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risk analysis and management
(1009 results)-
White Papers
Risk Premia In International Equity Markets Revisited
Aug 2007
Recent evidence suggests that global equity markets are becoming more risky. The authors find that much of the apparent increase in international variance and covariance of returns can be...
Provided by New York University
-
White Papers
Limited Arbitrage And Liquidity In The Market For Credit Risk
Jun 2008
Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their risk-less benchmarks. One candidate for the unexplained...
Provided by New York University
-
White Papers
Fitting Vast Dimensional Time-Varying Covariance Models
Sep 2008
Building models for high dimensional portfolios is important in risk management and asset allocation. Here the authors propose a novel and fast way of estimating models of time-varying...
Provided by University of Oxford
-
White Papers
Estimating The Implied Risk Neutral Density For The U.S. Market Portfolio
Jul 2008
The market's risk neutral probability distribution for the value of an asset on a future date can be extracted from the prices of a set of options that mature on that date, but two key technical...
Provided by New York University
-
White Papers
Estimating Operational Risk For Hedge Funds
Jan 2008
Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, the authors develop a quantitative model called the ù-Score to measure hedge fund operational risk....
Provided by Yale University
-
White Papers
Liquidity Risk And Competition In Banking
Jan 2008
Liquidity risk is one of the major risks faced by banks in addition to credit risk, market risk and operating risk. In this paper the authors construct a stylized model of bank management where...
Provided by New York University
-
White Papers
Investigating ICAPM With Dynamic Conditional Correlations
Feb 2008
This paper examines the intertemporal relation between expected return and risk for 30 stocks in the Dow Jones Industrial Average. The mean-reverting dynamic conditional correlation model of Engle...
Provided by New York University
-
White Papers
When Is Noise Not Noise ? A Microstructure Estimate Of Realized Volatility
Feb 2008
This paper studies the joint distribution of tick by tick returns and durations between trades. Returns are decomposed into changes in full information prices and microstructure noise, but the...
Provided by New York University
-
White Papers
Hedge Fund Due Diligence: A Source Of Alpha In A Hedge Fund Portfolio Strategy
Jan 2008
Due diligence is an important source of alpha in a well designed hedge fund portfolio strategy. It is generally understood that the high returns possible in investing in hedge funds are somewhat...
Provided by New York University
-
White Papers
Mandatory Disclosure And Operational Risk: Evidence From Hedge Fund Registration
Mar 2008
Mandatory disclosure is a regulatory tool intended to allow market participants to assess operational risk. The authors examine the value of disclosure through the controversial SEC requirement,...
Provided by New York University
-
White Papers
Latent Liquidity And Corporate Bond Yield Spreads
Nov 2007
Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their risk-less benchmarks. One candidate for the unexplained...
Provided by New York University
-
White Papers
Asymmetric Volatility And Cross Correlations In Stock Returns Under Risk And Uncertainty
Dec 2009
Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If Efficient Market Hypothesis (EMH) holds true, it will prevent the...
Provided by Vikalpa
-
White Papers
Risk-Adjusted Performance, Selectivity, Timing Ability And Performance Persistence Of Hong Kong Mutual Funds
Jan 2008
This paper examines the performance of thirty Hong Kong mutual funds during the period from August 1995 to July 2005. The issues of risk-adjusted performance, selectivity, timing ability and...
Provided by Brunel University
-
White Papers
Business Process Management II: Best Practices of Boeing and UPS
Oct 2006
This executive summary is a follow up report to APQC's 2005 "Business Process Management" Best- practice Report. It digs deeper into how organizations are navigating the transition from...
Provided by APQC
-
White Papers
International Risk Sharing In The Short Run And In The Long Run
Feb 2011
International risk-sharing has far-reaching implications both for economic policy and for basic research in economics. When countries do not share risk, individuals in those countries experience...
Provided by National Bureau of Economic Research
-
White Papers
Market Timing, Investment, And Risk Management
Feb 2011
Firms face uncertain financing conditions and are exposed to the risk of a sudden rise in financing costs during financial crises. The authors develop a tractable model of dynamic corporate...
