Risk Management Magazine最新文献_第2页

Risk Management Magazine Pub Date : 2022-11-19 DOI: 10.47473/2020rmm0117

D. Curcio, I. Gianfrancesco, Annalisa Pansini, Alina Preger

{"title":"The new supervisory outlier test (SOT) on net interest income (NII): empirical evidence from a sample of Italian banks","authors":"D. Curcio, I. Gianfrancesco, Annalisa Pansini, Alina Preger","doi":"10.47473/2020rmm0117","DOIUrl":"https://doi.org/10.47473/2020rmm0117","url":null,"abstract":"This paper contributes to prior literature and to the current debate concerning the prudential supervisory framework to measure interest rate risk in the banking book (IRRBB), which has been significantly changed on April 2016, when the Basel Committee on Banking Supervision (BCBS) published the latest update of its measurement standards. The consultation launched by the European Banking Authority (EBA) on December 2021, aiming at introducing the supervisory outlier test (SOT) on net interest income (NII), presents several issues and policy implications which could influence in the next future banks' asset and liability management strategies, their internal control systems, risk policies and procedures. By analyzing a sample of 28 Italian commercial banks at the end of 2021, representing more than 70% of Italian baking system’s total assets , we observe that the thresholds proposed by the EBA appear very strict and significantly depend on: i) the sample considered, ii) the lower bound applied to interest rates in the downward scenarios and iii) the current level of interest rates term structure. Our results suggest that the proposed values should be considered with caution as it seems that their potential impacts have not been thoroughly assessed. Further analyses are therefore necessary to guarantee greater robustness of the methodology used for the calibration of the thresholds, taking also into account a wider sample of banks and longer time series, as well as the correlation between the two approaches.","PeriodicalId":296057,"journal":{"name":"Risk Management Magazine","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132328477","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 impact of negative interest rates on the pricing of options written on equity: a technical study for a suitable estimate of early termination 负利率对权益期权定价的影响:对提前终止的适当估计的技术研究

Risk Management Magazine Pub Date : 2022-11-19 DOI: 10.47473/2020rmm0116

A. Bottasso, P. Giribone, Lorenzo Bruno

{"title":"The impact of negative interest rates on the pricing of options written on equity: a technical study for a suitable estimate of early termination","authors":"A. Bottasso, P. Giribone, Lorenzo Bruno","doi":"10.47473/2020rmm0116","DOIUrl":"https://doi.org/10.47473/2020rmm0116","url":null,"abstract":"This work aims to investigate the main problems that impact the pricing models and the sensitivity measures of American options written on shares without a pay-out, in the presence of negative interest rates with a specific focus on the Monte Carlo method. The first paragraph carries out a review of the anomalies caused by such an odd condition and focuses thereafter on the core topic of the research by treating a wide range of numerical models suitable for unbiased evaluation of the early exercise, thus expanding the existing literature. The two following paragraphs are dedicated to describing the models used for the correct estimation of fair value: binomial lattice models (Cox-Ross-Rubinstein - CRR Tree, Leisen Reimer - LR Tree, Jarrow-Rudd - JR Tree and Tian Tree), trinomial stochastic trees, Finite Difference Method (FDM) scheme and the Longstaff-Schwartz Monte Carlo. Particular attention is paid to this last approach which allows to combine the flexibility of traditional numerical integration schemes for stochastic processes on equity with the estimation of the convenience of exercising the American option ahead of time. After conducting quantitative tests both on pricing and on the estimation of sensitivity measures, the LR Tree was selected as the most performing deterministic algorithm to be compared with the Monte Carlo stochastic technique. The final part of the work focuses on quantifying the valuation gap introduced by negative interest rates in the valuation of American options written on an unprofitable underlying comparing the traditional valuation approach and the deterministic Leisen Reimer model and the Longstaff-Schwartz stochastic model.","PeriodicalId":296057,"journal":{"name":"Risk Management Magazine","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133982001","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

