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risk analysis and management
(1020 results)-
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
-
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
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White Papers
What Explains Risk Premia In Crude Oil Futures?
Feb 2011
This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in...
Provided by Bank of Finland
-
White Papers
Risk-Adjusted Measures Of Value Creation In Financial Institutions
Oct 2009
Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution-wide hurdle rate is inconsistent with the standard theory of financial...
Provided by Bank of Finland
-
White Papers
Risky Trust: How Multi-Entity Teams Develop Trust In A High Risk Endeavor
Feb 2011
This paper explicates the challenge of risky trust, which the authors define as trust that exists between parties vulnerable to high economic, legal or reputational risks at individual or...
Provided by Harvard Business School
-
White Papers
A General Index Of Inherent Risk
Feb 2009
The authors extend the pioneering work of Aumann and Serrano by presenting an index of inherent riskiness of a gamble having the desirable properties of their index, while being applicable to...
Provided by Bar-Ilan University
-
White Papers
The Determinants Of Household Risky Asset Holdings: Background Risk And Other Factors
Feb 2008
The authors study the portfolio allocation decisions of Australian households using the relatively new Household Income and Labor Dynamics in Australia (HILDA) survey. They focus on household...
Provided by University of Melbourne
-
White Papers
Delegated Portfolio Management And Risk Taking Behavior
Dec 2009
Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, the authors propose a...
Provided by Banco Central do Brasil
-
White Papers
Securitization In East Asia
Feb 2008
This paper examines the institutional basis of these concerns by investigating the use of securitization in East Asia, questioning both the growth in regional activity since the 1997/98 Asian...
Provided by Asian Development Bank
-
White Papers
Uncovered Interest Parity In A Partially Dollarized Developing Country: Does UIP Hold In Bolivia? (And If Not, Why Not?)
Jul 2009
According to the Uncovered Interest Parity (UIP) condition, interest rate differentials compensate for expected exchange rate changes, equalizing the expected returns from holding assets which...
Provided by Stockholm School of Economics
-
White Papers
Risk Aversion, Prospect Theory, And Strategic Risk In Law Enforcement: Evidence From An Antitrust Experiment
Mar 2008
In this paper the authors investigate the effects of risk preferences and attitudes towards risk on optimal antitrust enforcement policies. First, they observe that risk aversion is negatively...
Provided by Stockholm School of Economics
-
White Papers
Genetic Variation In Preferences For Giving And Risk-Taking
Jan 2009
In this paper, the authors use the classical twin design to provide estimates of genetic and environmental influences on experimentally elicited preferences for risk and giving. Using standard...
Provided by Stockholm School of Economics
-
White Papers
Long-Run Risks, The Macroeconomy, And Asset Prices
Apr 2010
In this paper the authors present a generalized LRR model, which allows studying the role of cyclical fluctuations and macroeconomic crises on asset prices and expected returns. The model contains...
Provided by University of Pennsylvania
-
White Papers
How Much Do Investors Care About Macroeconomic Risk? Evidence From Scheduled Economic Announcements
Mar 2009
Stock market excess returns are significantly higher on days when the government is scheduled to announce inflation statistics, unemployment statistics, and interest rate decisions. The average...
Provided by University of Pennsylvania
-
White Papers
Portfolio Choice In Retirement: Health Risk And The Demand For Annuities, Housing And Risky Assets
May 2008
This paper develops a consumption and portfolio-choice model of a retiree who allocates wealth among four assets: a riskless bond, a risky asset, a real annuity, and housing. Unlike previous...
Provided by University of Pennsylvania
-
White Papers
Diversification And Its Discontents: Idiosyncratic And Entrepreneurial Risk In The Quest For Social Status
Jun 2008
Incorporating preference for social status into a simple model of portfolio choice helps to explain a range of qualitative and quantitative stylized facts about the heterogeneity in asset holdings...