Provided by National Bureau of Economic Research
-
White Papers
Financial Integration, Entrepreneurial Risk And Global Imbalances
Feb 2011
The authors investigates within a two-country, general-equilibrium, incomplete-markets model that focuses on the importance of idiosyncratic entrepreneurial risk - a risk that introduces, not only...
Provided by National Bureau of Economic Research
-
Whitepapers
Whitepaper - Tivoli Access Manager for Enterprise Single Sign On - An Overview
Mar 2011
This white paper describes Tivoli Access Manager for Enterprise Single Sign-On, including its key features and benefits. With an increasing number of enterprise applications and access...
Provided by IBM
-
Whitepapers
IBM Tivoli Storage Manager FastBack: Helping provide seamless data protection and recovery for critical Windows applications
Mar 2011
IBM® Tivoli® Storage Manager FastBack® reduces data loss and eliminates error-prone manual operations from the data protection process. It alleviates the need for traditional backup windows by...
Provided by IBM
-
Whitepapers
Case Study: Hardware retailer increases mobile messaging security and flexibility while improving integration with IBM Lotus
Mar 2011
This document discusses one company's decision to upgrade to IBM® Lotus® Notes®. Numerous feature improvements, such as increased mobile security for virtual private network (VPN) connections,...
Provided by IBM
-
White Papers
Rollover Risk And Credit Risk
Jan 2010
This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the firm faces losses in rolling over its maturing debt, its equity holders are...
Provided by National Bureau of Economic Research
-
White Papers
Danger On The Exchange: How Counterparty Risk Was Managed On The Paris Bourse In The Nineteenth Century
Jan 2010
Over the course of the nineteenth century, the struggles of Paris Bourse to manage counterparty risk revealed the awkward choices that face derivatives exchanges. Shortly after it was founded, the...
Provided by National Bureau of Economic Research
-
White Papers
Estimated Impact Of The Fed?s Mortgage-Backed Securities Purchase Program
Dec 2009
The authors examine the quantitative impact of the Federal Reserve's Mortgage-Backed Securities (MBS) purchase program. They focus on how much of the recent decline in mortgage interest rate...
Provided by National Bureau of Economic Research
-
White Papers
Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, And Systemic Risk
Dec 2009
The authors characterize the evolution over time of a network of credit relations among financial agents as a system of coupled stochastic processes. Each process describes the dynamics of...
Provided by National Bureau of Economic Research
-
White Papers
Risk-Adjusted Gamma Discounting
Dec 2009
It is widely recognized that the economics of distant-future events, like climate change, is critically dependent upon the choice of a discount rate. Unfortunately, it is unclear how to discount...
Provided by National Bureau of Economic Research
-
White Papers
Public Versus Private Risk Sharing
Dec 2009
The paper depends crucially on the fundamental friction that limits private risk sharing in the first place. If risk sharing is incomplete because some insurance markets are missing for...
Provided by National Bureau of Economic Research
-
White Papers
Is Credit Event Risk Priced? Modeling Contagion Via The Updating Of Beliefs
Feb 2010
Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a "Contagion-risk"...
Provided by National Bureau of Economic Research
-
White Papers
Aversion To Price Risk And The Afternoon Effect
May 2008
Many empirical studies of auctions show that prices of identical goods sold sequentially follow a declining path. Declining prices have been viewed as an anomaly, because the theoretical models of...
Provided by University of Warwick
-
White Papers
Optimal Pricing And Capacity Choice For A Public Service Under Risk Of Interruption
Nov 2010
The authors develop rules for pricing and capacity choice for an interruptible service that recognize the interdependence between consumers' perceptions of system reliability and their market...
Provided by Universite Catholique de Louvain
-
White Papers
Utilitarianism And Unequal Longevities : A Remedy?
Jul 2010
This paper re-examines a counterintuitive corollary of utilitarianism under unequal longevities: the tendency to redistribute resources from short-lived towards long-lived agents, against any...
Provided by Universite Catholique de Louvain
-
White Papers
Commodities Inventory Effect
Jul 2010
Asymmetric GARCH models were developed for equity stocks to take into account the larger response of the conditional variance to negative price shocks. The authors show that these asymmetric GARCH...
