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Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets

Devjak, Srečko; Grum, Andraž - In: Prague Economic Papers 2006 (2006) 4, pp. 364-373

Due to the capital decree legislated by the Bank of Slovenia, Slovenian commercial banks can apply internal models for …

Persistent link: https://www.econbiz.de/10005036506

Risk management, soft information and bankers' incentives

Godbillon-Camus, Brigitte; Godlewski, Christophe J. - In: Revue d'économie politique 123 (2013) 5, pp. 763-791

Nous étudions dans cet article l?influence de l?information dite « soft » sur la gestion intégrée du risque dans les banques. Les politiques régissant la gestion du risque, l?allocation du capital et la structure financière de la banque sont mises en ?uvre par la direction qui s?appuie...

Persistent link: https://www.econbiz.de/10011020695

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - Fakultät Wirtschaftswissenschaften, Technische … - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … managerial and market factors. Furthermore, the bank's equity and asset/liability management has to be addressed simultaneously … by bank managers. …

Persistent link: https://www.econbiz.de/10009226211

Value at risk, Equity and Diversification

Broll, Udo; Wahl, Jack E. - Fakultät Wirtschaftswissenschaften, Technische … - 2006

.The paper focuses on the interaction between the solvency probability of a bank, on one hand, and the diversification potential …

Persistent link: https://www.econbiz.de/10009226221

Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions. A monotonized double kernel local linear estimator is applied to estimate moderate (1%)...

Persistent link: https://www.econbiz.de/10008629520

Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...

Persistent link: https://www.econbiz.de/10005198022

Credit risk management in banks: Hard information, soft Information and manipulation

Godbillon-Camus, Brigitte; Godlewski, Christophe - Volkswirtschaftliche Fakultät, … - 2005

The role of information’s processing in bank intermediation is a crucial input. The bank has access to different types … a bank relationship, is qualitative and non verifiable, therefore manipulable, but produces more precise estimation of … to the banker but requires particular organizational modifications within the bank, as it allows to reduce capital …

Persistent link: https://www.econbiz.de/10005836711

Risk-adjusted measures of value creation in financial institutions

Milne, Alistair; Onorato, Mario - Suomen Pankki - 2009

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...

Persistent link: https://www.econbiz.de/10008509435

Sensitivity Analysis of Values at Risk

Gouriéroux, Christian; Laurent, J.P.; Scaillet, Olivier - Institut de Recherche Économique et Sociale (IRES), … - 1999

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a local...

Persistent link: https://www.econbiz.de/10004985208

Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy

Caillault, Cyril; Guégan, Dominique - In: Frontiers in Finance and Economics 6 (2009) 1, pp. 26-50

management of bank supervisors. The copula approach seems to be a good compromise between all these models. It permits taking …

Persistent link: https://www.econbiz.de/10004998296