Provided by University of Pennsylvania
-
White Papers
Diversifying Credit Risk With International Corporate Bonds
Mar 2010
This paper explores the potential for US investors to diversify credit risk exposure with international corporate bonds. Using a newly compiled dataset of firm-level monthly corporate bond quotes...
Provided by University of Pennsylvania
-
White Papers
The Seeds Of A Crisis: A Theory Of Bank Liquidity And Risk-Taking Over The Business Cycle
Oct 2010
The authors examine how the banking sector may ignite the formation of asset price bubbles when there is access to abundant liquidity. Inside banks, given lack of observability of effort, loan...
Provided by New York University
-
White Papers
Sovereign Default Risk Assessment From The Bottom-Up
Sep 2010
In 2010, the world's focus on the global financial crisis shifted from financial markets and institutions to sovereign debt, especially in Europe. This has motivated a re-examination of techniques...
Provided by New York University
-
White Papers
The Macroeconomic Effects Of Housing Wealth, Housing Finance, And Limited Risk-Sharing In General Equilibrium
May 2010
The authors study a two-sector general equilibrium model of housing and non-housing production where heterogeneous households face limited opportunities to insure against aggregate and...
Provided by New York University
-
White Papers
Leverage, Moral Hazard And Liquidity
Feb 2009
The authors consider a moral hazard setup wherein leveraged firms have incentives to take on excessive risks and are thus rationed when they attempt to roll over debt. Firms can sell assets to...
Provided by Duke University
-
White Papers
Rebuilding Trust: Next Steps For Risk Management In Financial Services
May 2010
The global financial crisis had many causes but failures in risk management were clearly a contributory factor. Although there were technical shortcomings, especially related to the use of risk...
Provided by Economist Intelligence Unit
-
White Papers
Beyond Box-Ticking: A New Era For Risk Governance
Sep 2009
The boardroom has always been the preserve of the gifted, the ambitious and the self-confident. In Anglo-Saxon business culture, board-level executives wield substantial power and, while other...
Provided by Economist Intelligence Unit
-
White Papers
Under The Spotlight: The Transition Of Environmental Risk Management
May 2008
There is a growing consensus that business should bear a greater responsibility towards the environment and pay closer attention to the "externalities" that its activities create. Nongovernmental...
Provided by Economist Intelligence Unit
-
White Papers
Fortifying The Enterprise: Governance, Risk And Compliance Strategies
Nov 2007
Both the private and public sector executives are under pressure today to increase their understanding of governance, risk and compliance (GRC) issues - and their ability to respond to them. They...
Provided by Economist Intelligence Unit
-
White Papers
Risk And Regulation: A New Era For Capitalism
May 2009
Derivatives, said Warren Buffet, a renowned US investor, "Are the financial equivalent of weapons of mass destruction." He has certainly been proved right, with failing banks around the world...
Provided by Economist Intelligence Unit
-
White Papers
Precautionary Hoarding Of Liquidity And Inter-Bank Markets: Evidence From The Sub-prime Crisis
Jul 2009
The paper consists of three pieces. First, the authors document that liquidity holdings of the large settlement banks in the UK experienced on average a 30% increase in the period immediately....
Provided by New York University
-
White Papers
Creditor Rights And Corporate Risk-Taking
Jun 2009
The authors analyze the link between creditor rights and firms' investment policies, proposing that stronger creditor rights in bankruptcy reduce corporate risk-taking. In cross-country analysis,...
Provided by New York University
-
White Papers
Background Risk And Trading In A Full-Information Rational Expectations Economy
Aug 2009
In this paper the authors assume that investors have the same information, but trade due to the evolution of their non-market wealth. In the formulation, investors rebalance their portfolios in...
Provided by New York University
-
White Papers
Crash Risk In Currency Markets
Jun 2009
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, the authors propose a simple structural model that includes both Gaussian and...
