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Construction of investment risk measure by the dispersion degree of estimation errors of working capital

Chang, Shen-ho; Huang, Shaio Yan; Chiu, An An; Huang, … - In: Journal of applied finance & banking 2 (2012) 1, pp. 171-195

This study is based on investors' viewpoint and adopts the accruals quality model [1] as proxy variable of earning quality. By applying the process capability concept in engineering application, we establish capability index of basis accrual quality and transform it into the investment risk...

Persistent link: https://www.econbiz.de/10009539783

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011301159

Crunching Mortality and Life Insurance Portfolios with Extended CreditRisk

Hirz, Jonas - 2016

Using an extended version of the credit risk model CreditRisk, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss modelling of life insurance and annuity portfolios which can be...

Persistent link: https://www.econbiz.de/10013001147

Efficient XVA Management : Pricing, Hedging, and Allocation Using Trade-Level Regression and Global Conditioning

Kenyon, Chris - 2014

Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so management must also include XVA. In trading book management we focus on pricing, hedging, and allocation of prices or...

Persistent link: https://www.econbiz.de/10013040052

Production-Based Asset Pricing and Economic Tracking Portfolios : Establishing a Dynamic Partial Equilibrium Link between Economic State and Investment Levels

Gadiraju, Pavan - 2011

This paper investigates the link between economic state and investment levels in an economy within the premise of a partial equilibrium econometric setup based on the central philosophies of production-based asset pricing model and economic tracking portfolio models. By employing a simple linear...

Persistent link: https://www.econbiz.de/10013134628

Financial Markets Portfolio Revaluation System

Macey-Dare, Rupert - 2012

This paper considers a paradigm financial markets trades booking and valuation, data subscription and portfolio revaluation system. Traded instruments covered include: spot and forward exchange rates (FX); credit default swaps (CDS); total return swaps (TRS); commodity and bond futures; traded...

Persistent link: https://www.econbiz.de/10013098037

Portfolio Construction and Uncertainty

Klement, Joachim - 2009

Traditional mean variance optimization assumes that future returns and covariances of all the assets in the universe are known exactly. In practice, these input parameters are subject to estimation errors that may render the output of the optimization algorithm essentially useless. Here we...

Persistent link: https://www.econbiz.de/10013157196

Many Risks, One (Optimal) Portfolio

Homescu, Cristian - 2014

Persistent link: https://www.econbiz.de/10013050012

Portfolio rebalancing based on time series momentum and downside risk

Guo, Xiaoshi; Ryan, Sarah - 2021

To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...

Persistent link: https://www.econbiz.de/10013247805

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Dobrev, Dobrislav - 2011

We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...

Persistent link: https://www.econbiz.de/10013128339