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Managing and Measuring Risk:Emerging Global Standards and Regulations After the Financial Crisis
Roggi, Oliviero (contributor); Altman, Edward I (contributor) - World Scientific Publishing Co. Pte. Ltd.
conceived and treated within a corporation. A section is dedicated to credit risk and to the increased importance of liquidity …>(Viral V Acharya, Lasse Pedersen, Thomas Philippon and Matthew Richardson)</i></li> </ul> </li> <li><b><i>Liquidity …:</i></b> <ul> <li>Liquidity and Efficiency in Three Related Foreign Exchange Options Markets <i>(Menachem Brenner and Ben Z …
Persistent link: https://www.econbiz.de/10011118310
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LIQUIDITY AND EFFICIENCY IN THREE RELATED FOREIGN EXCHANGE OPTIONS MARKETS
Brenner, Menachem; Schreiber, Ben Z. - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractThe foreign currency market in a small open economy, like Israel, plays a major role in fiscal and monetary policy decisions, through its effects on the financial markets and the real economy. This has become even more evident in the recent financial crisis. In this paper we explore the...
Persistent link: https://www.econbiz.de/10011206354
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MEASURING SYSTEMIC RISK
Acharya, Viral V.; Brownlees, Christian; Engle, Robert; … - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractThe following sections are included:OverviewThe Dodd-Frank Wall Street Reform and Consumer Protection ActEvaluation of the Dodd-Frank ACTMarket-Based Measures of Systemic RiskInterconnectednessStress TestsTransparencyNYU Stern Systemic Risk RankingsSystemic Risk MethodologySystemic Risk...
Persistent link: https://www.econbiz.de/10011206372
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INTEGRATED WEALTH AND RISK MANAGEMENT: FIRST PRINCIPLES
Bodie, Zvi - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractOne of the ironies of the current global financial crisis is that the very innovations designed to mitigate risks in the past few decades have been blamed for causing the huge losses in wealth. But it is not the innovations that caused the cascade of losses that began in 2008; it was...
Persistent link: https://www.econbiz.de/10011206426
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STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM?
Lleo, Sébastien; Ziemba, William T. - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractWe investigate the stock market crashes in China, Iceland, and the US in the 2007–2009 period. The bond stock earnings yield difference model is used as a prediction tool. Historically, when the measure is too high, meaning that long bond interest rates are too high relative to the...
Persistent link: https://www.econbiz.de/10011206478
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AN EVOLUTIONARY PERSPECTIVE ON THE CONCEPT OF RISK, UNCERTAINTY AND RISK MANAGEMENT
Roggi, Oliviero; Ottonelli, Omar - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractThis chapter aims to provide a conceptual framework on risk and uncertainty, with the goal of helping the reader gain a better understanding of how risk is measured and managed. Beginning with Luca Pacioli until the recent development in the discipline of risk management, the theoretical...
Persistent link: https://www.econbiz.de/10011206558
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TAXING SYSTEMIC RISK
Acharya, Viral V.; Pedersen, Lasse; Philippon, Thomas; … - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractThe following sections are included:Systemic Risk and the Financial Crisis of 2007 to 2009Regulating Systemic RiskObstacle 1: Measuring Systemic RiskObstacle 2: Implementing the Tax on Systemic RiskObstacle 3: Is Moral Hazard Solved?The Dodd-Frank Wall Street Reform and Consumer...
Persistent link: https://www.econbiz.de/10011206586
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EQUITY RISK PREMIUMS (ERP): DETERMINANTS, ESTIMATION AND IMPLICATIONS — THE 2012 EDITION
Damodaran, Aswath - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractThe following sections are included:Equity Risk Premiums: Importance and DeterminantsWhy Does the Equity Risk Premium Matter?A price for riskExpected returns and discount ratesInvestment and policy implicationsWhat are the Determinants of Equity Risk Premiums?Risk aversion and...
Persistent link: https://www.econbiz.de/10011206613
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SME RATING: RISK GLOBALLY, MEASURE LOCALLY
Roggi, Oliviero; Giannozzi, Alessandro - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractThe aim of this chapter is to investigate the superiority of local modeling in the SME default risk estimation.Both “Regional” and “national” models are developed on a dataset of 4,134 enterprises allocated into three samples: a regional “in-sample” (3,137 companies), a...
Persistent link: https://www.econbiz.de/10011206624
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MODELING CREDIT RISK FOR SMEs: EVIDENCE FROM THE US MARKET
Altman, Edward I.; Sabato, Gabriele - In: Managing and Measuring Risk:Emerging Global Standards …
AbstractConsidering the fundamental role played by small and medium sized enterprises (SMEs) in the economy of many countries and the considerable attention placed on SMEs in the new Basel Capital Accord, we develop a distress prediction model specifically for the SME sector and to analyze its...
Persistent link: https://www.econbiz.de/10011206648