Provided by New York University
-
White Papers
Priced Risk And Asymmetric Volatility In The Cross-Section Of Skewness
Jan 2008
The authors investigate the sources of skewness in aggregate risk-factors and the cross-section of stock returns. In an ICAPM setting with conditional volatility, they find theoretical time series...
Provided by New York University
-
White Papers
Term Structure Of Risk, The Role Of Known And Unknown Risks And Non-Stationary Distributions
May 2007
In this paper the authors document the presence of a term structure of risk and they propose how to measure it using alternative models to forecast volatility and the Value at Risk at different...
Provided by New York University
-
White Papers
Does Hedging Affect Commodity Prices? The Role Of Producer Default Risk
Nov 2008
Do hedging and speculative activity in commodity futures affect spot prices? Yes, when commodity producers have hedging needs. The authors build a model in which producers are risk-averse to...
Provided by New York University
-
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
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
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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
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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
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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
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White Papers
Equity Risk Premiums (ERP): Determinants, Estimation And Implications - A Post-Crisis Update
Oct 2009
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
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White Papers
Loss Given Default Modelling Under The Asymptotic Single Risk Factor Assumption
Nov 2007
The proposals of the Basel Committee on Banking Supervision for the revision of minimum requirements for bank's risk capital leave the quantification of Loss-Given-Default (LGD) parameter used for...
Provided by Munich Personal Repec Archive
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White Papers
On A Relationship Between Distorted And Spectral Risk Measures
Nov 2007
The authors study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a...
Provided by Munich Personal Repec Archive
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White Papers
The Effects Of Derivatives On Firm Risk And Value
Aug 2008
Using a sample of 6,888 non-financial firms from 47 countries, the authors examine the effect of derivative use on firms' risk measures and value. They control for endogeneity by matching users...
Provided by Munich Personal Repec Archive
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White Papers
Risk Sharing Among OECD And EU Countries: The Role Of Capital Gains, Capital Income, Transfers, And Saving
Aug 2008
The authors estimate the amount of income and consumption smoothing (risk sharing) between OECD countries during the period 1970-2003 with a particular focus on EU and EMU countries. Income...
Provided by Munich Personal Repec Archive
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White Papers
Political Accountability, Incentives, And Contractual Design Of Public Private Partnerships
Sep 2008
Service adaptations, when there is changing demand or problems regarding the service provision, constitute a major issue in Public Private Partnerships (PPPs). So far, studies have explained the...
Provided by Munich Personal Repec Archive
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White Papers
Market Based, Segregated Exchanges With Default Risk
Feb 2010
This paper studies a competitive general equilibrium model with default and endogenous collateral constraints. Even though all collateralized contracts are allowed, the possibility and...
Provided by Munich Personal Repec Archive
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White Papers
Innovation And Risk Management
Nov 2007
Always, anytime, we speak about innovation, that it occurs in our live, firms, countries and regions. The innovation is very important for survive of any firm, any entrepreneur, any country and...
Provided by Munich Personal Repec Archive
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White Papers
An Actuarial Approach To Short-Run Monetary Equilibrium
Nov 2007
The extent to which the money supply affects the aggregate cash balance demanded at a certain level of nominal income and interest rates is determined by the interest-rate-elasticity and stability...
Provided by Munich Personal Repec Archive
-
White Papers
The Value Of Information In Auctions With Default Risk
Aug 2010
After the close of an auction, the winning bidder may find that he is unable to carry out his bid offer. This paper seeks to determine what measures the seller should take to maximize his share of...
Provided by Munich Personal Repec Archive
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White Papers
Performance Measurement In Multi-Task Agencies
Nov 2007
This paper analyzes a multi-task agency model with a risk-neutral and financially constrained agent. The agent's performance evaluation is thereby incongruent, i.e. it does not perfectly reflect...
Provided by Munich Personal Repec Archive
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White Papers
Multiscale Systematic Risk: An Application On ISE-30
Nov 2007
In this paper, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets as a new analysis method in finance and economics. It introduces a new...
