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risk analysis and management
(1009 results)-
White Papers
Financing Risk And Bubbles Of Innovation
Jul 2010
Investors in risky startups who stage their investments face financing risk - that is, the risk that later stage investors will not fund the startup, even if the fundamentals of the firm are still...
Provided by Harvard University
-
White Papers
Risk Response In Agriculture
Jan 2011
Crop production is subject to supply shocks, and both expected and realized outputs as well as output prices are unknown when inputs are chosen. The process by which producers form expectations is...
Provided by National Bureau of Economic Research
-
White Papers
Integration Of Balanced Scorecards With Enterprise Risk Management
Dec 2010
In this paper, the author outlines how Veridian Connections Inc. has integrated Balanced Score Cards with their Enterprise Risk Management program. This whitepaper has been authored in partnership...
Provided by Corporate L.I.F.E Centre International
-
White Papers
Business Cycles, Consumption And Risk-Sharing: How Different Is China?
Jul 2010
In this paper, the authors address the macroeconomic time series and identifying dimensions in which China differs from economies that are typically the subject of business-cycle research. They...
Provided by National Bureau of Economic Research
-
White Papers
Disasters Risk And Business Cycles
Oct 2009
To construct a business cycle model consistent with the observed behavior of asset prices, and study the effect of shocks to aggregate uncertainty, the author introduces a small, time-varying risk...
Provided by National Bureau of Economic Research
-
White Papers
A Unified Theory Of Tobin's Q, Corporate Investment, Financing, And Risk Management
Apr 2009
This paper proposes a simple homogeneous dynamic model of investment and corporate risk management for a financially constrained firm. The authors define a corporation's risk management as the...
Provided by National Bureau of Economic Research
-
White Papers
A Note On Liquidity Risk Management
Feb 2009
When a firm is unable to roll over its debt, it may have to seek more expensive sources of financing or even liquidate its assets. This paper provides a normative analysis of minimizing such...
Provided by National Bureau of Economic Research
-
White Papers
Second-Order Approximation Of Dynamic Models With Time-Varying Risk
Dec 2010
This paper provides first and second-order approximation methods for the solution of non-linear dynamic stochastic models in which the exogenous state variables follow conditionally-linear...
Provided by National Bureau of Economic Research
-
White Papers
The Inefficiency Of Refinancing: Why Prepayment Penalties Are Good For Risky Borrowers
Dec 2010
This paper explores the practice of mortgage refinancing in a dynamic competitive lending model with risky borrowers and costly default. The authors show that prepayment penalties improve welfare...
Provided by National Bureau of Economic Research
-
White Papers
Liquidity Risk Of Corporate Bond Returns
Sep 2010
The authors focus the exposure of the U.S. corporate bond returns to liquidity shocks of stocks and treasury bonds over the period 1973 to 2007. A decline in liquidity of stocks or Treasury bonds...
Provided by National Bureau of Economic Research
-
White Papers
Salience Theory Of Choice Under Risk
Sep 2010
The authors present a paper of choice among lotteries in which the decision maker's attention is drawn to (precisely defined) salient payoffs. This leads the decision maker to a context-dependent...
Provided by National Bureau of Economic Research
-
White Papers
Auctions With Resale When Private Values Are Uncertain: Evidence From The Lab And Field
Sep 2010
Auction theory represents one of the richest areas of research in economics over the past three decades. Yet, whether, and to what extent, the introduction of secondary resale markets influences...
Provided by National Bureau of Economic Research
-
White Papers
Why Do Household Portfolio Shares Rise In Wealth?
Aug 2010
The authors develop a life-cycle consumption and portfolio choice model in which households have no homothetic utility over two types of goods, basic and luxury. They calibrate the model to match...
Provided by National Bureau of Economic Research
-
White Papers
What Drives Stochastic Risk Aversion
Sep 2009
The author examines determinants of stochastic relative risk aversion in conditional asset pricing models. First, the surplus consumption ratio implied by the external habit formation model is the...
Provided by University of Manchester
-
White Papers
Exploring Project Manager's Mental Models Of Project Risks
Jun 2010
The paper provides some insight into the supply chain team member's perceptions of project risks. The combination of causal mapping and a network-based approach offers a way of improving the...