Provided by Universite Catholique de Louvain
-
White Papers
Aggregation Of Exponential Smoothing Processes With An Application To Portfolio Risk Evaluation
Jul 2010
In this paper the authors propose a unified framework to analyze contemporaneous and temporal aggregation of exponential smoothing models. Focusing on a vector IMA (1, 1) model, they obtain a...
Provided by Universite Catholique de Louvain
-
White Papers
Social Rationality, Separability, And Equity Under Uncertainty
Jul 2010
Harsanyi (1955) proved that, in the context of uncertainty, social rationality and the Pareto principle impose severe constraints on the degree of priority for the worst-off that can be adopted in...
Provided by Universite Catholique de Louvain
-
White Papers
Stochastic Equilibrium Models For Generation Capacity Expansion
Jun 2010
Capacity expansion models in the power sector were among the first applications of operations research to the industry. The models lost some of their appeal at the inception of restructuring even...
Provided by Universite Catholique de Louvain
-
White Papers
Liquidity Risks On Power Exchanges
Jan 2010
Financial derivatives are important hedging tool for asset's manager. Electricity is by its very nature the most volatile commodity, which creates big incentive to share the risk among the market...
Provided by Universite Catholique de Louvain
-
Webcasts
Planning The Response: Establishing The Impacts And Identifying The Parties At Risk
Sep 2010
The Deepwater Horizon disaster spread through not just a vast coastal ecosystem, but into diverse human communities lining the Gulf, many entirely dependent on the sea for their livelihoods. These...
Provided by Massachusetts Institute of Technology
-
White Papers
Adding Independent Risks In An Insurance Portfolio: Which Shape For The Insurers? Preferences?
Feb 2009
Many papers have adopted the expected utility paradigm to analyze insurance decisions. Insurance companies manage policies by growing, by adding independent risks. Even if adding risks generally...
Provided by Universite Catholique de Louvain
-
White Papers
Correlated Risks, Bivariate Utility And Optimal Choices
Feb 2009
In this paper, the authors consider a decision-maker facing a financial risk flanked by a background risk, possibly non-financial, such as health or environmental risk. A decision has to be made...
Provided by Universite Catholique de Louvain
-
White Papers
A Benchmark Value For Relative Prudence
Oct 2007
In this paper the authors propose benchmark values for the coefficients of relative risk aversion and relative prudence on the basis of a binary choice model where the decision maker chooses...
Provided by Universite Catholique de Louvain
-
White Papers
Does Inequality Make Us Rebel? A Renewed Theoretical Model Applied To South Mexico
Oct 2007
Since Collier and Hoeffler (1998, 2004), it has been supported that inequality, measured at national level, does not affect the risk of conflict. Based on a renewed theoretical framework, the...
Provided by Universite Catholique de Louvain
-
White Papers
Impact Of Environmental Dynamics On Economic Evolution: Uncertainty, Risk Aversion, And Policy
Mar 2009
The general question of how environmental dynamics affect the behavioral interaction in an evolutionary economy is considered. To this end, a basic model of a dynamic multi-sector economy is...
Provided by Munich Personal Repec Archive
-
White Papers
Legal Enforcement, Public Supply Of Liquidity And Sovereign Risk
Mar 2009
Sovereign debt crises in emerging markets are usually associated with liquidity and banking crises within the economy. This connection is suggested by both anecdot0ical and empirical evidence. The...
Provided by Munich Personal Repec Archive
-
White Papers
The Gestion Of Semnificative Risks In Banking Societies
Mar 2009
The activity of bank institutions is subjected to a range of risks, and therefore these institutions are supposed to deal with their administration to the highest possible. An efficient...
Provided by Munich Personal Repec Archive
-
White Papers
A Non-Parametric Investigation Of Risk Premia
May 2009
This paper studies determinants of risk premia using a non-parametric term-structure model of the corporate spread. The model, which measures the extra return of defaultable corporate bonds on...
Provided by Munich Personal Repec Archive
-
White Papers
Regulatory Strategies
Jun 2009
Over the years, there has been a shift from a wide command-and-control style of supervision whereby the regulator imposes detailed rules with which regulators supervise to one which consists of...
Provided by Munich Personal Repec Archive
-
White Papers
Modeling Extreme But Plausible Losses For Credit Risk: A Stress Testing Framework For The Argentine Financial System
Jul 2009
While not being widespread, stress tests of credit risk are not new in the Argentine financial system, neither for financial intermediaries nor for the Central Bank. However, they are more often...
