Risk Management & Analysis in Financial Institutions eJournal最新文献

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Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis 系统性风险度量的周期模式:跨国分析
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-02-01 DOI: 10.5089/9781513568652.001
P. Iossifov, T. Schmidt
{"title":"Cyclical Patterns of Systemic Risk Metrics: Cross-Country Analysis","authors":"P. Iossifov, T. Schmidt","doi":"10.5089/9781513568652.001","DOIUrl":"https://doi.org/10.5089/9781513568652.001","url":null,"abstract":"We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies over 1995–2020. We construct composite indices of underlying liquidity, solvency and mispricing risks and analyze their patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that risks were underestimated by stress indicators in the run-up to the 2008 global financial crisis. The policy implications of conflicting risk signals would depend on the phase of the credit cycle.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122156790","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
Les sous-jacents théoriques de la « finance durable » au défi des objectifs climatiques (The Theoretical Underpinnings of ‘Sustainable Finance’ Policies in the Face of Climate Objectives) 应对气候目标挑战的“可持续金融”的理论基础(面对气候目标的“可持续金融”政策的理论基础)
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-02-01 DOI: 10.2139/ssrn.3850017
Hugues Chenet, L. Zamarioli
{"title":"Les sous-jacents théoriques de la « finance durable » au défi des objectifs climatiques (The Theoretical Underpinnings of ‘Sustainable Finance’ Policies in the Face of Climate Objectives)","authors":"Hugues Chenet, L. Zamarioli","doi":"10.2139/ssrn.3850017","DOIUrl":"https://doi.org/10.2139/ssrn.3850017","url":null,"abstract":"<b>French abstract:</b> Devant l'objectif d'une économie mondiale neutre en carbone en 2050, le système financier doit être mobilisé dans toute sa capacité afin de financer une véritable révolution socioéconomique et industrielle. C'est dans ce contexte que de nombreuses initiatives réglementaires sont apparues pour rendre la finance « durable ». Nous proposons une grille de lecture exploratoire pouvant constituer une typologie d'analyse de ces différentes approches, testée au travers des récents cadres européen et chinois. Sur la base de cet exercice, nous tirons de premières conclusions sur la cohérence de ces cadres vis-à-vis des contraintes et impératifs de mutations techno-industrielles et socioéconomiques imposés par la science climatique. <br><br><b>English abstract:</b> Faced with the goal of a carbon-neutral global economy in 2050, the financial system must be mobilized to its full capacity in order to finance what is a genuine socioeconomic and industrial revolution. It is in this context that many regulatory initiatives have emerged to make finance \"sustainable\". We propose an exploratory reading grid that can constitute a typology of analysis of these different approaches, that we test through the recent European and Chinese sustainable/green finance frameworks. On the basis of this exercise, we draw initial conclusions on the consistency of these frameworks vis-à-vis the constraints and imperatives of techno-industrial and socioeconomic changes imposed by climate science.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130256843","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
Portfolio and Index Vars by Filtered Historical Simulation 过滤历史模拟的投资组合和指数变化
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-01-31 DOI: 10.2139/ssrn.3776455
Heng Sun, Zhen Zhang
{"title":"Portfolio and Index Vars by Filtered Historical Simulation","authors":"Heng Sun, Zhen Zhang","doi":"10.2139/ssrn.3776455","DOIUrl":"https://doi.org/10.2139/ssrn.3776455","url":null,"abstract":"Filtered historical simulation is a popular method to compute VaR. The VaR values by this approach applied to a stock index and to the portfolio of the component stocks in the index can be quite different when the market is under stress. This paper examines the discrepancy. We concludes that the high correlation among stocks in a stressed market condition is the cause. The estimation shows that the two approaches would give consistent VaR when the overall stock correlations are about 40-50%.<br>","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"71 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120825359","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
Empirical Study of Tail Distributions of Multi-Day Index Returns 多日指数收益尾部分布的实证研究
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-01-19 DOI: 10.2139/ssrn.3769203
T. Roos
{"title":"Empirical Study of Tail Distributions of Multi-Day Index Returns","authors":"T. Roos","doi":"10.2139/ssrn.3769203","DOIUrl":"https://doi.org/10.2139/ssrn.3769203","url":null,"abstract":"We study the tail distributions of multi-day index returns across a variety of asset classes. Fitting power laws to the tail distributions, we find tail indices in the range [2-4] for all underlyings, for returns up to 250 days. We also find that the power laws can not be statistically ruled out in favor of an exponentially decaying tail distribution. Consequences for risk management are briefly discussed.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123913639","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
Large Mixed-Frequency Vars with a Parsimonious Time-Varying Parameter Structure 具有简约时变参数结构的大混合频变
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-01-16 DOI: 10.1093/ECTJ/UTAB001
T. Götz, Klemens Hauzenberger
{"title":"Large Mixed-Frequency Vars with a Parsimonious Time-Varying Parameter Structure","authors":"T. Götz, Klemens Hauzenberger","doi":"10.1093/ECTJ/UTAB001","DOIUrl":"https://doi.org/10.1093/ECTJ/UTAB001","url":null,"abstract":"\u0000 In order to simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural change, we introduce a time-varying parameter mixed-frequency vector autoregression (VAR). Time variation enters in a parsimonious way: only the intercepts and a common factor in the error variances can vary. Computational complexity therefore remains in a range that still allows us to estimate moderately large VARs in a reasonable amount of time. This makes our model an appealing addition to any suite of forecasting models. For eleven U.S. variables, we show the competitiveness compared to a commonly used constant-coefficient mixed-frequency VAR and other related model classes. Our model also accurately captures the drop in the gross domestic product during the COVID-19 pandemic.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"112 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123364006","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: 17