Provided by University of Manchester
-
White Papers
How General Are Risk Preferences? Choices Under Uncertainty In Different Domains
Jan 2010
The authors examine the extent to which an individual's actual insurance and investment choices display a stable ranking in willingness to bear risk, relative to his peers, across different...
Provided by Massachusetts Institute of Technology Department of Economics
-
White Papers
Speculative Attacks And Risk Management
Aug 2007
The paper builds a simple, micro-founded model of exchange rate management, speculative attacks, and exchange rate determination. The country may defend a peg in an attempt to signal a strong...
Provided by Massachusetts Institute of Technology
-
White Papers
Crisis And Reform: Managing Systemic Risk
Mar 2010
Severe financial crises not only involve "Turbulence" but also the dramatic reaction of economic agents to the unknown. Perceived complexity builds up quickly and economic agents lose their...
Provided by Massachusetts Institute of Technology Department of Economics
-
White Papers
Value At Risk Under Dependence And Heavy Tailedness: Models With Comon Shocks
Oct 2007
This paper presents an analysis of diversification and portfolio value at risk for heavy-tailed dependent risks in models with multiple common shocks. The authors show that, in the framework of...
Provided by President and Fellows of Harvard College
-
White Papers
Determinants Of The Foreign Exchange Risk Premium In Gulf Cooperation Council Countries
Nov 2010
This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and...
Provided by International Monetary Fund
-
White Papers
Covered Farm Mortgage Bonds In The Late Nineteenth Century U.S.
Jul 2010
Covered mortgage bonds have been used successfully in Europe for two centuries, but failed in the U.S. when introduced as farm mortgage debentures in the 1880s. Using firm-level data and a sample...
Provided by National Bureau of Economic Research
-
White Papers
The Valuation Of Long-Dated Assets
Jul 2010
The expected time- and risk-adjusted cumulative return on any asset equals one at all horizons. Nonetheless, the author shows that a typical asset's realized time- and risk-adjusted cumulative...
Provided by National Bureau of Economic Research
-
White Papers
Stronger Risk Controls, Lower Risk: Evidence From U.S. Bank Holding Companies
Jul 2010
In this paper, the authors investigate whether U.S. Bank Holding Companies (BHCs) with strong and independent risk management functions have lower enterprise-wide risk. They hand-collect...
Provided by National Bureau of Economic Research
-
White Papers
Financial Connections And Systemic Risk
Jul 2010
The authors develop a model where institutions form connections through swaps of projects in order to diversify their individual risk. These connections lead to two different network structures....
Provided by National Bureau of Economic Research
-
Whitepapers
Access Management: Efficiency, Confidence and Control
Feb 2011
Read this Aberdeen Group research report, "Access Management: Efficiency, Confidence and Control" and learn how top performers protect access to information assets at lower cost while staying on...
Provided by SAP
-
Whitepapers
GRC Strategies - Finding the Right Balance of Business and IT
Feb 2011
If manual processes don't give you sufficient confidence - or if your operational costs are too high - discover a better way. Read "GRC Strategies - Finding the Right Balance of Business and IT"...
Provided by SAP
-
White Papers
Self-Fulfilling Risk Panics
Jul 2010
Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. The authors propose an explanation for these risk panics based on self-fulfilling shifts in...
Provided by National Bureau of Economic Research
-
White Papers
The Effect Of Civilian Casualties In Afghanistan And Iraq
Oct 2010
A central question in intrastate conflicts is how insurgents are able to mobilize supporters to participate in violent and risky activities. A common explanation is that violence committed by...
Provided by National Bureau of Economic Research
-
White Papers
Aggregate Risk And The Choice Between Cash And Lines Of Credit
Jun 2010
The authors argue that a firm's aggregate risk is a key determinant of whether it manages its future liquidity needs through cash reserves or bank lines of credit. Banks create liquidity for firms...
