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Basel III: solving the liquidity business challenge
Fiedler, Robert; Mahlknecht, Michael - In: Journal of Financial Transformation 37 (2013), pp. 77-94
The new Basel III rules for liquidity and funding will have an impact on several areas of the banking business. As a …
Persistent link: https://www.econbiz.de/10010840615
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Risk of Financial Distress in Secondary Buyouts
Eschenröder, Tjark - 2020
Secondary buyouts (SBOs) represent more than 50 percent of all buyouts in 2018. Even though general partners argue that SBOs are less attractive investment targets for buyouts and some empirical indication against an outperformance of SBOs exists, the share of SBOs continuously increases....
Persistent link: https://www.econbiz.de/10012845490
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Healthy... Distress... Default
Kakushadze, Zura - 2019
We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we discuss a way of extracting expected returns for stocks from realized CDS spreads,...
Persistent link: https://www.econbiz.de/10012863946
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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...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …
Persistent link: https://www.econbiz.de/10013403261
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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 Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … & Portfolio Managers JP Morgan Portfolio Liquidity Assessment Framework & ModelsPortfolio Assets Modeled: 17 Asset Classes: Hedge … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the …
Persistent link: https://www.econbiz.de/10013405318
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Liquidity Risk, Leverage and Long-Run IPO Returns
Eckbo, B Espen; Norli, Øyvind - C.E.P.R. Discussion Papers - 2005
constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …
Persistent link: https://www.econbiz.de/10005124287
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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013
). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e …
Persistent link: https://www.econbiz.de/10011201776
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Optimal Turnover, Liquidity, and Autocorrelation
Ritter, Gordon; Baldacci, Bastien; Benveniste, Elie - 2022
can be computed explicitly, and obeys a clear relation to the liquidity of the asset and to the autocorrelation of the … alpha forecast signals. Indeed, we find that steady-state optimal turnover is given by γ sqrt(n+1) where γ is a liquidity …
Persistent link: https://www.econbiz.de/10013306993
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The future of hedge funds
Scholes, Myron - In: Journal of Financial Transformation 10 (2004), pp. 8-11
This paper looks at the future of hedge funds, the challenges they face, and how they can remain successful going forward.
Persistent link: https://www.econbiz.de/10008517607
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Optimal asset allocation under linear loss aversion
Fortin, Ines; Hlouskova, Jaroslava - 2010
Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional optimal mean-variance (MV) and conditional...
Persistent link: https://www.econbiz.de/10010293995