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

{"title":"The Conditional Pricing of Systematic and Idiosyncratic Risk in the U.K. Equity Market","authors":"J. Cotter, Niall O’Sullivan, F. Rossi","doi":"10.2139/ssrn.2397308","DOIUrl":"https://doi.org/10.2139/ssrn.2397308","url":null,"abstract":"We test whether firm idiosyncratic risk is priced in a large cross-section of U.K. stocks. A distinguishing feature of our paper is that our tests allow for a conditional relationship between systematic risk (beta) and returns in our tests, i.e., conditional on whether the excess market return is positive or negative. We find strong evidence in support of a conditional beta/return relationship which in turn reveals conditionality in the pricing of idiosyncratic risk. We find that idiosyncratic risk is significantly negatively priced in stock returns in down-markets. Although perhaps initially counter-intuitive, we describe the theoretical support for such a finding in the literature. Our results also reveal a strong role for liquidity, size and momentum factors in explaining the cross-section of U.K. stock returns.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134120691","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}

{"title":"Predictable and Avoidable: What's Next?","authors":"Ivo Pezzuto","doi":"10.2139/ssrn.2487281","DOIUrl":"https://doi.org/10.2139/ssrn.2487281","url":null,"abstract":"The author of this paper (Dr. Ivo Pezzuto) has been one of the first authors to write back in 2008 about the alleged \"subprime mortgage loans fraud\" which has triggered the 2008 financial crisis, in combination with multiple other complex, highly interrelated, and concurrent factors. The author has been also one of the first authors to report in that same working paper of 2008 (available on SSRN and titled \"Miraculous Financial Engineering or Toxic Finance? The Genesis of the U.S. Subprime Mortgage Loans Crisis and its Consequences on the Global Financial Markets and Real Economy\") the high probability of a Eurozone debt crisis, due to a number of unsolved structural macroeconomic problems, the lack of a single crisis resolution scheme, current account imbalances, and in some countries, housing bubbles/high private debt. In the book published in 2013 and titled \"Predictable and Avoidable: Repairing Economic Dislocation and Preventing the Recurrence of Crisis\", Dr. Ivo Pezzuto has exposed the root causes of the financial crisis in order to enables readers to understand that the crisis we have seen was predictable and should have been avoidable, and that a recurrence can be avoided, if lessons are learned and the right action taken. Almost one year after the publication of the book \"Predictable and Avoidable: Repairing Economic Dislocation and Preventing the Recurrence of Crisis\", the author has decided to write this working paper to explore what happened in the meantime to the financial markets and to the financial regulation implementation. Most of all, the author with this working paper aims to provide an updated analysis as strategist and scenario analyst on the topics addressed in the book \"Predictable and Avoidable\" based on a forward-looking perspective and on potential \"tail risk\" scenarios. The topics reported in this paper relate to financial crises; Government policy; financial regulation; corporate governance; credit risk management; financial risk management; economic policy; Euro Zone debt crisis; the \"Great Recession\"; business ethics; sociology, finance and financial markets. This working paper aims to contribute to the debate about the change needed in the banking and finance industries and to supervisory frameworks, in order to enhance regulatory mechanisms and to improve global financial stability and sustainability. Conclusion: This paper aims to demonstrate that, in spite of the artificially reduced volatility in the markets, systemic risks have not been reduced after the global financial crisis and that, currently (September 2014), adverse scenarios seem to be much more likely than previously expected by regulators and supervisory authorities, due to the prolonged massive accommodative monetary policies, the increased economic and geo-political risks, and some incomplete or unfit financial regulation. Thus, the stress testing models, their underlying assumptions, and the supervisory authorities' oversight practices should be p","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128061258","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}