Provided by Munich Personal Repec Archive
-
White Papers
Range-Based Models In Estimating Value-at-Risk (VaR)
Mar 2010
This paper introduces new methods of estimating Value-at-Risk (VaR) using Range-Based GARCH (General AutoRegressive Conditional Heteroskedasticity) models. These models, which could be either...
Provided by Munich Personal Repec Archive
-
White Papers
Risky Swaps
Feb 2008
In this paper the authors presented a reduced form of risky bond pricing. At the default date a bond seller fail to continue fulfill his obligation and the price of the bond sharply drops down. If...
Provided by Munich Personal Repec Archive
-
White Papers
Risk Aversion And The Dynamics Of Optimal Liquidation Strategies In Illiquid Markets
Feb 2008
The authors consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann-Morgenstern investor in the liquidity model of Almgren (2003). Using a stochastic control...
Provided by Munich Personal Repec Archive
-
White Papers
Hedge Fund Portfolio Selection With Modified Expected Shortfall
Feb 2008
Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are...
Provided by Munich Personal Repec Archive
-
White Papers
Informal Insurance And Income Inequality
Feb 2008
This paper examines the effects of income inequality in a risk sharing model with limited commitment, that is, when insurance agreements have to be self enforcing. In this context, numerical...
Provided by Munich Personal Repec Archive
-
White Papers
Individual Risk And Lebesgue Extension Without Aggregate Uncertainty
Mar 2008
Many economic models include random shocks imposed on a large number (continuum) of economic agents with individual risk. In this context, an exact law of large numbers and its converse is...
Provided by Munich Personal Repec Archive
-
White Papers
Optimal Multi-Object Auctions With Risk Averse Buyers
Mar 2008
The authors analyze the optimal auction of multiple non-identical objects when buyers are risk averse. They show that the auction formats that yield the maximum revenue in the risk neutral case...
Provided by Munich Personal Repec Archive
-
White Papers
Default Risk And Income Fluctuations In Emerging Economies
Mar 2008
Recent sovereign defaults in emerging countries are accompanied by interest rate spikes and deep recessions. This paper develops a small open economy model to study default risk and its...
Provided by Munich Personal Repec Archive
-
White Papers
Cognitive Dissonance, Risk Aversion And The Pretrial Negotiation Impasse
May 2008
There exists evidence that asymmetrical information do exist between litigants: not in a way supporting Bebchuk (1984)'s assumption that defendants' degree of fault is private information, but...
Provided by Munich Personal Repec Archive
-
White Papers
Bond Risk Premia, Macroeconomic Fundamentals And The Exchange Rate
Jul 2008
The authors introduce a two-country no-arbitrage term-structure model to analyse the joint dynamics of bond yields, macroeconomic variables and the exchange rate. The model allows to understand...
Provided by Munich Personal Repec Archive
-
White Papers
Fast And Accurate Simulation Of Differently Seasoned Loan Defaults In A Merton-Style Framework In Discrete Time
Aug 2008
In this paper the author presents a method for the simulation of the default of such loans that have two important properties: they are seasoned - maybe even being at different points of the...
Provided by Munich Personal Repec Archive
-
White Papers
Acceptable Risk In A Portfolio Analysis
Feb 2009
A social network has been used to simulate how agents of different levels of risk aversion under different circumstances behave in financial markets when deciding between risk-free and a risky...
Provided by Munich Personal Repec Archive
-
White Papers
When Risk Weights Increase The Risk: Some Concerns For Capital Regulation
Feb 2009
In this paper the author argues that as a response to the introduction of capital requirements in the form of risk weights investors might potentially choose riskier portfolios than before the...
Provided by Munich Personal Repec Archive
-
White Papers
Execution Risk
Apr 2008
Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate execution and the risk is a result of price movements during a more gradual trading....
Provided by National Bureau of Economic Research
-
White Papers
The Growing Importance Of Risk In Regulation
Mar 2009
This paper traces the developments that have contributed to the importance of risk in regulation. Not only does it consider theories associated with risk, it also discusses explanations as to why...