Provided by Munich Personal Repec Archive
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White Papers
A Theory Of Credit Scoring And Competitive Pricing Of Default Risk
Mar 2008
The authors propose a theory of credit scoring based upon an adverse selection approach to reputation. Specifically the authors analyze an unsecured consumer credit market where: Borrowers have...
Provided by University of Texas
-
White Papers
A Model Of Working Capital With Idiosyncratic Production Risk And Firm Failure
Dec 2007
This paper is a contribution to the literature on possible pro-cyclical effects of capital rules under Basil 2 capital regulations. The addition of both idiosyncratic uncertainty and risk averse...
Provided by Banco Central de la República Argentina
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White Papers
Filtered Extreme Value Theory For Value-At-Risk Estimation
Nov 2007
Extreme returns in stock returns need to be captured for a successful risk management function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on parametric models...
Provided by Munich Personal Repec Archive
-
White Papers
Exponential Spectral Risk Measures
Nov 2007
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on...
Provided by Munich Personal Repec Archive
-
White Papers
Dynamic Factor Analysis Of Industry Sector Default Rates And Implication For Portfolio Credit Risk Modelling
Nov 2007
In this paper the authors use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, they fit a Dynamic Factor model, DF, to a large dataset of default rates proxies and...
Provided by Munich Personal Repec Archive
-
White Papers
Robustness Of The Risk-Return Relationship In The U.S. Stock Market
Nov 2007
In this paper, the authors study the risk-return relationship in monthly U.S. stock returns (1928:1 - 2004:12) using GARCH-in-Mean models. In particular, they consider the robustness of the...
Provided by Munich Personal Repec Archive
-
White Papers
Predictive Performance Of Conditional Extreme Value Theory And Conventional Methods In Value At Risk Estimation
Nov 2007
This paper conducts a comparative evaluation of the predictive performance of various Value at Risk (VaR) models such as GARCH-normal, GARCH-t, EGARCH, TGARCH models, variance-covariance method,...
Provided by Munich Personal Repec Archive
-
White Papers
Risk Management Theory: A Comprehensive Empirical Assessment
Nov 2007
The aim of this paper is to develop a methodology for thorough empirical testing of major contemporary corporate risk management theories: financial theory, agency theory, stakeholder theory and...
Provided by Munich Personal Repec Archive
-
White Papers
Managing Risks: What Russian Households Do To Smooth Consumption?
Nov 2007
The increasing availability of rich (panel) data provides many opportunities to test theories on consumption smoothing behaviour. At the same time, the informational requirements in terms of data...
Provided by Munich Personal Repec Archive
-
White Papers
Essential Interest-Bearing Money
Nov 2007
In this paper, the author provides a rationale for why money should earn interest; or, what amounts to the same thing, why risk-free claims to non-interest-bearing money should trade at discount....
Provided by Munich Personal Repec Archive
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White Papers
Incorporating Default Risk Into Hamada~s Equation For Application To Capital Structure
Nov 2007
Implemented widely in the area of corporate finance, Hamada's Equation enables one to separate the financial risk of a levered firm from its business risk. The relationship, which results from...
Provided by Munich Personal Repec Archive
-
White Papers
Tradable Measure Of Risk
Nov 2007
The main idea of this paper is to introduce Tradeable Measures of Risk as an objective and model independent way of measuring risk. The present methods of risk measurement, such as the standard...
Provided by Munich Personal Repec Archive
-
White Papers
Credit Risk Models For Managing Bank?s Agricultural Loan Portfolio
Nov 2007
In this paper, the authors have developed a credit scoring model for agricultural loan portfolio of a large Public Sector Bank in India and suggest how such model would help the Bank to mitigate...
Provided by Munich Personal Repec Archive
-
White Papers
The Short-Run Monetary Equilibrium With Liquidity Constraints
Jan 2008
A theoretical framework is presented to characterise the money demand in deregulated markets. The main departure from the perfect capital markets setting is that, instead of assuming that...
