Swiss Finance Institute Research Paper Series最新文献_第7页

Tax News Shocks and Consumption 税收新闻、冲击和消费

Swiss Finance Institute Research Paper Series Pub Date : 2018-08-21 DOI: 10.2139/ssrn.2746486

Lorenz Kueng

引用次数: 5

Influence of Credit Risk Measurement on Lending Performance of Commercial Banks in Nairobi County, Kenya 信用风险度量对肯尼亚内罗毕商业银行贷款绩效的影响

Swiss Finance Institute Research Paper Series Pub Date : 2018-08-18 DOI: 10.2139/ssrn.3234291

John Karanja, J. Bichanga, G. Kingoriah

{"title":"Influence of Credit Risk Measurement on Lending Performance of Commercial Banks in Nairobi County, Kenya","authors":"John Karanja, J. Bichanga, G. Kingoriah","doi":"10.2139/ssrn.3234291","DOIUrl":"https://doi.org/10.2139/ssrn.3234291","url":null,"abstract":"The credit risk measurement has affected significantly the lending performance of the commercial banks not only in Kenya but also in east Africa and has led to financial crises and poor lending performance. There has been a dramatic loss in the banking industry and suddenly announced large losses due to credit exposures that turned sour. The general objective of this study was to evaluate the influence of credit risk measurement on the lending performance of commercial banks in Nairobi County, Kenya. This study used descriptive survey research design and the target population for this study was at two levels. The target population was employees of the 42 commercial banks in operation in Kenya and the sample consisted of credit managers and other bankers where purposive sampling was used to pick 42 credit managers and simple random sampling was used to select the other 301 respondents. Data was collected using questionnaires and analyzed using descriptive statistics and logistic regression analysis (binary) was used. The results of the study revealed that credit risks measurements influenced bank lending performance positively. The study concluded that credit risk measurement activities significantly influence the lending performance of commercial banks and as a result the operating capital of commercial banks have gone down. The study recommended that Kenya government through the National Treasury and in collaboration with CBK and KBA should develop policies that will help the commercial banks optimize of credit risks measurement and improve the lending performance which is currently affected to great extent.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130397464","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

Paths to Convergence: Stock Price Adjustment After the Trump Election Shock 趋同之路:特朗普选举冲击后的股价调整

Swiss Finance Institute Research Paper Series Pub Date : 2018-07-31 DOI: 10.2139/ssrn.3037023

A. Wagner, R. Zeckhauser, Alexandre Ziegler

引用次数: 3

An Assessment of the Elements of Yields and or Returns on Finance Lease Arrangements 融资租赁安排的收益及/或回报要素评估

Swiss Finance Institute Research Paper Series Pub Date : 2018-06-30 DOI: 10.2139/ssrn.3205819

Frederick Anning

引用次数: 0

Excess Sensitivity of High-Income Consumers 高收入消费者的过度敏感

Swiss Finance Institute Research Paper Series Pub Date : 2018-05-29 DOI: 10.2139/ssrn.2627893

Lorenz Kueng

引用次数: 2

The Sovereign Debt Crisis: Rebalancing or Freezes? 主权债务危机:再平衡还是冻结?

Swiss Finance Institute Research Paper Series Pub Date : 2018-05-01 DOI: 10.2139/ssrn.3060504

P. Östberg, T. Richter

引用次数: 1

Calculating Data Loss for Time-Series Data 计算时间序列数据的数据丢失

Swiss Finance Institute Research Paper Series Pub Date : 2018-04-01 DOI: 10.2139/ssrn.3230502

Dimitri Bianco

引用次数: 0

Decentralized Exchange 分散的交换

Swiss Finance Institute Research Paper Series Pub Date : 2018-03-22 DOI: 10.2139/ssrn.3146828

S. Malamud, M. Rostek

引用次数: 117

Making no-arbitrage discounting-invariant: a new FTAP beyond NFLVR and NUPBR 使无套利贴现不变:超越NFLVR和NUPBR的新FTAP

Swiss Finance Institute Research Paper Series Pub Date : 2018-03-16 DOI: 10.2139/ssrn.3676499

D. Bálint, M. Schweizer

{"title":"Making no-arbitrage discounting-invariant: a new FTAP beyond NFLVR and NUPBR","authors":"D. Bálint, M. Schweizer","doi":"10.2139/ssrn.3676499","DOIUrl":"https://doi.org/10.2139/ssrn.3676499","url":null,"abstract":"In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have a serious shortcoming — they depend crucially on the way prices are discounted. To avoid this unnatural economic behaviour, we introduce a new idea for defining “absence of arbitrage”. It rests on the new notion of strongly index weight maximal strategies, which allows us to generalise both NFLVR (by dynamic index weight efficiency) and NUPBR (by dynamic index weight viability). These new no-arbitrage concepts do not change when we look at discounted or undiscounted prices, and they can be used in open-ended models under very weak assumptions on asset prices. We establish corresponding versions of the FTAP, i.e., dual characterisations of our concepts in terms of martingale properties. A key new feature is that as one expects, “properly anticipated prices fluctuate randomly”, but with an endogenous discounting process which is not a priori chosen exogenously. We also illustrate our results by a wide range of examples. In particular, we show that the classic Black–Scholes model on [0,1) is arbitrage-free in our sense if and only if its parameters satisfy m−r e {0, σ²} or, equivalently, either bond-discounted or stock-discounted prices are martingales.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132418029","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: 7

Risk Measures Based on Benchmark Loss Distributions 基于基准损失分布的风险度量

Swiss Finance Institute Research Paper Series Pub Date : 2018-03-08 DOI: 10.2139/ssrn.3088423

V. Bignozzi, Matteo Burzoni, Cosimo Munari

{"title":"Risk Measures Based on Benchmark Loss Distributions","authors":"V. Bignozzi, Matteo Burzoni, Cosimo Munari","doi":"10.2139/ssrn.3088423","DOIUrl":"https://doi.org/10.2139/ssrn.3088423","url":null,"abstract":"We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key ingredient is a benchmark loss distribution (BLD), i.e.~a function that associates to each potential loss a maximal acceptable probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that is required to align the loss distribution of a risky position to the target BLD. By design, one has full flexibility in the choice of the BLD profile and, therefore, in the range of relevant quantiles. Special attention is given to piecewise constant functions and to tail distributions of benchmark random losses, in which case the acceptability condition imposed by the BLD boils down to first-order stochastic dominance. We provide a comprehensive study of the main finance theoretical and statistical properties of LVaR with a focus on their comparison with VaR and ES. Merits and drawbacks are discussed and applications to capital adequacy, portfolio risk management and catastrophic risk are presented.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116246919","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: 19