Provided by National Bureau of Economic Research
-
White Papers
The Dynamics Of Optimal Risk Sharing
Jun 2010
The authors study a dynamic-contracting problem involving risk sharing between two parties - the Proposer and the Responder - who invest in a risky asset until an exogenous but random termination...
Provided by National Bureau of Economic Research
-
White Papers
Risk-Taking And Gender In Hierarchies
Sep 2008
In a labor market hierarchy, promotions are affected by the noisiness of information about the candidates. The author studies the hypothesis that males are more risk taking than females, and its...
Provided by University of California, Berkeley
-
White Papers
The Sterling Unsecured Loan Market During 2006 - 08: Insights From Network Theory
Jul 2010
The authors model the unsecured overnight market in the United Kingdom as a network of relationships and examine how the structure has changed over the recent period of crisis. Using established...
Provided by Bank of England
-
White Papers
Contagion In Financial Networks
Mar 2010
This paper develops an analytical model of contagion in financial networks with arbitrary structure. The authors explore how the probability and potential impact of contagion is influenced by...
Provided by Bank of England
-
White Papers
Endogenous Choice Of Bank Liquidity: The Role Of Fire Sales
Nov 2009
Banks' liquidity is a crucial determinant of the adversity of banking crises. In this paper, the authors consider the effect of fire sales and entry during crises on banks' ex-ante choice of...
Provided by Bank of England
-
White Papers
How Do Different Models Of Foreign Exchange Settlement Influence The Risks And Benefits Of Global Liquidity Management?
Aug 2009
Large, international banking groups have sought to centralize their cross-currency liquidity management: liquidity shortages in one currency are financed using liquidity surpluses in another...
Provided by Bank of England
-
White Papers
Funding Liquidity Risk In A Quantitative Model Of Systemic Stability
Jun 2009
The authors demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its...
Provided by Bank of England
-
White Papers
Foreign Exchange Rate Risk In A Small Open Economy
Mar 2009
Resolving the forward premium puzzle requires a volatile foreign exchange rate risk premium that covaries negatively with the expected depreciation rate. Earlier work has shown how models...
Provided by Bank of England
-
White Papers
Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation
Feb 2009
Empirical evidence suggests that risk premia are higher at business cycle troughs than they are at peaks. Existing asset pricing theories ascribe moves in risk premia to changes in volatility or...
Provided by Bank of England
-
White Papers
Extracting Inflation Expectations And Inflation Risk Premia From The Term Structure: A Joint Model Of The UK Nominal And Real Yield Curves
Feb 2009
This paper analyses the nominal and real interest rate term structures in the United Kingdom over the fifteen-year period that the UK monetary authorities have pursued an explicit inflation...
Provided by Bank of England
-
White Papers
The Integrated Impact Of Credit And Interest Rate Risk On Banks: An Economic Value And Capital Adequacy Perspective
Jan 2008
Credit and interest rate risk in the banking book are the two most important risks faced by commercial banks. In this paper the authors derive a consistent and general framework to measure the...
Provided by Bank of England
-
White Papers
The Risk Premium On The Euro Area Market Portfolio: The Role Of Real Estate
Aug 2008
Incomplete consumption risk sharing implies that the market risk premium is high in times of lack of risk sharing and vice versa. In the time period from 1980 to 2007, this implication of...
Provided by University of Zurich
-
White Papers
Idiosyncratic Consumption Risk And Predictability Of The Carry Trade Premium: Euro Area Evidence
Sep 2008
The empirical failure of the uncovered interest rate parity condition seems to be the reflection of risk premia on foreign currencies. After the formation of foreign currency portfolios according...
Provided by University of Zurich
-
White Papers
Momentum In Stock Market Returns, Risk Premia On Foreign Currencies And International Financial Integration
Mar 2009
Momentum in developed countries' stock market index returns can be exploited to form portfolios of excess returns on foreign currencies as relatively high past foreign stock market returns signal...
Provided by University of Zurich
-
White Papers
Distinguishing Trust From Risk: An Anatomy Of The Investment Game
Oct 2009
The role of trust in promoting economic activity and societal development has received considerable academic attention by social scientists. A popular way to measure trust at the individual level...
