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Credit risk management in banks: Hard information, soft Information and manipulation

Godbillon-Camus, Brigitte; Godlewski, Christophe - Volkswirtschaftliche Fakultät, … - 2005

The role of information’s processing in bank intermediation is a crucial input. The bank has access to different types … a bank relationship, is qualitative and non verifiable, therefore manipulable, but produces more precise estimation of … to the banker but requires particular organizational modifications within the bank, as it allows to reduce capital …

Persistent link: https://www.econbiz.de/10005836711

Hedging Effectiveness under Conditions of Asymmetry

Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...

Persistent link: https://www.econbiz.de/10005837212

Examination of VaR after long term capital management

Yalincak, Hakan; Li, Yu; Tong, Mike - Volkswirtschaftliche Fakultät, … - 2005

The 1998 failure of Long-Term Capital Management (‘LTCM’), a very large and prominent Greenwich, Connecticut based hedge fund, is said to have nearly brought down the world financial system. Over the years, few financial debacles such as LTCM, have been so often written about or discussed...

Persistent link: https://www.econbiz.de/10011258944

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

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 research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821

Non-Parametric methods: An application for the risk measurement

Zeballos, David - Volkswirtschaftliche Fakultät, … - 2010

Currently, the financial institutions are exposed to different types of risks, which has increased the need for new analytical instruments for the risk management, being one of most developed the Value at Risk (VaR). There are different methods of calculation; however, as it was affirmed, there...

Persistent link: https://www.econbiz.de/10011261130

Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan

Qayyum, Abdul; Nawaz, Faisal - Volkswirtschaftliche Fakultät, … - 2010

The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for tail related risk measures.

Persistent link: https://www.econbiz.de/10008866149

Structural Credit Modelling and Its Relationship to Market Value at Risk: An Australian Sectoral Perspective

Allen, David E; Powell, Robert - Volkswirtschaftliche Fakultät, … - 2008

Credit risk modelling has become increasingly important to Banks since the advent of Basel II which allows Banks with sophisticated modelling techniques to use internal models for the purpose of calculating capital requirements. A high level of credit risk is often the key reason behind banks...

Persistent link: https://www.econbiz.de/10011110935

The Impact of Merger and Acquisition on Value at Risk (VaR): A Case Study of China Eastern Airline

Fung, Ka Wai Terence; Wan, Wilson - Volkswirtschaftliche Fakultät, … - 2013

This paper attempts to examine the impact of merger and acquisition on Value at Risk (VaR) of China Eastern Airline. The VaR is estimated for the whole sample and pre-merger periods by three methods: RiskMetrics , AR-GARCH and Generalized Extreme Value (GEV). The regression-based model reports...

Persistent link: https://www.econbiz.de/10011113885

Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham

Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2009

This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR) and accounting performance (ROE, and EPS) also their market capitalization in Indonesia Stock Exchange period 2003-2006. Some clarification need to achieved, such as: real...

Persistent link: https://www.econbiz.de/10009651390

Credit risk tools: an overview

Esposito, Francesco Paolo - Volkswirtschaftliche Fakultät, … - 2010

This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for plain vanilla credit default swaps (CDS),...

Persistent link: https://www.econbiz.de/10008788796

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