposure to Idiosyncratic Risk Influence the Capital Structure of Private Companies?
Müller, Elisabeth - 2006
This paper identifies the entrepreneur's exposure to idiosyncratic risk as an important determinant of the demand for loans and the capital structure. The analysis is based on a sample of small and medium-sized private companies from the United States. The exposure to idiosyncratic risk is...
Persistent link: https://www.econbiz.de/10010298013
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How does owners' exposure to idiosyncratic risk influence the capital structure of private companies?
Müller, Elisabeth - 2007
This paper identifies the entrepreneur's exposure to idiosyncratic risk as an important determinant of the demand for loans and the capital structure. The analysis is based on a sample of small and medium-sized private companies from the United States. The exposure to idiosyncratic risk is...
Persistent link: https://www.econbiz.de/10010299469
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An economic capital model integrating credit and interest rate risk in the banking book
Alessandri, Piergiorgio; Drehmann, Mathias - 2009
Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our...
Persistent link: https://www.econbiz.de/10011605087
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard; de Raaij, Gabriela - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10010295725
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The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …
Persistent link: https://www.econbiz.de/10010291928
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Since when have FOREX markets incorporated EMU into currency pricing? Evidence from four exchange rate series
Wilfling, Bernd - 2001
rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using …
Persistent link: https://www.econbiz.de/10010295594
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Models for time-varying moments using maximum entropy applied to a generalized measure of volatility
Herrmann, Klaus - 2008
may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …
Persistent link: https://www.econbiz.de/10010299748
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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …
Persistent link: https://www.econbiz.de/10010302536