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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...
Persistent link: https://www.econbiz.de/10010564003
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Uncertainty of Multiple Period Risk Measures
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
In general, the properties of the conditional distribution of multiple period returns do not follow easily from the one-period data generating process. This renders computation of Value-at-Risk and Expected Shortfall for multiple period returns a non-trivial task. In this paper we consider some...
Persistent link: https://www.econbiz.de/10005198007
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A Corrected Value-at-Risk Predictor
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2008
In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.
Persistent link: https://www.econbiz.de/10005651967
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Shareholder distribution choices for industrial companies listed on the JSE : share buybacks versus dividends
Bester, P. G. - 2008
ENGLISH ABSTRACT: Repurchasing of shares by South African companies were legalised on 1 July 1999.This introduced an alternative to dividends for distributing cash to shareholders.Although dividends and share repurchases realise the same value in a perfect efficientmarket, the inefficiencies of...
Persistent link: https://www.econbiz.de/10009442030
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Die invloed van finansiele bestuur op entrepreneuriese gedrag in die kernbesigheid van akademiese instellings
Brooks, Mathys Johannes - 2007
AFRIKAANSE OPSOMMING: Instellings vir hoër onderwys is unieke organisasies deurdat hul grootste groep kliënte verdeel is in twee heterogene groepe met uiteenlopende behoeftes naamlik die staat en die algemene publiek. Hierdie twee primêre kliënte is onderskeidelik verantwoordelik vir die...
Persistent link: https://www.econbiz.de/10009442032
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Credit guarantee schemes and the support of small businesses in Lesotho
Lepolesa, Gerard - 2008
materials, lack of skills, etc.However, access to finance is frequently cited as the most prominent problem facing theSMEs …. Access to finance is defined as the easiness to access credit from financialinstitutions and the costs associated with … (ComprehensiveExport Finance Scheme) was administered by the Central Bank of Lesotho throughLesotho National Development Cooperation …
Persistent link: https://www.econbiz.de/10009442065
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The financial sustainability of South Africa's National Development Finance Institutions
Mulusa, Lucky Mabenga - 2008
ENGLISH ABSTRACT: Development Finance Institutions (DFIs) in South Africa can enhance their role as prime vehicles for …Thesis (MDF (Development Finance))--University of Stellenbosch, 2008. …
Persistent link: https://www.econbiz.de/10009442071
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The use of innovative financing structures in facilitating BEE transactions in South Africa
Ramathe, Mamokete - 2009
Thesis (MDF (Development Finance))-- University of Stellenbosch, 2009. …
Persistent link: https://www.econbiz.de/10009442080
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What role should the financial planners of ABSA Brokers play when ABSA Business Bank extends credit facilities to its SME customers?
Roos, Jacques Thomas - 2008
the need forfinance and access to finance. Banks play a major role in providing finance to SME’s byproviding different … forms of finance to SME’s.The finance that the shareholders / directors can access in their personal capacity plays … acritical role in the provision of finance to SME’s. Banks will require security whenadvancing credit facilities and the …
Persistent link: https://www.econbiz.de/10009442084
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Measuring the success of global oil and gas corporate mergers and acquisitions from a financial perspective
Soobader, Saleem Fazul-Haque - 2008
ENGLISH ABSTRACT: Successful merger and acquisitions (M & A) from a financial perspective increases shareholder value. This paper examines the effect of corporate mergers and acquisitions (M & A) on shareholder value. A discussion on shareholder value follows with reasons why companies choose M...
Persistent link: https://www.econbiz.de/10009442089