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Model risk in backtesting risk measures
Evers, Corinna; Rohde, Johannes - 2014
Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In this setting backtests often become infeasible due to a low number of violations leading to heavy size distortions. According to Escanciano and Olmo (2010, 2011) these problems...
Persistent link: https://www.econbiz.de/10010344866
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Leasing, Uncertainty, and Financial Constraint
Zhang, Na - 2012
. Because of the agency costs originated from the separation of ownership and control, leasing is a more costly way of financing …
Persistent link: https://www.econbiz.de/10013109337
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The role of financial conditions in portfolio choices : the case of insurers
Ge, Shan; Weisbach, Michael S. - 2019
Many institutional investors depend on the returns they generate to fund their operations and liabilities. How do these investors' financial conditions affect the management of their portfolios? We address this issue using the insurance industry because insurers are large investors for which...
Persistent link: https://www.econbiz.de/10012104637
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Measuring Defi Risk
Bertomeu, Jeremy; Martin, Xiumin; Sall, Ibrahima - 2022
Decentralized finance (DeFi) lending has grown from nonexistent in 2017 to nearly 40 billion US Dollars in deposited funds in May 2022. Using cryptocurrency as collateral, the platforms match speculative margin trading with yield-seeking depositors lending coins pegged to the dollar (stable...
Persistent link: https://www.econbiz.de/10014239508
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Accounting Based Risk Measurement
Toms, Steve - 2011
The paper is organized in six chapters. For all interested readers chapter two contains a detailed explanation of the ABRM technique with numerical illustrations. For academic researchers in particular, chapter three provides a detailed discussion of the research methodology. For the corporate...
Persistent link: https://www.econbiz.de/10013117874
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Heterogeneous effect of uncertainty on corporate investment : evidence from listed firms in the Republic of Korea
Kim, Cheonkoo; Park, Jungsoo; Park, Donghyun; Tian, Shu - 2022
In this paper, we analyze the effect of financial uncertainty on corporate investment using firm-level panel data from the Republic of Korea. We find that financial uncertainty has a significant negative effect on corporate investment, and that the effect is heterogeneous across firms of...
Persistent link: https://www.econbiz.de/10012820828
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Heterogeneous effect of uncertainty on corporate investment : evidence from listed Korean firms
Kim, Cheonkoo; Park, Jungsoo; Park, Donghyun; Tian, Shu - In: International journal of empirical economics 2 (2023) 4, pp. 1-26
In this study, we analyse the effect of financial uncertainty on corporate investment using firm-level panel data from the Republic of Korea. We find that financial uncertainty has a significant negative effect on corporate investment, and that the effect is heterogeneous across firms of...
Persistent link: https://www.econbiz.de/10014491718
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Financing Uncertain Growth
Li, Jay Y. - 2016
We examine interactions between investment and financing decisions in a dynamic model where the firm can alter the mix … of debt and equity financing and exercise a randomly arriving and potentially short lived growth option. The firm will …. The lack of coordination between the timing of investment and debt financing helps explain a number of findings in the …
Persistent link: https://www.econbiz.de/10013008584
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Uncertainty, Investment Spikes, and Leverage Adjustments
Im, Hyun Joong - 2020
We study the effects of uncertainty on corporate leverage adjustments with respect to investment spikes and find that overlevered and underlevered firms behave very differently in response to the combination of uncertainty and investment spikes. Overlevered firms facing high uncertainty converge...
Persistent link: https://www.econbiz.de/10012855716
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Risk Analysis Probability of Default : A Stochastic Simulation Model
Montesi, Giuseppe - 2015
We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply capital-budgeting techniques to define the relationships that identify the default condition, and solve the...
Persistent link: https://www.econbiz.de/10013023044