Provided by University of Zurich
-
White Papers
Reverse Common Ratio Effect
Feb 2010
The results of a new experimental study reveal highly systematic violations of expected utility theory. The pattern of these violations is exactly the opposite of the classical common ratio effect...
Provided by University of Zurich
-
White Papers
How Groups Reach Agreement In Risky Choices: An Experiment
Sep 2010
This paper studies how groups resolve disagreement in lottery choices. In an experiment, subjects submit individual proposals, exchange chat messages, and must reach unanimity. Overall, group...
Provided by University of Zurich
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White Papers
Viewing The Future Through A Warped Lens: Why Uncertainty Generates Hyperbolic Discounting
Sep 2010
A large body of experimental research has demonstrated that, on average, people violate the axioms of expected utility theory as well as of discounted utility theory. In particular, aggregate...
Provided by University of Zurich
-
Webcasts
Non-Compliance Costs: Should Your Organization Invest in GRC Tools?
May 2011
Compliance regulations are increasing in quantity and complexity. Many organizations are staying on-top of compliance requirements by leveraging an integrated governance, risk and compliance (GRC)...
Provided by ANXeBusiness Corp
-
White Papers
Creating a Single Customer View: The Importance of Data Quality for CRM
May 2011
Effective CRM demands the creation of a single, complete, accurate view of customer information that includes purchasing history, product interest, and recent support interactions. Competitive...
Provided by Trillium Software
-
White Papers
TDWI Checklist Report: Operational Data Quality
May 2011
Failing to ensure high-quality operational data may put at risk many worthwhile business goals for operational excellence. There are many areas within the average enterprise where high-quality...
Provided by Trillium Software
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White Papers
Data Quality for BASEL II
May 2011
Today large, complex financial services institutions must meet the standards for data quality attestation by the FFEIC regulators of risk reporting. This BASEL II solution delivers a data quality...
Provided by Trillium Software
-
White Papers
Solutions To Incertitude: Risk Management In Insurances
Sep 2008
Business and risk have always been considered complementary concepts. Many companies are successful because of their ability to correctly recognize and to direct successfully all the risks...
Provided by Munich Personal Repec Archive
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White Papers
Credit Risk Management In Banks: Hard Information, Soft Information And Manipulation
Nov 2007
The role of information's processing in bank intermediation is a crucial input. The bank has access to different types of information in order to manage risk through capital allocation for Value...
Provided by Munich Personal Repec Archive
-
White Papers
Risk And Asian Exchange Rate Regimes
Aug 2010
A panel regression gives evidence that more flexibility in Asian exchange rates reduces risk associated with bank borrowing abroad, but deviations from mean exchange rates, and from the renminbi,...
Provided by Munich Personal Repec Archive
-
White Papers
Criminals And Risk Attitude
Nov 2007
The authors show that whatever the representation of criminals' preferences under risk, the assumption according to which they are strongly risk averse individuals is not consistent with the...
Provided by Munich Personal Repec Archive
-
White Papers
Econometric Modelling In Finance And Risk Management: An Overview
Dec 2008
Significant theoretical, computational and empirical progress has been made over the past two decades in the use of modern time series techniques to analyse financial data that exhibit (possible)...
Provided by Munich Personal Repec Archive
-
White Papers
Higher-Order Volatility
Nov 2007
An often overlooked, but nonetheless important purpose of derivatives modelling is to provide practitioners with actionable measures of risk, the "Thinkable quantities" that Emanuel Derman has...
Provided by Munich Personal Repec Archive
-
White Papers
Bank Risks, Risk Preferences And Lending
Nov 2007
The recent debate on the impact of capital regulation on bank behaviour shows that risk exposures of banks might influence the amount of loans newly granted to the non-financial sector. The paper...
Provided by Munich Personal Repec Archive
-
White Papers
The Bank Of Japans Monetary Policy And Bank Risk Premiums In The Money Market
Nov 2007
Using the interest rates on negotiable certificates of deposit issued by individual banks, the authors first show that under the Bank of Japan's zero interest rate policy and quantitative monetary...
