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article, we find evidence for the inverse relationship between default probability and asset correlation. By replicating the …
Persistent link: https://www.econbiz.de/10012959214
We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 … years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p …-hacking. The new-sample evidence reveals that the large majority of global factors are strongly present under conservative p …
Persistent link: https://www.econbiz.de/10012850289
The 2008-2009 financial crises revealed that the Basel Accord of 2004 was inadequate to ensure a stable financial sector. In this paper we analyze whether the Basel Accord's assumption of a single risk factor contributed to the instability. The asset correlation parameter describes the degree of...
Persistent link: https://www.econbiz.de/10012933974
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
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GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
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