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certainly nowhere near the levels predicted by theory. In addition, only industrial countries have attained better risk sharing …In theory, one of the main benefits of financial globalization is that it should allow for more efficient international … risk sharing. This paper provides a comprehensive empirical evaluation of the patterns of risk sharing among different …
Persistent link: https://www.econbiz.de/10014400319
valuations? And if countercyclical investment (with both market-stabilizing and return-generating properties) is a public and …-agent frictions; (iv) calibrate risk management to minimize long-term shortfall risk (not short-term price volatility); and (v) ensure …
Persistent link: https://www.econbiz.de/10011445378
This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio. The … in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the …
Persistent link: https://www.econbiz.de/10014401441
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …
Persistent link: https://www.econbiz.de/10014399772
We study the effects of permanent and temporary income shocks on precautionary saving and investment in a ""store … investment, or a ""volatility trap."" Namely, big savers invest relatively little. In contrast, low volatility of permanent … shocks leads to low precautionary saving and high or low investment, depending on the volatility of temporary shocks …
Persistent link: https://www.econbiz.de/10014396572
Panel data on Ghanaian manufacturing firms are used to test predictions from models of irreversible investment under …, higher uncertainty raises the hurdle level that triggers investment, and uncertainty has a negative effect on investment … levels that is greater for firms with more irreversible investment …
Persistent link: https://www.econbiz.de/10014403297
vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …
Persistent link: https://www.econbiz.de/10011848202
relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …
Persistent link: https://www.econbiz.de/10012251907
International macroeconomic policy coordination is generally considered to be made less likely—and less profitable—by the presence of uncertainty about how the economy works. The present paper provides a counter-example, in which increased uncertainty about portfolio preference of investors...
Persistent link: https://www.econbiz.de/10014397897
and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk …
Persistent link: https://www.econbiz.de/10014399252