Provided by Munich Personal Repec Archive
-
White Papers
Using Market Information For Banking System Risk Assessment
Nov 2007
The authors propose a new method for the analysis of systemic stability of a banking system relying mostly on market data. They model both asset correlations and interlinkages from interbank...
Provided by Munich Personal Repec Archive
-
White Papers
Liquidity, Risk Taking, And The Lender Of Last Resort
Nov 2007
This paper studies the strategic interaction between a bank whose deposits are randomly withdrawn and a Lender of Last Resort (LLR) that bases its decision on supervisory information on the...
Provided by Munich Personal Repec Archive
-
White Papers
Is The Gamma Risk Of Options Insurable?
May 2008
In this paper the authors analyze the risk associated with hedging written call options. They introduce a way to isolate the gamma risk from other risk types and present its loss distribution,...
Provided by Munich Personal Repec Archive
-
White Papers
Risk Management And Soft Computing
Dec 2009
Risk management is a sphere that covers wide scale of techniques that are used in many branches. This branch has started to develop since the 21 century namely for the purpose to improve the risk...
Provided by Brno University of Technology
-
White Papers
A Comparative Analysis Of Correlation Skew Modeling Techniques For CDO Index Tranches
Nov 2007
In this paper the authors present an analysis of CDO pricing models with a focus on "Correlation skew models". These models are extensions of the classic single factor Gaussian copula and may...
Provided by Munich Personal Repec Archive
-
White Papers
Global Trade Models And Economic Policy Analyses: Relevance, Risks And Repercussions For Africa
Nov 2007
Computable General Equilibrium (CGE) models are widely used for trade policy analyses and recommendations. Simulation results from these models have also been used as a basis for offering advice...
Provided by Munich Personal Repec Archive
-
White Papers
Practical Calculation Of Expected And Unexpected Losses In Operational Risk By Simulation Methods
Nov 2007
This paper surveys the main difficulties involved with the quantitative measurement of operational risk and proposes simulation methods as a practical solution for obtaining the aggregate loss...
Provided by Munich Personal Repec Archive
-
White Papers
Some Critical Comments On Credit Risk Modeling
Nov 2007
In this paper the authors are focus on drawbacks in the basis of the credit risk modeling. The credit risk along with the credit derivatives is a modern area of the financial business. In recent...
Provided by Munich Personal Repec Archive
-
White Papers
CEO Contract Horizon And Investment
Nov 2010
This paper studies the relation between contract horizon and investment using a new, hand-collected dataset of 3,717 US CEO employment contracts. It finds that contract horizon predicts (ex post)...
Provided by INSEAD
-
White Papers
Capitalizing On Capitol Hill: Informed Trading By Hedge Fund Managers
Nov 2010
In this paper, the authors examine the hypothesis that hedge fund managers obtain an informational advantage in securities trading through their connections with lobbyists. Using datasets on hedge...
Provided by National University of Singapore
-
White Papers
Can Proactive Fuel Economy Strategies Help Automakers Mitigate Fuel Price Risk?
Nov 2007
Detroit automakers have opposed mandated improvements in fuel economy since legislation was first proposed in the 1970's. Their opposition is based, among other considerations, on the assumption...
Provided by Munich Personal Repec Archive
-
White Papers
Spectral Risk Measures With An Application To Futures Clearinghouse Variation Margin Requirements
Nov 2007
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then...
Provided by Munich Personal Repec Archive
-
White Papers
Financial Risks And The Pension Protection Fund: Can It Survive Them?
Nov 2007
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other...
Provided by Munich Personal Repec Archive
-
White Papers
Extreme Spectral Risk Measures: An Application To Futures Clearinghouse Margin Requirements
Nov 2007
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts....
Provided by Munich Personal Repec Archive
-
White Papers
Modelling Catastrophic Risk In International Equity Markets: An Extreme Value Approach
Nov 2007
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of...
Provided by Munich Personal Repec Archive
-
White Papers
Spectrum Management And Broadcasting: Current Issues
Nov 2007
Broadcasting policy has traditionally been supported by a 'Command-and-control' system of assigning frequencies for terrestrial transmission, but this link is being eroded by the emergence of...