Provided by Munich Personal Repec Archive
-
White Papers
Factors Driving Demand And Default Risk In Residential Housing Loans: Indian Evidence
Mar 2009
This paper empirically examines the functional role of various micro and macro economic as well as situational factors that determine residential housing demand and risk of borrower default. Using...
Provided by Munich Personal Repec Archive
-
White Papers
Risk's And Uncertainty In The Knowledge Economy
Mar 2009
In the context of a bright economy towards the authors aim the insurances represent are activity branch a services department with a financial character and with many valences. Beyond of the...
Provided by Munich Personal Repec Archive
-
White Papers
Sectoral Equity Returns In The Euro Region: Is There Any Room For Reducing The Portfolio Risk?
Apr 2009
The economic integration among Euro members has important consequences for the factors driving asset pricing and asset trading within the financial markets. In particular, since the start of the...
Provided by Munich Personal Repec Archive
-
White Papers
Price Volatility And Risk Exposure: On The Interaction Of Quota And Product Markets
May 2009
The authors consider an industry with firms that produce a final good emitting pollution to different degree as a side effect. Pollution is regulated by a tradable quota system where some quotas...
Provided by Munich Personal Repec Archive
-
White Papers
The Riskiness Of Risk Models
Apr 2011
The authors provide an economic valuation of the riskiness of risk models by directly measuring the impact of model risks (specification and estimation risks) on VaR estimates. They find that...
Provided by Centre pour la Communication Scientifique Directe
-
White Papers
Multivariate VaRs For Operational Risk Capital Computation : A Vine Structure Approach
Apr 2011
The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper the authors introduce a new methodology permitting...
Provided by Centre pour la Communication Scientifique Directe
-
White Papers
Adverse Health Effects, Risk Perception And Pesticide Use Behavior
Jul 2009
The use of pesticides on the farm is largely governed by voluntary behavior. It is important to understand what drives farmer's behavior of pesticide use. Health belief models in public health and...
Provided by Munich Personal Repec Archive
-
White Papers
Risk Management Framework For Hedge Funds: Role Of Funding And Redemption Options On Leverage
Jul 2009
The authors develop a model of hedge fund returns, which reflect the contractual relationships between a hedge fund, its investors and its prime brokers. These relationships are modeled as short...
Provided by Munich Personal Repec Archive
-
White Papers
Regulations, Competition And Bank Risk-Taking In Transition Countries
Jul 2009
This paper investigates whether regulations have an independent effect on bank risk-taking or whether their effect is channeled through the market power possessed by banks. Given a...
Provided by Munich Personal Repec Archive
-
White Papers
Generalized Marginal Risk
Sep 2009
An important aspect of portfolio risk management is the analysis of the overall risk with respect to the allocations to the underlying assets. Marginal risk is the traditional tool used by...
Provided by Munich Personal Repec Archive
-
White Papers
Basic Principles Of Hedge Accounting
Sep 2009
The development of the capital markets increases the key role of the financial manager both in using the new techniques for administrating the risks and in assessing hedge effectiveness. Risk...
Provided by Munich Personal Repec Archive
-
White Papers
Private Debt With Pervasive Default Risk
Sep 2009
Following Jeske's (2006) decentralized international risk sharing arrangement where residents have access to international capital markets, this paper studies the presence of resident default risk...
Provided by Munich Personal Repec Archive
-
White Papers
Do Risk Attitudes Differ Within The Group Of Entrepreneurs?
Sep 2009
The notion of risk and entrepreneurship has been widely discussed in the entrepreneurship literature. Starting a business involves risk and requires a risk-taking attitude. Most studies have...
Provided by Munich Personal Repec Archive
-
White Papers
The Irrelevance Of Market Incompleteness For The Price Of Aggregate Risk
Jul 2009
In a standard incomplete markets model with a continuum of households that have Constant Relative Risk Aversion (CRRA) preferences, the absence of insurance markets for idiosyncratic labor income...
Provided by National Bureau of Economic Research
-
White Papers
The Problems Of Correlation In The Financial Risk Management ? The Contribution Of Microfinance
Dec 2009
In this paper the authors first introduce microfinance institutions as an alternative investment instrument. They argue that beside socially responsible features of microfinance, there exists also...