Provided by Munich Personal Repec Archive
-
White Papers
Corporate Cash Flow And Stock Price Exposures To Foreign Exchange Rate Risk
Jan 2008
This paper estimates the foreign exchange rate exposure of 6,917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are...
Provided by Munich Personal Repec Archive
-
White Papers
The Simple Economics Of Risk-Sharing Agreements Between The NHS And The Pharmaceutical Industry
Apr 2008
The Janssen-Cilag proposal for a risk-sharing agreement regarding bortezomib received a welcome signal from NICE. The Office of Fair Trading report included risk-sharing agreements as an available...
Provided by Munich Personal Repec Archive
-
White Papers
Quality Risk Management - An Integrated Approach In The Mining Industry
Jul 2008
The continued development of management system standards into areas such as environment, health and safety, and information security has reinforced the calls for an integrated approach. In the...
Provided by Munich Personal Repec Archive
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Case Studies
Compliant And Reliable Risk Management Framework At Generali Deutschland
Oct 2009
Generali Deutschland Holding AG is the head of the German units of the Italian Assicurazioni Generali Group and one of the biggest and most successful primary insurance groups in Germany. Generali...
Provided by Capgemini
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White Papers
Disentangling Intertemporal Substitution And Risk Aversion Under The Expected Utility Theorem
Nov 2008
A disturbing feature of the conventional objective function for intertemporal decisions under uncertainty is that the agent's attitudes toward intertemporal substitution and risk aversion are...
Provided by Munich Personal Repec Archive
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White Papers
Decreasing Negative The Delivery Risk Influence On The Recepient's Firm Value: Portfolio Approach
Nov 2008
The basic financial purpose of an enterprise is maximization of its value. Inventory management should also contribute to realization of this fundamental aim. The enterprise value maximization...
Provided by Munich Personal Repec Archive
-
White Papers
Methods For Innovation Projects Risk Evaluation
Nov 2008
Starting an innovation project assumes to state some competitive objectives referring to the allocated budget, time limit for project's ending and also to the quality and performance parameters of...
Provided by Munich Personal Repec Archive
-
White Papers
Corruption And Disposable Risk
Nov 2008
Corrupt bureaucrats manipulate rules and regulations to coerce the private agents to pay bribes. In such an environment the cost of dealing with the public sector is uncertain as the regulations...
Provided by Munich Personal Repec Archive
-
White Papers
Practical Volatility Modeling For Financial Market Risk Management
Aug 2008
Being able to choose most suitable volatility model and distribution specification is a more demanding task. This paper introduces an analyzing procedure using the Kullback-Leibler Information...
Provided by Munich Personal Repec Archive
-
White Papers
Risk Management By The Basel Committee: Evaluating Progress Made From The 1988 Basel Accord To Recent Developments
Aug 2008
This paper traces developments from the inception of the 1988 Basel Capital Accord to its present form (Basel II). In highlighting the flaws of the 1988 Accord, an evaluation is made of the Basel...
Provided by Munich Personal Repec Archive
-
White Papers
What Explains Risk Premia In Crude Oil Futures?
Feb 2011
This paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in...
Provided by Bank of Finland
-
White Papers
Risk-Adjusted Measures Of Value Creation In Financial Institutions
Oct 2009
Measuring value creation by comparing the RAROC of an exposure (the return on risk capital) with a single institution-wide hurdle rate is inconsistent with the standard theory of financial...
Provided by Bank of Finland
-
White Papers
Risky Trust: How Multi-Entity Teams Develop Trust In A High Risk Endeavor
Feb 2011
This paper explicates the challenge of risky trust, which the authors define as trust that exists between parties vulnerable to high economic, legal or reputational risks at individual or...
Provided by Harvard Business School
-
White Papers
A General Index Of Inherent Risk
Feb 2009
The authors extend the pioneering work of Aumann and Serrano by presenting an index of inherent riskiness of a gamble having the desirable properties of their index, while being applicable to...
