Narrow search
Showing 1 - 10 of 87,749
Cover Image
Methodological Thoughts on Expected Loss Estimation for IFRS 9 Impairment : Hidden Reserves, Cyclical Loss Predictions and LGD Backtesting
Reitgruber, Wolfgang - 2016
IFRS 9. Consequently, iACV© can be used to quantify conservatism (ie potential hidden reserves) in the actual …
Persistent link: https://www.econbiz.de/10013004047
Cover Image
Governance Regulatory Changes, International Financial Reporting Standards Adoption, and New Zealand Audit and Non-Audit Fees : Empirical Evidence
Griffin, Paul A. - 2010
companies' audit and non-audit fees. Our models use temporal and International Financial Reporting Standards (IFRS) indicator … increased in New Zealand over 2002–2006. Such increases associate reliably with the transition to and adoption of NZ IFRS and …, but we find no IFRS effect for non-audit fees …
Persistent link: https://www.econbiz.de/10013152312
Cover Image
Private Equity's Diversification Illusion : Evidence From Fair Value Accounting
Welch, Kyle - 2018
Private equity fund managers, pension fund managers, and investment advisers assert that private equity investments diversify investors' portfolios. We show that cost-based methods of accounting understate the systematic risk of private equity, creating an illusion of diversification. After...
Persistent link: https://www.econbiz.de/10012938137
Cover Image
Optimal Expected Credit Loss Impairment Rules
Fleer, Sebastian - 2022
This paper examines regulators' optimal design for banks' expected credit loss impairment rules. Recognizing expected credit losses imposes market discipline and thus sound risk-taking ex ante (social gain) while it potentially distorts the bank's socially desirable liquidity provision ex...
Persistent link: https://www.econbiz.de/10013405684
Cover Image
Portfolio Management and the European Crisis
Munenzon, Mikhail - 2011
Persistent link: https://www.econbiz.de/10013118631
Cover Image
Asset Price Trend Theory : Reframing Portfolio Theory from the Ground Up
Dubois, Robert - 2013
Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...
Persistent link: https://www.econbiz.de/10013084090
Cover Image
Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
Asimit, Alexandru Vali - 2013
Persistent link: https://www.econbiz.de/10013076306
Cover Image
On the Tracking and Replication of Hedge Fund Optimal Investment Portfolio Strategies in Global Capital Markets in Presence of Nonlinearities, Applying Bayesian Filters : 1. Strata...
Ledenyov, Dimitri - 2015
On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...
Persistent link: https://www.econbiz.de/10013025088
Cover Image
Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation
Asimit, Alexandru Vali; Furman, Edward; Tang, Qihe; … - 2013
An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be...
Persistent link: https://www.econbiz.de/10014153815
Cover Image
Co-Occurrence : A New Perspective on Portfolio Diversification
Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023
Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...
Persistent link: https://www.econbiz.de/10014343662