{"title":"Heterogeneous Effects of Risk-Taking on Bank Efficiency: A Stochastic Frontier Model with Random Coefficients","authors":"M. Sarmiento, Jorge E. Galán","doi":"10.2139/ssrn.2477115","DOIUrl":"https://doi.org/10.2139/ssrn.2477115","url":null,"abstract":"We estimate a stochastic frontier model with random inefficiency parameters, which allows us not only to identify the role of bank risk-taking on driving cost and profit inefficiency, but also to recognize heterogeneous effects of risk exposure on banks with different characteristics. We account for an integral group of risk exposure covariates including credit, liquidity, capital and market risk, as well as bank-specific characteristics of size and affiliation. The model is estimated for the Colombian banking sector during the period 2002-2012. Results suggest that risk-taking drives inefficiency and its omission leads to over (under) estimate cost (profit) efficiency. Risk-taking is also found to have different effects on efficiency of banks with different size and affiliation, and those involved in mergers and acquisitions. In particular, greater exposures to credit and market risk are found to be key profit efficiency drivers.Likewise, lower liquidity risk and capital risk lead to higher efficiency in both costs and profits. Large, foreign and merged banks benefit more when assuming credit risk, while small, domestic and non-merged banks institutions take advantage of assuming higher market risk","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"284 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122968598","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}

{"title":"Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'","authors":"A. Di Cesare, Philip A. Stork, C. de Vries","doi":"10.2139/ssrn.2467834","DOIUrl":"https://doi.org/10.2139/ssrn.2467834","url":null,"abstract":"This Web Appendix contains several technical details, figures and tables that were not reported in Di Cesare, Stork and de Vries (2014) for the sake of brevity.The paper \"Risk Measures for Autocorrelated Hedge Fund Returns\" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2004404","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"231 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114078011","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}

{"title":"Capital Gains Taxes and Risk with a Fixed Supply of Risky Assets","authors":"David A. Guenther, B. Williams","doi":"10.2139/ssrn.2464267","DOIUrl":"https://doi.org/10.2139/ssrn.2464267","url":null,"abstract":"Economic theory has long argued that when risk-averse investors are price-takers, a tax on risky returns (with full tax benefit for losses) will cause investments in risky assets to increase because the tax reduces after-tax risk. We extend this result to a setting with a fixed supply of risky assets, so that the increased demand due to lower after-tax risk leads to an increase in price and a decrease in pre-tax returns. In this setting the tax-induced increase in demand for risky assets is mitigated by the lower pre-tax returns, and the increase is much smaller than predicted by previous models. Our results have important implications for understanding how taxes affect investor behavior and for studies in accounting that examine the effect of taxes on investments in risky assets.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125280046","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}

{"title":"Factor Models for Alpha Streams","authors":"Zurab Kakushadze","doi":"10.21314/jois.2015.035","DOIUrl":"https://doi.org/10.21314/jois.2015.035","url":null,"abstract":"We propose a framework for constructing factor models for alpha streams. Our motivation is threefold. 1) When the number of alphas is large, the sample covariance matrix is singular. 2) Its out-of-sample stability is challenging. 3) Optimization of investment allocation into alpha streams can be tractable for a factor model alpha covariance matrix. We discuss various risk factors for alphas such as: style risk factors; cluster risk factors based on alpha taxonomy; principal components; and also using the underlying tradables (stocks) as alpha risk factors, for which computing the factor loadings and factor covariance matrices does not involve any correlations with alphas, and their number is much larger than that of the relevant principal components. We draw insight from stock factor models, but also point out substantial differences.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116964491","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}

