ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)最新文献_第4页

The Determinants of the Model-Free Positive and Negative Volatilities 无模型正、负波动率的决定因素

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-12-10 DOI: 10.2139/ssrn.3298720

Mattia Bevilacqua, D. Morelli, R. Tunaru

引用次数: 9

Asset Pricing with Persistence Risk 考虑持续性风险的资产定价

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-11-16 DOI: 10.2139/ssrn.3032238

D. Andrei, M. Hasler, A. Jeanneret

引用次数: 18

Informative Content of Cash Flows in the Analysis of Risk 风险分析中现金流量的信息量

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-09-19 DOI: 10.2139/ssrn.3252230

D. D. Terreno, Silvana Andrea Sattler

引用次数: 0

Information Content of Option Implied Eigenportfolios and Their Variance Risk Premium Sensitivities in G10 Currencies G10货币期权隐含特征组合的信息含量及其方差风险溢价敏感性

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-08-02 DOI: 10.2139/ssrn.3228137

Jari-Pekka Heinonen

引用次数: 0

Managing the Risk of Currency Momentum Strategies 管理货币动量策略的风险

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-07-29 DOI: 10.2139/ssrn.3222699

Felix Dietrich

引用次数: 1

Collective Risk Models with Dependence 具有依赖性的集体风险模型

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-06-12 DOI: 10.2139/ssrn.3104912

Hélène Cossette, É. Marceau, Itre Mtalai

{"title":"Collective Risk Models with Dependence","authors":"Hélène Cossette, É. Marceau, Itre Mtalai","doi":"10.2139/ssrn.3104912","DOIUrl":"https://doi.org/10.2139/ssrn.3104912","url":null,"abstract":"Abstract In actuarial science, collective risk models, in which the aggregate claim amount of a portfolio is defined in terms of random sums, play a crucial role. In these models, it is common to assume that the number of claims and their amounts are independent, even if this might not always be the case. We consider collective risk models with different dependence structures. Due to the importance of such risk models in an actuarial setting, we first investigate a collective risk model with dependence involving the family of multivariate mixed Erlang distributions. Other models based on mixtures involving bivariate and multivariate copulas in a more general setting are then presented. These different structures allow to link the number of claims to each claim amount, and to quantify the aggregate claim loss. Then, we use Archimedean and hierarchical Archimedean copulas in collective risk models, to model the dependence between the claim number random variable and the claim amount random variables involved in the random sum. Such dependence structures allow us to derive a computational methodology for the assessment of the aggregate claim amount. While being very flexible, this methodology is easy to implement, and can easily fit more complicated hierarchical structures.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134243500","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: 14

Multi-Period Merton-Vasicek-Pykhtin Model 多周期Merton-Vasicek-Pykhtin模型

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-06-08 DOI: 10.2139/ssrn.3138545

M. Šmíd, J. Dufek, J. Vorísek

{"title":"Multi-Period Merton-Vasicek-Pykhtin Model","authors":"M. Šmíd, J. Dufek, J. Vorísek","doi":"10.2139/ssrn.3138545","DOIUrl":"https://doi.org/10.2139/ssrn.3138545","url":null,"abstract":"We propose a dynamic structural model of a loan portfolio, secured by collaterals. Contrary to existing dynamic models, our model takes into account the time-dependence of the debtors' wealth and the fact that, due to defaults, the financial health within the portfolio improves in comparison to the population. As such, the model replicates the empirically observed decrease of loans' default rates in time. \u0000In the model, the debtors' resources, insufficiency of which is assumed to cause defaults, and the prices of the collaterals, determining the losses given default (LGD), depend on common and individual factors. The individual factors follow an AR(1) vector process with general residuals, the common factors are general, possibly dependent on exogenous variables. \u0000We show that the mapping transforming the common factors into the conditional probabilities of default (PD) and the LGDs is one-to-one monotonous continuously differentiable. As this transformation is not analytically tractable, we propose an approximation technique which is convergent with polynomial complexity. \u0000To demonstrate a possible application of our model, we formulate a decision problem for optimal choice of loan candidates. Further, we discuss estimation of the model's parameters, we suggest ways of modelling heterogenous portfolios, and we give arguments supporting empirical validity of the model.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127261881","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

M-SD3 Model: A Multi-Dimensional Risk Decomposition M-SD3模型:多维风险分解

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-05-03 DOI: 10.2139/ssrn.3172726

D. Mignacca

引用次数: 0

Shortfall Risk Through Fenchel Duality 通过Fenchel二元性分析短缺风险

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-02-22 DOI: 10.2139/ssrn.3128201

Zhenyu Cui, Jun Deng

引用次数: 1

Foreign Currency: Accounting, Communication and Management of Risks 外汇:风险的会计、沟通与管理

ERN: Other Econometric Modeling: Capital Markets - Risk (Topic) Pub Date : 2018-01-21 DOI: 10.2139/SSRN.3031831

T. Harris, Shivaram Rajgopal

{"title":"Foreign Currency: Accounting, Communication and Management of Risks","authors":"T. Harris, Shivaram Rajgopal","doi":"10.2139/SSRN.3031831","DOIUrl":"https://doi.org/10.2139/SSRN.3031831","url":null,"abstract":"We obtain survey responses from 168 North American CFOs and interview 16 of them to understand (i) how foreign currency exposure is measured and reported inside and outside the firm; (ii) how goal setting, performance evaluation and compensation of managers reflect exchange rate impacts, (iii) what specific currency exposures firms hedge and why? To develop expected answers to these questions, we provide a series of exhibits of hypothetical transactions at, and financial reports for, the foreign subsidiary. We benchmark these theoretical insights against the survey responses and uncover several questionable managerial choices. First, although no performance measure is insulated from a currency impact, a large majority of senior managers and board members only review translated USD data, especially cash flows, that are fraught with significant measurement error. Second, companies are more likely to communicate, both inside and outside, the currency impact on net income and revenue but not on operating costs, operating cash flows and the foreign subsidiary’s balance sheet. Hence, decision makers, especially investors, will be unable to readily isolate the portion of the firm’s performance attributable to currency changes. Third, many of the current practices used to (i) set budgeted exchange rates for planning; (ii) hold local managers accountable for currency fluctuations; and (iii) manage foreign currency risk are inconsistent both with one another and with theory. We hope our work furthers the understanding of currency exposure among students, academics and practitioners.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126628031","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: 4