If It Is Not Constructed As a ‘Market Completeness Metric,’ It Is Not a Market Completeness Metric 如果它不是作为“市场完整性度量”构建的,那么它就不是一个市场完整性度量
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-01-12 DOI: 10.2139/ssrn.3378818
Oghenovo A. Obrimah
{"title":"If It Is Not Constructed As a ‘Market Completeness Metric,’ It Is Not a Market Completeness Metric","authors":"Oghenovo A. Obrimah","doi":"10.2139/ssrn.3378818","DOIUrl":"https://doi.org/10.2139/ssrn.3378818","url":null,"abstract":"In absence of metrics for assessing each of `incompleteness' properties of stock markets, and `completeness' properties of new issues of equity (combined, `market completeness, equivalently, incompleteness metrics (MIM)'), regardless of market efficiency and presence of fully rational agents, the probability of a positive stock market return is no greater than that of a pure chance event. In presence of MIM, while stock returns are not monotone increasing, they are strictly positive. Formal predictions do not find any evidence for proxies for MIM within stock markets, show none of market betas, return correlations etc. are substitutes for market incompleteness metrics.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128766395","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: 11
СЕМЕЙСТВО МЕР РИСКА VAR В ПРОИЗВОЛЬНОЙ СТЕПЕНИ t >= 1. СПОСОБЫ ИХ ВЫЧИСЛЕНИЯ И ПРИМЕНЕНИЯ (Family of Risk Measures Var at an Arbitrary Degree T> = 1. Methods of Their Calculation and Application)
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2021-01-09 DOI: 10.2139/ssrn.3860361
V. Minasyan
{"title":"СЕМЕЙСТВО МЕР РИСКА VAR В ПРОИЗВОЛЬНОЙ СТЕПЕНИ t >= 1. СПОСОБЫ ИХ ВЫЧИСЛЕНИЯ И ПРИМЕНЕНИЯ (Family of Risk Measures Var at an Arbitrary Degree T> = 1. Methods of Their Calculation and Application)","authors":"V. Minasyan","doi":"10.2139/ssrn.3860361","DOIUrl":"https://doi.org/10.2139/ssrn.3860361","url":null,"abstract":"<b>Russian Abstract:</b>В работе предложены новые меры риска VaR в различных степенях, исследованы свойства, предложены формулы для их вычисления и применения. <br><br><b>English Abstract:</b>The paper proposes new measures of risk VaR in various degrees, investigates properties, proposes formulas for their calculation and application.<br>","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"151 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115557393","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
Empirical Likelihood Estimation of Value-at-Risk and Expected Shortfall With Moment Constraints 矩约束下风险价值和预期不足的经验似然估计
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2020-12-20 DOI: 10.2139/ssrn.3752243
O. Linton, Xiaolu Zhao
{"title":"Empirical Likelihood Estimation of Value-at-Risk and Expected Shortfall With Moment Constraints","authors":"O. Linton, Xiaolu Zhao","doi":"10.2139/ssrn.3752243","DOIUrl":"https://doi.org/10.2139/ssrn.3752243","url":null,"abstract":"This paper proposes efficient estimation of risk measures by fully exploring the first and second moment information in a GARCH framework. We propose a quantile estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. We find that these proposed estimators for conditional Value-at-Risk and expected shortfall are asymptotically mixed normal. Simulation evidence provided.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123907891","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
The Golden Hedge: From Global Financial Crisis to Global Pandemic 《黄金对冲:从全球金融危机到全球流行病》
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2020-12-11 DOI: 10.2139/ssrn.3747401
R. Burdekin, R. Tao
{"title":"The Golden Hedge: From Global Financial Crisis to Global Pandemic","authors":"R. Burdekin, R. Tao","doi":"10.2139/ssrn.3747401","DOIUrl":"https://doi.org/10.2139/ssrn.3747401","url":null,"abstract":"Abstract This paper examines whether gold, and gold mining stocks, were an effective hedge during the 2020 global pandemic and 2008–2009 global financial crisis. Prior research suggests that gold’s hedging value is most evident during crisis periods, but none has compared the 2008–2009 and 2020 episodes directly. Dynamic conditional correlations and hedge ratios are estimated to determine the impact of rising market volatility on the hedging properties of physical gold and gold mining stocks. The results suggest that gold provided strong hedging value during the global financial crisis but did not consistently exhibit this property in 2020. There was less scope for hedging against losses in 2020 because the market recovered so quickly from the March 2020 lows. This contrasts with the extended stock market weakness following the onset of the global financial crisis.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129318018","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: 21
Interest Rate Risk, Prepayment Risk and Banks’ Securitization of Mortgages 利率风险、提前还款风险与银行抵押贷款证券化
Risk Management & Analysis in Financial Institutions eJournal Pub Date : 2020-12-01 DOI: 10.2139/ssrn.3761540
Zhanbing Xiao
{"title":"Interest Rate Risk, Prepayment Risk and Banks’ Securitization of Mortgages","authors":"Zhanbing Xiao","doi":"10.2139/ssrn.3761540","DOIUrl":"https://doi.org/10.2139/ssrn.3761540","url":null,"abstract":"I show that banks with interest-sensitive liabilities securitize more mortgages than banks with interest-insensitive liabilities do. This is because liabilities of interest-insensitive banks are similar to fixed-rate and long-term debt, thereby holding long-term and fixed-rate mortgages helps isolate their net interest income from interest rate risk. However, household mortgage refinancing in low-interest periods disrupts the isolation effect. Ex ante, anticipating the risk, interest-insensitive banks securitize more mortgages, resulting in a smaller securitization gap across banks. Ex post, interest-insensitive banks are less willing to meet household refinancing requests.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122105049","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
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