The Spanish Review of Financial Economics最新文献_第6页

Further empirical evidence on stochastic volatility models with jumps in returns 收益跳跃随机波动模型的进一步经验证据

The Spanish Review of Financial Economics Pub Date : 2012-01-01 DOI: 10.1016/j.srfe.2011.12.001

Ana González-Urteaga

引用次数: 8

The regulatory loss cut-off level: Does it undervalue the operational capital at risk? 监管损失临界值:是否低估了处于风险中的运营资本?

The Spanish Review of Financial Economics Pub Date : 2011-07-01 DOI: 10.1016/j.srfe.2011.09.003

Enrique José Jiménez-Rodríguez, José Manuel Feria-Domínguez, José Luis Martín-Marin

{"title":"The regulatory loss cut-off level: Does it undervalue the operational capital at risk?","authors":"Enrique José Jiménez-Rodríguez, José Manuel Feria-Domínguez, José Luis Martín-Marin","doi":"10.1016/j.srfe.2011.09.003","DOIUrl":"10.1016/j.srfe.2011.09.003","url":null,"abstract":"<div><p>The New Capital Accord (Basel II) proposes a minimum threshold of 10,000 Euros for operational losses when estimating regulatory capital for financial institutions<span>. But since this recommendation is not compulsory for the bank industry, banks are allowed to apply internal thresholds discretionally. In this sense, we analyze the potential impact that the selection of a specific threshold could have on the final estimation of the capital charge for covering operational risk, adopting a critical perspective. For this purpose, by using the Internal Operational Losses Database (IOLD) provided by a Spanish Saving Bank, we apply the Loss Distribution Approach (LDA) for different modelling thresholds. The results confirm the opportunity cost in which banks can incur depending on the internal threshold selected. In addition, we consider that the regulatory threshold, established by the Committee, could result inadequate for some financial institutions due to the relative short length of the current IOLDs.</span></p></div>","PeriodicalId":101250,"journal":{"name":"The Spanish Review of Financial Economics","volume":"9 2","pages":"Pages 49-54"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.srfe.2011.09.003","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89581539","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Corporate boards in high-tech firms 高科技公司的董事会

The Spanish Review of Financial Economics Pub Date : 2011-07-01 DOI: 10.1016/j.srfe.2011.09.001

Pablo de Andrés , Juan Antonio Rodríguez

引用次数: 13

Corporate governance and executive pay in the Spanish market 西班牙市场的公司治理和高管薪酬

The Spanish Review of Financial Economics Pub Date : 2011-07-01 DOI: 10.1016/j.srfe.2011.09.004

Carlos Fernández Méndez, Rubén Arrondo García , Enrique Fernández Rodríguez

引用次数: 15

Linear and nonlinear interest rate sensitivity of Spanish banks 西班牙银行的线性和非线性利率敏感性

The Spanish Review of Financial Economics Pub Date : 2011-07-01 DOI: 10.1016/j.srfe.2011.09.002

Laura Ballester, Román Ferrer, Cristóbal González

{"title":"Linear and nonlinear interest rate sensitivity of Spanish banks","authors":"Laura Ballester, Román Ferrer, Cristóbal González","doi":"10.1016/j.srfe.2011.09.002","DOIUrl":"10.1016/j.srfe.2011.09.002","url":null,"abstract":"<div><p><span>Interest rate risk<span> is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank </span></span>stock returns<span> does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non-parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form.</span></p><p>On the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank, stock returns have significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.</p></div>","PeriodicalId":101250,"journal":{"name":"The Spanish Review of Financial Economics","volume":"9 2","pages":"Pages 35-48"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.srfe.2011.09.002","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81817373","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 43

Do ethical and conventional mutual fund managers show different risk-taking behavior? 道德和传统的共同基金经理表现出不同的冒险行为吗?

The Spanish Review of Financial Economics Pub Date : 2011-01-01 DOI: 10.1016/j.srfe.2010.03.001

Isabel Marco, Fernando Muñoz, María Vargas

引用次数: 6

Debt refinancing and credit risk 债务再融资和信用风险

The Spanish Review of Financial Economics Pub Date : 2011-01-01 DOI: 10.1016/j.srfe.2010.10.001

Santiago Forte , Juan Ignacio Peña

引用次数: 6

Variance swaps and intertemporal asset pricing 方差互换和跨期资产定价

The Spanish Review of Financial Economics Pub Date : 2011-01-01 DOI: 10.1016/j.srfe.2011.01.001

Belén Nieto , Alfonso Novales , Gonzalo Rubio

引用次数: 0

Internationally affine term structure models 国际仿射期限结构模型

The Spanish Review of Financial Economics Pub Date : 2011-01-01 DOI: 10.1016/j.srfe.2010.05.001

Antonio Diez de los Rios

引用次数: 4