Provided by Munich Personal Repec Archive
-
White Papers
Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach For Trading And Fund Management Portfolios
Dec 2009
Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition,...
Provided by Munich Personal Repec Archive
-
White Papers
Risk-Factor Portfolios And Financial Stability
Dec 2009
This paper defines a Risk-Stability Index (RSI) that takes into account the extreme dependence structure and the Conditional Probability of Joint Failure (CPJF) among risk factors in a portfolio....
Provided by Munich Personal Repec Archive
-
White Papers
Factor Models And The Credit Risk Of A Loan Portfolio
Jan 2010
Factor models for portfolio credit risk assume that defaults are independent conditional on a small number of systematic factors. This paper shows that the conditional independence assumption may...
Provided by Munich Personal Repec Archive
-
White Papers
On Behavioral Arrow Pratt Risk Process With Applications To Risk Pricing, Stochastic Cash Flows, And Risk Control
Jan 2010
The authors introduce a closed form behavioural stochastic Arrow-Pratt risk process, decomposed into discrete asymmetric risk seeking and risk averse components that run on different local times...
Provided by Munich Personal Repec Archive
-
White Papers
Latent Liquidity And Corporate Bond Yield Spreads
Nov 2007
Recent research has shown that default risk accounts for only a part of the total yield spread on risky corporate bonds relative to their risk-less benchmarks. One candidate for the unexplained...
Provided by New York University
-
White Papers
Asymmetric Volatility And Cross Correlations In Stock Returns Under Risk And Uncertainty
Dec 2009
Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If Efficient Market Hypothesis (EMH) holds true, it will prevent the...
Provided by Vikalpa
-
White Papers
Risk-Adjusted Performance, Selectivity, Timing Ability And Performance Persistence Of Hong Kong Mutual Funds
Jan 2008
This paper examines the performance of thirty Hong Kong mutual funds during the period from August 1995 to July 2005. The issues of risk-adjusted performance, selectivity, timing ability and...
Provided by Brunel University
-
White Papers
Business Process Management II: Best Practices of Boeing and UPS
Oct 2006
This executive summary is a follow up report to APQC's 2005 "Business Process Management" Best- practice Report. It digs deeper into how organizations are navigating the transition from...
Provided by APQC
-
White Papers
International Risk Sharing In The Short Run And In The Long Run
Feb 2011
International risk-sharing has far-reaching implications both for economic policy and for basic research in economics. When countries do not share risk, individuals in those countries experience...
Provided by National Bureau of Economic Research
-
White Papers
Market Timing, Investment, And Risk Management
Feb 2011
Firms face uncertain financing conditions and are exposed to the risk of a sudden rise in financing costs during financial crises. The authors develop a tractable model of dynamic corporate...
Provided by National Bureau of Economic Research
-
White Papers
Financial Integration, Entrepreneurial Risk And Global Imbalances
Feb 2011
The authors investigates within a two-country, general-equilibrium, incomplete-markets model that focuses on the importance of idiosyncratic entrepreneurial risk - a risk that introduces, not only...
Provided by National Bureau of Economic Research
-
Whitepapers
Whitepaper - Tivoli Access Manager for Enterprise Single Sign On - An Overview
Mar 2011
This white paper describes Tivoli Access Manager for Enterprise Single Sign-On, including its key features and benefits. With an increasing number of enterprise applications and access...
Provided by IBM
-
Whitepapers
IBM Tivoli Storage Manager FastBack: Helping provide seamless data protection and recovery for critical Windows applications
Mar 2011
IBM® Tivoli® Storage Manager FastBack® reduces data loss and eliminates error-prone manual operations from the data protection process. It alleviates the need for traditional backup windows by...
Provided by IBM
-
Whitepapers
Case Study: Hardware retailer increases mobile messaging security and flexibility while improving integration with IBM Lotus
Mar 2011
This document discusses one company's decision to upgrade to IBM® Lotus® Notes®. Numerous feature improvements, such as increased mobile security for virtual private network (VPN) connections,...
Provided by IBM
-
White Papers
Rollover Risk And Credit Risk
Jan 2010
This paper models a firm's rollover risk generated by conflict of interest between debt and equity holders. When the firm faces losses in rolling over its maturing debt, its equity holders are...