Provided by Munich Personal Repec Archive
-
White Papers
Common Agency With Risk-Averse Agent
Feb 2008
The author considers a common agency model under adverse selection with a risk averse agent. Contracting takes place ex ante when all players have symmetric, although incomplete, information. The...
Provided by Munich Personal Repec Archive
-
White Papers
Long Term Risk Assessment In A Defined Contribution Pension System
Nov 2007
One of the most important consequences of the Chilean pension reform undertaken in the early 1980s was to transfer a significant portion of the risk associated to the financing of pensions, from...
Provided by Munich Personal Repec Archive
-
White Papers
Equity Risk Premiums (ERP): Determinants, Estimation And Implications -The 2010 Edition
Feb 2010
Equity risk premiums are a central component of every risk and return model in finance and are a key input into estimating costs of equity and capital in both corporate finance and valuation....
Provided by Stern School of Business
-
White Papers
What Is The Riskfree Rate? A Search For The Basic Building Block
Dec 2008
In corporate finance and valuation, the authors start off with the presumption that the riskfree rate is given and easy to obtain and focus the bulk of the attention on estimating the risk...
Provided by Stern School of Business
-
White Papers
Probabilistic Approaches: Scenario Analysis, Decision Trees And Simulations
Apr 2007
In the last paper, the authors examined ways in which they can adjust the value of a risky asset for its risk. Notwithstanding their popularity, all of the approaches share a common theme. The...
Provided by Stern School of Business
-
White Papers
Salience Theory Of Choice Under Risk
Sep 2010
The authors present a paper of choice among lotteries in which the decision maker's attention is drawn to (precisely defined) salient payoffs. This leads the decision maker to a context-dependent...
Provided by National Bureau of Economic Research
-
White Papers
Auctions With Resale When Private Values Are Uncertain: Evidence From The Lab And Field
Sep 2010
Auction theory represents one of the richest areas of research in economics over the past three decades. Yet, whether, and to what extent, the introduction of secondary resale markets influences...
Provided by National Bureau of Economic Research
-
White Papers
Why Do Household Portfolio Shares Rise In Wealth?
Aug 2010
The authors develop a life-cycle consumption and portfolio choice model in which households have no homothetic utility over two types of goods, basic and luxury. They calibrate the model to match...
Provided by National Bureau of Economic Research
-
White Papers
What Drives Stochastic Risk Aversion
Sep 2009
The author examines determinants of stochastic relative risk aversion in conditional asset pricing models. First, the surplus consumption ratio implied by the external habit formation model is the...
Provided by University of Manchester
-
White Papers
Exploring Project Manager's Mental Models Of Project Risks
Jun 2010
The paper provides some insight into the supply chain team member's perceptions of project risks. The combination of causal mapping and a network-based approach offers a way of improving the...
Provided by University of Manchester
-
White Papers
How General Are Risk Preferences? Choices Under Uncertainty In Different Domains
Jan 2010
The authors examine the extent to which an individual's actual insurance and investment choices display a stable ranking in willingness to bear risk, relative to his peers, across different...
Provided by Massachusetts Institute of Technology Department of Economics
-
White Papers
Speculative Attacks And Risk Management
Aug 2007
The paper builds a simple, micro-founded model of exchange rate management, speculative attacks, and exchange rate determination. The country may defend a peg in an attempt to signal a strong...
Provided by Massachusetts Institute of Technology
-
White Papers
Crisis And Reform: Managing Systemic Risk
Mar 2010
Severe financial crises not only involve "Turbulence" but also the dramatic reaction of economic agents to the unknown. Perceived complexity builds up quickly and economic agents lose their...
Provided by Massachusetts Institute of Technology Department of Economics
-
White Papers
Value At Risk Under Dependence And Heavy Tailedness: Models With Comon Shocks
Oct 2007
This paper presents an analysis of diversification and portfolio value at risk for heavy-tailed dependent risks in models with multiple common shocks. The authors show that, in the framework of...
Provided by President and Fellows of Harvard College
-
White Papers
Determinants Of The Foreign Exchange Risk Premium In Gulf Cooperation Council Countries
Nov 2010
This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and...