Provided by Bar-Ilan University
-
White Papers
The Determinants Of Household Risky Asset Holdings: Background Risk And Other Factors
Feb 2008
The authors study the portfolio allocation decisions of Australian households using the relatively new Household Income and Labor Dynamics in Australia (HILDA) survey. They focus on household...
Provided by University of Melbourne
-
White Papers
Delegated Portfolio Management And Risk Taking Behavior
Dec 2009
Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, the authors propose a...
Provided by Banco Central do Brasil
-
White Papers
Securitization In East Asia
Feb 2008
This paper examines the institutional basis of these concerns by investigating the use of securitization in East Asia, questioning both the growth in regional activity since the 1997/98 Asian...
Provided by Asian Development Bank
-
White Papers
Uncovered Interest Parity In A Partially Dollarized Developing Country: Does UIP Hold In Bolivia? (And If Not, Why Not?)
Jul 2009
According to the Uncovered Interest Parity (UIP) condition, interest rate differentials compensate for expected exchange rate changes, equalizing the expected returns from holding assets which...
Provided by Stockholm School of Economics
-
White Papers
Risk Aversion, Prospect Theory, And Strategic Risk In Law Enforcement: Evidence From An Antitrust Experiment
Mar 2008
In this paper the authors investigate the effects of risk preferences and attitudes towards risk on optimal antitrust enforcement policies. First, they observe that risk aversion is negatively...
Provided by Stockholm School of Economics
-
White Papers
Genetic Variation In Preferences For Giving And Risk-Taking
Jan 2009
In this paper, the authors use the classical twin design to provide estimates of genetic and environmental influences on experimentally elicited preferences for risk and giving. Using standard...
Provided by Stockholm School of Economics
-
White Papers
Long-Run Risks, The Macroeconomy, And Asset Prices
Apr 2010
In this paper the authors present a generalized LRR model, which allows studying the role of cyclical fluctuations and macroeconomic crises on asset prices and expected returns. The model contains...
Provided by University of Pennsylvania
-
White Papers
How Much Do Investors Care About Macroeconomic Risk? Evidence From Scheduled Economic Announcements
Mar 2009
Stock market excess returns are significantly higher on days when the government is scheduled to announce inflation statistics, unemployment statistics, and interest rate decisions. The average...
Provided by University of Pennsylvania
-
White Papers
Portfolio Choice In Retirement: Health Risk And The Demand For Annuities, Housing And Risky Assets
May 2008
This paper develops a consumption and portfolio-choice model of a retiree who allocates wealth among four assets: a riskless bond, a risky asset, a real annuity, and housing. Unlike previous...
Provided by University of Pennsylvania
-
White Papers
Diversification And Its Discontents: Idiosyncratic And Entrepreneurial Risk In The Quest For Social Status
Jun 2008
Incorporating preference for social status into a simple model of portfolio choice helps to explain a range of qualitative and quantitative stylized facts about the heterogeneity in asset holdings...
Provided by University of Pennsylvania
-
White Papers
Diversifying Credit Risk With International Corporate Bonds
Mar 2010
This paper explores the potential for US investors to diversify credit risk exposure with international corporate bonds. Using a newly compiled dataset of firm-level monthly corporate bond quotes...
Provided by University of Pennsylvania
-
White Papers
The Seeds Of A Crisis: A Theory Of Bank Liquidity And Risk-Taking Over The Business Cycle
Oct 2010
The authors examine how the banking sector may ignite the formation of asset price bubbles when there is access to abundant liquidity. Inside banks, given lack of observability of effort, loan...
Provided by New York University
-
White Papers
Sovereign Default Risk Assessment From The Bottom-Up
Sep 2010
In 2010, the world's focus on the global financial crisis shifted from financial markets and institutions to sovereign debt, especially in Europe. This has motivated a re-examination of techniques...