Risk-Adjusted Loan Pricing 经风险调整的贷款定价

Risk Management Magazine Pub Date : 2022-11-19 DOI: 10.47473/2020rmm0115

Franco Fiordelisi, Carlo Palego, Annalisa Richetto, Giulia Scardozzi

引用次数: 0

Modello LGSR forward looking Modello LGSR前瞻性

Risk Management Magazine Pub Date : 2022-11-19 DOI: 10.47473/2020rmm0118

D. Cavallini, Francesco Letizia

{"title":"Modello LGSR forward looking","authors":"D. Cavallini, Francesco Letizia","doi":"10.47473/2020rmm0118","DOIUrl":"https://doi.org/10.47473/2020rmm0118","url":null,"abstract":"In this work, we propose a hierarchical model to introduce Forward-Looking effects on the Loss Given Default Rate (LGDR) estimate, as required by IFRS9. The Framework consists of two modules: a SURTS satellite model (Seemingly Unrelated Regressions Model Time Series), which analyses the dynamics of the systemic LGSR (bad loans LGDR) and a set of selected macroeconomic factors, and a Beta Inflated-(0,1) model which estimates the LGSR for the single entity. The basic hypotheses for the construction of the hierarchical model will also be illustrated, underlining how this approach is particularly relevant for LSIs (Less Significant Institutions). The theoretical aspects are followed by an application on a series released by the Bank of Italy, presenting the LGDR estimation process on an archive of closed bad loans by a set of banks belonging to the CABEL (ICT Service Provide) network. By way of example, we illustrate the forecast results for the three-year period 2022-2024 for the systemic LGDR. Other aspects related to the construction of LGDR models are addressed, such as the segmentation of the portfolios and the selection of individual attributes. In particular, we introduce the NPL vintage as an explanatory variable in the LGDR model, outlining the interconnections with the effects of macroeconomic projections.","PeriodicalId":296057,"journal":{"name":"Risk Management Magazine","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129767255","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

Implications of IFRS 17 in European financial stability: accounting methodology and evaluation modelling IFRS 17对欧洲金融稳定的影响:会计方法和评价模型

Risk Management Magazine Pub Date : 2022-11-19 DOI: 10.47473/2020rmm0114

Stefano de Nichilo

{"title":"Implications of IFRS 17 in European financial stability: accounting methodology and evaluation modelling","authors":"Stefano de Nichilo","doi":"10.47473/2020rmm0114","DOIUrl":"https://doi.org/10.47473/2020rmm0114","url":null,"abstract":"The purpose of this document is to provide an overview of IFRS 17 and its possible practices according to a context analysis conducted by EIOPA and ESMA. Furthermore, the implications of the standard will be evaluated with respect to a traditional life and pension products. This requires a deeper insight into the standard, the construction of fictive insurance product and the determination of measurements techniques. With the recent release of the standard, IFRS 17 is unexplored to many within the insurance industry. Thus, the effects of the standard on the financial statements of insurance companies and strategies for reaching objectives such as profit smoothing are yet unknown. Furthermore, the standard is principle based and does hence not specify a practice. Therefore, to determine a practice that complies with the standard and enables achievements of desired objectives is vital. In conclusion, IFRS 17 is expected to bring substantial benefits to financial stability in the EU, mainly through the transparency channel; the requirements in IFRS 17 may push insurance corporations to improve internal processes, including enhancing their internal risk management frameworks.","PeriodicalId":296057,"journal":{"name":"Risk Management Magazine","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116705578","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

Current and prospective estimate of counterparty risk through dynamic neural networks 基于动态神经网络的交易对手风险的当前和未来评估

Risk Management Magazine Pub Date : 2022-08-25 DOI: 10.47473/2020rmm0112

Alessio Agnese, P. Giribone, F. Querci

引用次数: 0

Overlaps between minimum requirements and capital buffers: the usability of the combined buffer requirement for Italian banks 最低要求与资本缓冲之间的重叠:意大利银行联合缓冲要求的可用性

Risk Management Magazine Pub Date : 2022-08-25 DOI: 10.47473/2020rmm0107

Wanda Cornacchia, G. Guerra

引用次数: 0

Machine Learning for Credit risk: three successful Case Histories 信用风险的机器学习:三个成功案例

Risk Management Magazine Pub Date : 2022-08-25 DOI: 10.47473/2020rmm0108

Paolo Di Biasi, Rita Gnutti, Andrea Resti, D. Vergari

引用次数: 0