Provided by International Monetary Fund
-
White Papers
Covered Farm Mortgage Bonds In The Late Nineteenth Century U.S.
Jul 2010
Covered mortgage bonds have been used successfully in Europe for two centuries, but failed in the U.S. when introduced as farm mortgage debentures in the 1880s. Using firm-level data and a sample...
Provided by National Bureau of Economic Research
-
White Papers
The Valuation Of Long-Dated Assets
Jul 2010
The expected time- and risk-adjusted cumulative return on any asset equals one at all horizons. Nonetheless, the author shows that a typical asset's realized time- and risk-adjusted cumulative...
Provided by National Bureau of Economic Research
-
White Papers
Stronger Risk Controls, Lower Risk: Evidence From U.S. Bank Holding Companies
Jul 2010
In this paper, the authors investigate whether U.S. Bank Holding Companies (BHCs) with strong and independent risk management functions have lower enterprise-wide risk. They hand-collect...
Provided by National Bureau of Economic Research
-
White Papers
Financial Connections And Systemic Risk
Jul 2010
The authors develop a model where institutions form connections through swaps of projects in order to diversify their individual risk. These connections lead to two different network structures....
Provided by National Bureau of Economic Research
-
Whitepapers
Access Management: Efficiency, Confidence and Control
Feb 2011
Read this Aberdeen Group research report, "Access Management: Efficiency, Confidence and Control" and learn how top performers protect access to information assets at lower cost while staying on...
Provided by SAP
-
Whitepapers
GRC Strategies - Finding the Right Balance of Business and IT
Feb 2011
If manual processes don't give you sufficient confidence - or if your operational costs are too high - discover a better way. Read "GRC Strategies - Finding the Right Balance of Business and IT"...
Provided by SAP
-
White Papers
Self-Fulfilling Risk Panics
Jul 2010
Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. The authors propose an explanation for these risk panics based on self-fulfilling shifts in...
Provided by National Bureau of Economic Research
-
White Papers
The Effect Of Civilian Casualties In Afghanistan And Iraq
Oct 2010
A central question in intrastate conflicts is how insurgents are able to mobilize supporters to participate in violent and risky activities. A common explanation is that violence committed by...
Provided by National Bureau of Economic Research
-
White Papers
Aggregate Risk And The Choice Between Cash And Lines Of Credit
Jun 2010
The authors argue that a firm's aggregate risk is a key determinant of whether it manages its future liquidity needs through cash reserves or bank lines of credit. Banks create liquidity for firms...
Provided by National Bureau of Economic Research
-
White Papers
The Dynamics Of Optimal Risk Sharing
Jun 2010
The authors study a dynamic-contracting problem involving risk sharing between two parties - the Proposer and the Responder - who invest in a risky asset until an exogenous but random termination...
Provided by National Bureau of Economic Research
-
White Papers
Risk-Taking And Gender In Hierarchies
Sep 2008
In a labor market hierarchy, promotions are affected by the noisiness of information about the candidates. The author studies the hypothesis that males are more risk taking than females, and its...
Provided by University of California, Berkeley
-
White Papers
The Sterling Unsecured Loan Market During 2006 - 08: Insights From Network Theory
Jul 2010
The authors model the unsecured overnight market in the United Kingdom as a network of relationships and examine how the structure has changed over the recent period of crisis. Using established...
Provided by Bank of England
-
White Papers
Contagion In Financial Networks
Mar 2010
This paper develops an analytical model of contagion in financial networks with arbitrary structure. The authors explore how the probability and potential impact of contagion is influenced by...
Provided by Bank of England
-
White Papers
Endogenous Choice Of Bank Liquidity: The Role Of Fire Sales
Nov 2009
Banks' liquidity is a crucial determinant of the adversity of banking crises. In this paper, the authors consider the effect of fire sales and entry during crises on banks' ex-ante choice of...
Provided by Bank of England
-
White Papers
How Do Different Models Of Foreign Exchange Settlement Influence The Risks And Benefits Of Global Liquidity Management?
Aug 2009
Large, international banking groups have sought to centralize their cross-currency liquidity management: liquidity shortages in one currency are financed using liquidity surpluses in another...