Provided by New York University
-
White Papers
The Macroeconomic Effects Of Housing Wealth, Housing Finance, And Limited Risk-Sharing In General Equilibrium
May 2010
The authors study a two-sector general equilibrium model of housing and non-housing production where heterogeneous households face limited opportunities to insure against aggregate and...
Provided by New York University
-
White Papers
Leverage, Moral Hazard And Liquidity
Feb 2009
The authors consider a moral hazard setup wherein leveraged firms have incentives to take on excessive risks and are thus rationed when they attempt to roll over debt. Firms can sell assets to...
Provided by Duke University
-
White Papers
Rebuilding Trust: Next Steps For Risk Management In Financial Services
May 2010
The global financial crisis had many causes but failures in risk management were clearly a contributory factor. Although there were technical shortcomings, especially related to the use of risk...
Provided by Economist Intelligence Unit
-
White Papers
Beyond Box-Ticking: A New Era For Risk Governance
Sep 2009
The boardroom has always been the preserve of the gifted, the ambitious and the self-confident. In Anglo-Saxon business culture, board-level executives wield substantial power and, while other...
Provided by Economist Intelligence Unit
-
White Papers
Under The Spotlight: The Transition Of Environmental Risk Management
May 2008
There is a growing consensus that business should bear a greater responsibility towards the environment and pay closer attention to the "externalities" that its activities create. Nongovernmental...
Provided by Economist Intelligence Unit
-
White Papers
Fortifying The Enterprise: Governance, Risk And Compliance Strategies
Nov 2007
Both the private and public sector executives are under pressure today to increase their understanding of governance, risk and compliance (GRC) issues - and their ability to respond to them. They...
Provided by Economist Intelligence Unit
-
White Papers
Risk And Regulation: A New Era For Capitalism
May 2009
Derivatives, said Warren Buffet, a renowned US investor, "Are the financial equivalent of weapons of mass destruction." He has certainly been proved right, with failing banks around the world...
Provided by Economist Intelligence Unit
-
White Papers
Precautionary Hoarding Of Liquidity And Inter-Bank Markets: Evidence From The Sub-prime Crisis
Jul 2009
The paper consists of three pieces. First, the authors document that liquidity holdings of the large settlement banks in the UK experienced on average a 30% increase in the period immediately....
Provided by New York University
-
White Papers
Creditor Rights And Corporate Risk-Taking
Jun 2009
The authors analyze the link between creditor rights and firms' investment policies, proposing that stronger creditor rights in bankruptcy reduce corporate risk-taking. In cross-country analysis,...
Provided by New York University
-
White Papers
Background Risk And Trading In A Full-Information Rational Expectations Economy
Aug 2009
In this paper the authors assume that investors have the same information, but trade due to the evolution of their non-market wealth. In the formulation, investors rebalance their portfolios in...
Provided by New York University
-
White Papers
Crash Risk In Currency Markets
Jun 2009
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, the authors propose a simple structural model that includes both Gaussian and...
Provided by New York University
-
White Papers
Priced Risk And Asymmetric Volatility In The Cross-Section Of Skewness
Jan 2008
The authors investigate the sources of skewness in aggregate risk-factors and the cross-section of stock returns. In an ICAPM setting with conditional volatility, they find theoretical time series...
Provided by New York University
-
White Papers
Term Structure Of Risk, The Role Of Known And Unknown Risks And Non-Stationary Distributions
May 2007
In this paper the authors document the presence of a term structure of risk and they propose how to measure it using alternative models to forecast volatility and the Value at Risk at different...
Provided by New York University
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White Papers
Does Hedging Affect Commodity Prices? The Role Of Producer Default Risk
Nov 2008
Do hedging and speculative activity in commodity futures affect spot prices? Yes, when commodity producers have hedging needs. The authors build a model in which producers are risk-averse to...
Provided by New York University
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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
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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
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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
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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
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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
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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
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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
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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
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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
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