We examine whether sensitivities to cash flow (CF) and discount rate (DR) risk in down markets provide an explanation … how productivity and financing constraints asymmetrically impact the systematic risk of low-investment and high …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR …) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large … capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations …

The aim of this study is to analyze the impact of credit risk mitigation via margining on the optimal portfolio … credit risk mitigation by means of margining. The resulting differences in the values, with and without margining, are …

Abstract In 1995, the Basel Accords introduced an alternative method to compute the market risk charge through the use … of a risk model developed internally by the financial institution. These internal models, based on the Value-at-Risk (VaR …), follow certain rules that are defined under the Basel Accords. From this moment on, risk analysts and financial academics …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative … component in good-deal hedging, which is shown to be equivalent to a global risk-minimization in the sense of Föllmer and …