Showing 171 - 180 of 182,120
Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been … extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the … downside risk measured by VaR and expected returns for decile portfolios sorted according to VaR of each stock. We found that …
Persistent link: https://www.econbiz.de/10011524092
Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...
Persistent link: https://www.econbiz.de/10011740280
This article presents a simple methodology for computing Value at Risk (VaR) for a portfolio of financial instruments … that is sensitive to market risk, rating change, and default risk. An integrated model for market and credit risks is …
Persistent link: https://www.econbiz.de/10013004297
. Strategies for risk management and supervision based on FSIs have to take these effects into account and choose weighting methods …
Persistent link: https://www.econbiz.de/10013084927
and process, portfolio tranching, risk management and performance measurement. It also includes some discussion of active …
Persistent link: https://www.econbiz.de/10012857980
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by … decides to hedge the longevity risk using a mortality-linked security, typically a longevity bond. The pension scheme invests … risk has an important impact on the performance of investment strategies. Our results provide mathematical evidence …
Persistent link: https://www.econbiz.de/10012841376
benchmark. Asset managers usually face a constraint on maximum Tracking Error Volatility (TEV), imposed by the risk management … office to keep the risk of the portfolio close to that of the selected benchmark. However, many admissible portfolios still …) also fixes a constraint on variance, while Alexander and Baptista (2008) fix a constraint on Value-at-Risk (VaR). Moreover …
Persistent link: https://www.econbiz.de/10012937578
We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their … performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing … in large-cap and value stocks have stronger downside risk timing skills. Managers adjust funds' downside risk exposure in …
Persistent link: https://www.econbiz.de/10013016532
climate risk beliefs. We exploit two types of idiosyncratic belief shocks: (i) instances when fund advisers experience local … hedge portfolios for aggregate unemployment and house price risk …
Persistent link: https://www.econbiz.de/10013477195
Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio … ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk … (VaR) or expected shortfall (ES) as risk measures. Often the latter is preferred as it deals better with risk in sub …
Persistent link: https://www.econbiz.de/10014349483