{"title":"An Investigation into the Procyclicality of Risk-Based Initial Margin Models","authors":"David Murphy, Michalis Vasios, Nicholas Vause","doi":"10.2139/ssrn.2437916","DOIUrl":"https://doi.org/10.2139/ssrn.2437916","url":null,"abstract":"The initial margin requirements for a portfolio of derivatives are typically calculated using a risk model. Common risk models are procyclical: margin requirements for the same portfolio are higher in times of market stress and lower in calm markets. This procyclicality can cause liquidity stress whereby parties posting margin have to find additional liquid assets, often at just the times when it is most difficult for them to do so. Hence regulation has recognised that, subject to being adequately risk sensitive, margin models should not be ‘overly’ procyclical. There is, however, no standard definition of procyclicality. This paper proposes two types of quantitative measure of procyclicality: one that examines margin variation across the cycle and one that focuses on short-term margin increases. It then studies, using historical and simulated data, various margin models with regard to both their risk sensitivity and the proposed procyclicality measures. It finds that models which pass common risk sensitivity tests can have very different levels of procyclicality. The paper recommends that CCPs and major dealers should disclose the procyclicality properties of their margin models, perhaps by reporting the proposed procyclicality measures. This would help derivatives users to anticipate potential margin calls and ensure they have adequate holdings of or access to liquid assets.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114886033","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}

{"title":"Is the Risk-Based Mechanism Always Better? The Risk-Shifting Behavior of Insurers Under Different Insurance Guarantee Schemes","authors":"Ming Dong, Helmut Gründl, Sebastian Schluetter","doi":"10.2139/ssrn.2439156","DOIUrl":"https://doi.org/10.2139/ssrn.2439156","url":null,"abstract":"Insurance guarantee schemes (IGSs) aim to protect policyholders from thecosts of insurer insolvencies. However, IGSs can also reduce the incentives of insurersto conduct appropriate risk management. We investigate the risk-taking behavior of astock insurer under insurance guarantee schemes with two different financing alter-natives: a flat-rate premium assessment versus a risk-based premium assessment.Previous studies indicate that the flat-rate premium assessment can induce insurers totake more risks, a problem that can be resolved under the risk-based premiumassessment. Our results show that the risk-taking incentive of the insurer can also occurunder the risk-based IGS. The risk-based mechanism is superior to the flat-rate oneonly if an appropriate premium loading is included. Furthermore, we identify whichIGS leads to higher policyholders’ welfare, measured by their expected utility. We findthat the risk-based IGS can be more advantageous in improving the policyholders’welfare due to the limited risk of the insurer, compared to the flat-rate IGS.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"73 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114091820","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}

{"title":"Considering Effects of Risk Distribution Among Project Participants on Its Investment Potential","authors":"Y. Trifonov, S. Yashin, E. Koshelev","doi":"10.2139/ssrn.2431551","DOIUrl":"https://doi.org/10.2139/ssrn.2431551","url":null,"abstract":"Effects of risk distribution among project principal participants, investors and creditors, on its investment potential have been investigated. It has been demonstrated that debt risk assessment that is undertaken by a creditor results in a slight improvement of the project attractiveness for an investor. But if the creditor makes use of its monopolistic position on the market and unreasonably overestimates the interest rate on credit, this significantly degrades the project attractiveness for the investor.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"114 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124075262","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}

{"title":"Stress Test for Risk Assessment Under Basel Framework Applied in Banking Industry","authors":"M. Mahalingam, D. Rao","doi":"10.2139/ssrn.2417156","DOIUrl":"https://doi.org/10.2139/ssrn.2417156","url":null,"abstract":"Stress testing in Banks is crucial for risk mitigation both from regulatory and managerial standpoint. The U.S. sub-prime crisis of 2008 triggered economic recession across the globe and various agencies like financial institutions, regulators, credit agencies, government policies, and consumers, among others (Phil Angelides et al 2012) were collectively seen a part of systemic breakdown. Across the globe, the Central Banks have been advocating Stress Tests from the macro-prudential view point and created advanced risk analytical framework to predict scenarios impacting capital adequacy. The paper which is more of a conceptual paper presents a brief review of various risk analytical methodologies including Macro Economic Stress Testing, Quantitative Computation of Stress Test Quantitative Computation of Stress Test etc. The paper also presents scope for future research on practice of stress tests in Indian Banks.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124440846","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}