Provided by Bank of England
-
White Papers
Funding Liquidity Risk In A Quantitative Model Of Systemic Stability
Jun 2009
The authors demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its...
Provided by Bank of England
-
White Papers
Foreign Exchange Rate Risk In A Small Open Economy
Mar 2009
Resolving the forward premium puzzle requires a volatile foreign exchange rate risk premium that covaries negatively with the expected depreciation rate. Earlier work has shown how models...
Provided by Bank of England
-
White Papers
Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation
Feb 2009
Empirical evidence suggests that risk premia are higher at business cycle troughs than they are at peaks. Existing asset pricing theories ascribe moves in risk premia to changes in volatility or...
Provided by Bank of England
-
White Papers
Extracting Inflation Expectations And Inflation Risk Premia From The Term Structure: A Joint Model Of The UK Nominal And Real Yield Curves
Feb 2009
This paper analyses the nominal and real interest rate term structures in the United Kingdom over the fifteen-year period that the UK monetary authorities have pursued an explicit inflation...
Provided by Bank of England
-
White Papers
The Integrated Impact Of Credit And Interest Rate Risk On Banks: An Economic Value And Capital Adequacy Perspective
Jan 2008
Credit and interest rate risk in the banking book are the two most important risks faced by commercial banks. In this paper the authors derive a consistent and general framework to measure the...
Provided by Bank of England
-
White Papers
Reputation, Risk, And Race: Exploring Racial And Ethnic Difference In Personal Contact Use And Receipt Of Proactive Assistance
Feb 2008
The author used the Multi-City Study of Urban Inequality to explore whether and to what extent reputation, measured as spotty work history, job-hopping, and previous incarceration, helps to...
Provided by University of California, Berkeley
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White Papers
An Empirical Analysis Of Risk, Incentives, And The Delegation Of Worker Authority
Jun 2007
The notion of a negative relationship between risk and incentives is a central prediction of agency theory. A vast literature has failed to find consistent empirical support for this prediction,...
Provided by ILR School, Cornell University
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White Papers
Liquidity Risk And Syndicate Structure
Jan 2008
The authors offer a new explanation of loan syndicate structure based on banks' comparative advantage in managing systematic liquidity risk. When a syndicated loan to a rated borrower has...
Provided by The Wharton Financial Institutions Center
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White Papers
System-Defined View On Risk Management Function Realisation
Apr 2008
Nowadays risk management becomes an essential part of any organization of general management, which is trying to survive and fulfill its mission. The ability to manage risk in the process of...
Provided by Vilniaus Universiteto Leidykla
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White Papers
Asset-Liability Management: An Overview
Aug 2010
Relevant literature on Asset-Liability Management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modeling the...
Provided by Bank of Canada
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White Papers
Financial Integration, Globalization, Growth And Systemic Real Risk
Oct 2010
Using data for a large number of advanced and emerging market economies during 1985- 2009, this paper documents the dynamics of financial integration and assesses whether advances in financial...
Provided by Federal Reserve Bank of St. Louis
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White Papers
CEO Overconfidence And Bank Risk Taking
Jul 2009
Recent studies document that executives tend to be overconfident. That is, they believe that they have more precise knowledge about future events than they actually have. In this paper, the...
Provided by Simon Fraser University
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White Papers
Australia's Stress Testing Experience
Oct 2007
In early 2006, the International Monetary Fund (IMF) concluded an assessment of Australia's financial system under the auspices of the Financial Sector Assessment Program (FSAP). An important part...
Provided by Reserve Bank of Australia
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White Papers
Financial Integration And Consumption Smoothing
Jul 2008
The authors present a new empirical strategy for testing if financial integration improves risk sharing opportunities and consumption smoothing. The test is based on a decomposition of the...
Provided by University of Salerno
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White Papers
Online Identity And Consumer Trust: Assessing Online Risk
Jan 2011
As the Internet continues to evolve into a more social and interactive space, new threats to online consumers emerge. Beyond the now commonplace malware, these threats target the relationship...
Provided by Brookings Institution