Provided by National Bureau of Economic Research
-
White Papers
Danger On The Exchange: How Counterparty Risk Was Managed On The Paris Bourse In The Nineteenth Century
Jan 2010
Over the course of the nineteenth century, the struggles of Paris Bourse to manage counterparty risk revealed the awkward choices that face derivatives exchanges. Shortly after it was founded, the...
Provided by National Bureau of Economic Research
-
White Papers
Estimated Impact Of The Fed?s Mortgage-Backed Securities Purchase Program
Dec 2009
The authors examine the quantitative impact of the Federal Reserve's Mortgage-Backed Securities (MBS) purchase program. They focus on how much of the recent decline in mortgage interest rate...
Provided by National Bureau of Economic Research
-
White Papers
Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, And Systemic Risk
Dec 2009
The authors characterize the evolution over time of a network of credit relations among financial agents as a system of coupled stochastic processes. Each process describes the dynamics of...
Provided by National Bureau of Economic Research
-
White Papers
Risk-Adjusted Gamma Discounting
Dec 2009
It is widely recognized that the economics of distant-future events, like climate change, is critically dependent upon the choice of a discount rate. Unfortunately, it is unclear how to discount...
Provided by National Bureau of Economic Research
-
White Papers
Public Versus Private Risk Sharing
Dec 2009
The paper depends crucially on the fundamental friction that limits private risk sharing in the first place. If risk sharing is incomplete because some insurance markets are missing for...
Provided by National Bureau of Economic Research
-
White Papers
Is Credit Event Risk Priced? Modeling Contagion Via The Updating Of Beliefs
Feb 2010
Empirical tests of reduced form models of default attribute a large fraction of observed credit spreads to compensation for jump-to-default risk. However, these models preclude a "Contagion-risk"...
Provided by National Bureau of Economic Research
-
White Papers
Aversion To Price Risk And The Afternoon Effect
May 2008
Many empirical studies of auctions show that prices of identical goods sold sequentially follow a declining path. Declining prices have been viewed as an anomaly, because the theoretical models of...
Provided by University of Warwick
-
White Papers
Optimal Pricing And Capacity Choice For A Public Service Under Risk Of Interruption
Nov 2010
The authors develop rules for pricing and capacity choice for an interruptible service that recognize the interdependence between consumers' perceptions of system reliability and their market...
Provided by Universite Catholique de Louvain
-
White Papers
Utilitarianism And Unequal Longevities : A Remedy?
Jul 2010
This paper re-examines a counterintuitive corollary of utilitarianism under unequal longevities: the tendency to redistribute resources from short-lived towards long-lived agents, against any...
Provided by Universite Catholique de Louvain
-
White Papers
Commodities Inventory Effect
Jul 2010
Asymmetric GARCH models were developed for equity stocks to take into account the larger response of the conditional variance to negative price shocks. The authors show that these asymmetric GARCH...
Provided by Universite Catholique de Louvain
-
White Papers
Aggregation Of Exponential Smoothing Processes With An Application To Portfolio Risk Evaluation
Jul 2010
In this paper the authors propose a unified framework to analyze contemporaneous and temporal aggregation of exponential smoothing models. Focusing on a vector IMA (1, 1) model, they obtain a...
Provided by Universite Catholique de Louvain
-
White Papers
Social Rationality, Separability, And Equity Under Uncertainty
Jul 2010
Harsanyi (1955) proved that, in the context of uncertainty, social rationality and the Pareto principle impose severe constraints on the degree of priority for the worst-off that can be adopted in...
Provided by Universite Catholique de Louvain
-
White Papers
Stochastic Equilibrium Models For Generation Capacity Expansion
Jun 2010
Capacity expansion models in the power sector were among the first applications of operations research to the industry. The models lost some of their appeal at the inception of restructuring even...
Provided by Universite Catholique de Louvain
-
White Papers
Liquidity Risks On Power Exchanges
Jan 2010
Financial derivatives are important hedging tool for asset's manager. Electricity is by its very nature the most volatile commodity, which creates big incentive to share the risk among the market...
