ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)最新文献

Euro Area Banks' Interest Rate Risk Exposure to Level, Slope and Curvature Swings in the Yield Curve 欧元区银行对收益率曲线水平、斜率和曲率波动的利率风险敞口

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2022-05-24 DOI: 10.2139/ssrn.3033719

Daniel Foos, E. Lütkebohmert, Mariia Markovych, Kamil Pliszka

{"title":"Euro Area Banks' Interest Rate Risk Exposure to Level, Slope and Curvature Swings in the Yield Curve","authors":"Daniel Foos, E. Lütkebohmert, Mariia Markovych, Kamil Pliszka","doi":"10.2139/ssrn.3033719","DOIUrl":"https://doi.org/10.2139/ssrn.3033719","url":null,"abstract":"This paper investigates interest rate risk exposures of listed euro area banks which fall under the Single Supervisory Mechanism (SSM). We analyze the period 2005 to 2014, as it includes times of very low interest rates in which banks may have pursued a more risky maturity transformation strategy. First, we use the Bayesian DCC M-GARCH model to assess banks' stock price sensitivities to principal components of changes in the yield curve describing shifts in its level, slope and curvature. Second, we investigate how these sensitivities vary depending on bank-level characteristics (e.g., balance sheet composition, reliance on interest income). Our findings reveal that, on average, banks benefit from positive level shifts and steepening yield curves. Curvature changes affect banks' share prices as well, particularly in times of crises. Further, these sensitivities change in time and depend heavily on the bank's business model and balance sheet composition. Our analysis reveals that banks with larger balance sheets, higher capital ratios, higher parts of customer loans and lower parts of deposits are particularly sensitive to interest rate movements.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125508615","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: 6

15 Seconds to Alpha: Higher frequency risk pricing for commercial real estate securities 15秒到Alpha:商业地产证券的高频风险定价

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2021-10-28 DOI: 10.2139/ssrn.3852381

A. Christopoulos, J. Barratt

{"title":"15 Seconds to Alpha: Higher frequency risk pricing for commercial real estate securities","authors":"A. Christopoulos, J. Barratt","doi":"10.2139/ssrn.3852381","DOIUrl":"https://doi.org/10.2139/ssrn.3852381","url":null,"abstract":"This paper introduces a generalizable method to estimate reduced form risk decompositions at daily and intraday frequencies applied to CMBX. We estimate partitions for the risks of default, liquidity, excess liquidity, and interest rate volatility at daily and intraday frequencies. Our new estimation technique combines previously simulated risk partitions with current market data using principal components and OLS methods. We find liquidity and excess liquidity risk partitions are significant in explaining daily effective bid-ask spreads historically, from 11/2007-4/2019, and in 20-day forecasts. During the Covid pandemic, we extend the model from daily to intraday frequency, estimating intraday in 15 second intervals over the period 4/2020-4/2021. During Covid, we find regular patterns of risk partition volatility in the cross-section and exploit those insights in the related, and more frequently traded, REIT sector in automated trading strategies. In our 54 long/short day trading strategies, 96% showed significant alphas, and 63% produced abnormal cumulative returns between 0.73% and 48.74%. These results support pricing risk with risk partitioning at higher frequencies for commercial real estate securities.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121927205","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: 0

Bank Signaling, Risk of Runs, and the Informational Impact of Prudential Regulations 银行信号、挤兑风险和审慎监管的信息影响

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2021-07-19 DOI: 10.2139/ssrn.3902600

Warwick Business School Submitter

引用次数: 0

Climate Default Swap – Disentangling the Exposure to Transition Risk Through CDS 气候违约掉期——通过CDS解除对转型风险的暴露

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2021-05-31 DOI: 10.2139/ssrn.3856993

Alexander Blasberg, Ruediger Kiesel, Luca Taschini

{"title":"Climate Default Swap – Disentangling the Exposure to Transition Risk Through CDS","authors":"Alexander Blasberg, Ruediger Kiesel, Luca Taschini","doi":"10.2139/ssrn.3856993","DOIUrl":"https://doi.org/10.2139/ssrn.3856993","url":null,"abstract":"The substantial economic transformation required to mitigate and adapt to climate change will lower the value of certain businesses as well as some firms' assets in the not-too-distant future. Firms will need to transition to a less carbon-intensive business model, but may do so at different times and at different speeds, incurring different costs and risks in the process. We propose and implement a novel market-based measure of exposure to transition risk (transition risk factor) and examine how this risk affects firms' creditworthiness. We discipline the exercise by using Credit Default Swap (CDS) spreads to capture differential exposure to transition risk across economic sectors. We show that the transition risk factor is a relevant determinant of CDS spreads and provide evidence of the relationship between the differential exposure to transition risk and firms' cost of default protection. This effect is particularly pronounced during deteriorating credit market movements. However, effects vary substantially across industries, reflecting the fact that transition risk impacts firms' valuation differently depending on their sector. Our findings also suggest that investors seek greater protection against transition risks in the short– to medium-term, indicating an expectation of a swift transformation of the entire economic structure.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133393264","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: 2