Provided by Universite Catholique de Louvain
-
Webcasts
Planning The Response: Establishing The Impacts And Identifying The Parties At Risk
Sep 2010
The Deepwater Horizon disaster spread through not just a vast coastal ecosystem, but into diverse human communities lining the Gulf, many entirely dependent on the sea for their livelihoods. These...
Provided by Massachusetts Institute of Technology
-
White Papers
Adding Independent Risks In An Insurance Portfolio: Which Shape For The Insurers? Preferences?
Feb 2009
Many papers have adopted the expected utility paradigm to analyze insurance decisions. Insurance companies manage policies by growing, by adding independent risks. Even if adding risks generally...
Provided by Universite Catholique de Louvain
-
White Papers
Correlated Risks, Bivariate Utility And Optimal Choices
Feb 2009
In this paper, the authors consider a decision-maker facing a financial risk flanked by a background risk, possibly non-financial, such as health or environmental risk. A decision has to be made...
Provided by Universite Catholique de Louvain
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Research
Gartner Report: "Magic Quadrant for Enterprise Disk-Based Backup Recovery"
Mar 2011
While backup is among the oldest, most performed tasks in the data center, the industry is undergoing significant change as organizations accelerate new technology adoption and show a propensity...
Provided by CommVault Systems
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White Papers
A Benchmark Value For Relative Prudence
Oct 2007
In this paper the authors propose benchmark values for the coefficients of relative risk aversion and relative prudence on the basis of a binary choice model where the decision maker chooses...
Provided by Universite Catholique de Louvain
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White Papers
Does Inequality Make Us Rebel? A Renewed Theoretical Model Applied To South Mexico
Oct 2007
Since Collier and Hoeffler (1998, 2004), it has been supported that inequality, measured at national level, does not affect the risk of conflict. Based on a renewed theoretical framework, the...
Provided by Universite Catholique de Louvain
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White Papers
Interest Rate Risk And Other Determinants Of Post-WWII U.S. Government Debt/GDP Dynamics
Jan 2010
This paper uses the sequence of government budget constraints to motivate estimates of interest payments on the U.S. Federal government debt. The authors explain why the estimates differ...
Provided by National Bureau of Economic Research
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White Papers
Reassessing FHA Risk
Mar 2010
Federal Housing Administration (FHA) insurance has doubled over the past two years and is projected to redouble to $1.5 trillion over the next five. Despite clear signs of strain in the FHA's...
Provided by National Bureau of Economic Research
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White Papers
Risk Measures: Rationality And Diversification
Dec 2008
When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash-additivity assumption on risk measures becomes problematic....
Provided by Collegio Carlo Alberto
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White Papers
Efficient Risk Sharing In The Presence Of A Public Good
Sep 2008
This paper studies the provision of a public good between two agents under lack of commitment and applies it to the problem of children's consumption in separated couples, where children are...
Provided by Collegio Carlo Alberto
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White Papers
Adverse Selection And Entrepreneurship In A Model Of Development
Sep 2008
This paper presents a theory in which risk-averse heterogeneously talented entrepreneurs are the key agents driving the process of development and modernisation. Entrepreneurial skills are private...
Provided by Collegio Carlo Alberto
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White Papers
Ownership Links, Leverage And Credit Risk
Jan 2008
This paper explores the relationship between optimal leverage and ownership links. It develops a structural model of a parent and a subsidiary, which issues debt in its own name under a guarantee...
Provided by Collegio Carlo Alberto
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White Papers
Mean-variance Inefficiency Of CRRA And CARA Utility Functions For Portfolio Selection In Defined Contribution Pension Schemes
Sep 2009
The authors consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility...
Provided by Collegio Carlo Alberto
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White Papers
Dynamic Managerial Compensation: A Mechanism Design Approach
Dec 2009
The authors characterize the optimal incentive scheme for a manager who faces costly effort decisions and whose ability to generate profits for the firm varies stochastically over time. The...
Provided by Collegio Carlo Alberto
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White Papers
Indexed Sovereign Debt: An Applied Framework
Jan 2010
A number of countries have issued sovereign debt bonds indexed to real variables in recent years. In a dynamic stochastic equilibrium framework with incomplete markets, this paper studies the main...
Provided by Collegio Carlo Alberto