Sovereign Risk, Credit Shocks and R&D 主权风险、信贷冲击与研发

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2021-02-05 DOI: 10.2139/ssrn.3780062

Pietro Grandi, Jean-Jacques Belin, Elisa Darriet, M. Guille

引用次数: 0

How Risky is your Project Really? Corporate Finance Strategies for Assessing Risk 你的项目到底有多大风险?评估风险的公司财务策略

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-12-14 DOI: 10.2139/ssrn.3748822

N. Burgess

{"title":"How Risky is your Project Really? Corporate Finance Strategies for Assessing Risk","authors":"N. Burgess","doi":"10.2139/ssrn.3748822","DOIUrl":"https://doi.org/10.2139/ssrn.3748822","url":null,"abstract":"Risk is a vital concept to grasp when investing in a firm or project. It is also a key ingredient required to evaluate the cost of capital and perform a valuation. An organization’s capital structure, specifically the amount of leverage and debt financing employed, must be accounted for to correctly assess a project’s risk. There are different measures of risk used by practitioners. The most widely used risk measure corporate finance is CAPM beta. It can be calculated as the co-movement of returns with the market and/or equivalently as the slope of a regression analysis. CAPM beta measures a firm’s exposure to systematic risk and assumes that investors are not rewarded for firm specific risk (Berk and DeMarzo, 2016). Many firms and projects are illiquid and/or have no public data. In such cases we measure and imply beta risk from comparable company data. However risk increases with leverage and the level of debt financing used to finance the company or project (Brealey et al, 2014). Consequently, we are required to unlever and relever betas to remove leverage effects from the comparable company and add the leverage effects of the target company to give a reliable indicator of beta risk (Koller et al, 2015). Not only is CAPM beta useful to assess the risk of a firm or project, but it is essential to calculate the weighted average cost of capital (WACC). It is the expected return investors require to invest in a project and incorporate the correct level of risk. The WACC is required to value of a firm or project and perform a discounted cash flows (DCF) analysis, see (Burgess 2020a), (Burgess 2020b) and (Burgess 2020c). ","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129092425","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: 1

Performance of Hierarchical Equal Risk Contribution Algorithm in China Market 层次等风险贡献算法在中国市场上的表现

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-09-19 DOI: 10.2139/ssrn.3695598

Weige Huang

引用次数: 0

Risk Dynamics of Sectoral Stocks in BRICS Countries 金砖国家行业股风险动态分析

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-08-27 DOI: 10.2139/ssrn.3700634

K. Dogah, G. Premaratne

{"title":"Risk Dynamics of Sectoral Stocks in BRICS Countries","authors":"K. Dogah, G. Premaratne","doi":"10.2139/ssrn.3700634","DOIUrl":"https://doi.org/10.2139/ssrn.3700634","url":null,"abstract":"This study attempts to contribute to the literature on risk exposures by investigating the dynamic volatility spillover transmissions and volatility co-movements between oil-risk factors and sectoral stocks in BRICS countries. A spillover index and DCC-GARCH estimation techniques are applied to identify the volatility transmission mechanism and co-movement among the series using daily data from 5th May 2007 to December 31st, 2016. To provide practical implications of the volatility transmissions, the estimated results are in turn used to compute and analyze the optimal weights and hedge ratios for oil-stock portfolio holdings. Our findings indicate the existence of significant volatility spillover interdependences and a time-varying volatility co-movement between oil-risk factors and sectoral stocks. However, the direction of spillover is shown to be somewhat unidirectional mainly from some selected sectors to oil-risk factors. Thus, we show that although volatility spillovers from oil-risk factors to sectors exist, the effect is at best, marginal. Finally, the optimal weights and hedge ratios show that oil-risk factors would be better suited as instruments for portfolio diversification rather than hedging to minimize oil price and portfolio risks which is important for risk management and diversification benefits.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114941151","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: 0

Robust Distortion Risk Measures 稳健的失真风险措施

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-08-18 DOI: 10.2139/ssrn.3677078

C. Bernard, Silvana M. Pesenti, S. Vanduffel

引用次数: 11

Default Option Exercise Over the Financial Crisis and Beyond 金融危机及其后的违约期权行使

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2020-08-10 DOI: 10.2139/ssrn.2764026

Xudong An, Yongheng Deng, S. Gabriel

引用次数: 15