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Sell or Hold? On the Value of Non Performing Loans and Mandatory Write-Off Rules 卖出还是持有?论不良贷款的价值与强制核销制度
Risk Management eJournal Pub Date : 2021-05-17 DOI: 10.2139/ssrn.3705251
Florian Pauer, Stefan Pichler
{"title":"Sell or Hold? On the Value of Non Performing Loans and Mandatory Write-Off Rules","authors":"Florian Pauer, Stefan Pichler","doi":"10.2139/ssrn.3705251","DOIUrl":"https://doi.org/10.2139/ssrn.3705251","url":null,"abstract":"In this paper, we study the impact of mandatory write-off rules on a bank's reservation price<br>of a non-performing loan (NPL). We develop a model of information asymmetry in NPL markets<br>where agents are using risk neutral pricing. In contrast to existing literature, we assume<br>that agents agree on the expected recovery rate of an NPL. We show that differences in the<br>estimation accuracy of the drift of the underlying recovery rate process lead to valuation<br>differences. In the model, the differences in the precision when estimating the drift of the<br>underlying lead to differences in the aggregated variance of the payoff distribution. Since an<br>NPL's payoff function is nonlinear this results in different NPL valuations depending on this<br>precision parameter. This, in combination with capital adequacy requirements banks need<br>to maintain and funding costs they face leads to the result that a bank's reservation price of<br>an NPL might be below its own valuation.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115704742","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
Foundations & Quantitative Aspects of Operational Risk Modelling 操作风险建模的基础与定量方面
Risk Management eJournal Pub Date : 2021-05-14 DOI: 10.2139/ssrn.3846157
G. Peters
{"title":"Foundations & Quantitative Aspects of Operational Risk Modelling","authors":"G. Peters","doi":"10.2139/ssrn.3846157","DOIUrl":"https://doi.org/10.2139/ssrn.3846157","url":null,"abstract":"Presentation on fundamentals of Operational Risk Modelling. The core components of a quantitative operational risk modelling framework. Based on references:<br><br>1. Cruz MG, Peters GW, Shevchenko PV. Fundamental aspects of operational risk and insurance analytics: A handbook of operational risk. John Wiley &amp; Sons; 2015 Jan 29.<br><br>2. Peters GW, Shevchenko PV. Advances in heavy tailed risk modeling: A handbook of operational risk. John Wiley &amp; Sons; 2015 May 5.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133812954","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
Default Contagion in a Two-Tree Economy 两树经济中的违约传染
Risk Management eJournal Pub Date : 2021-05-05 DOI: 10.2139/ssrn.3839885
Jan Ericsson, A. Jeanneret, Yi-Chen Lu
{"title":"Default Contagion in a Two-Tree Economy","authors":"Jan Ericsson, A. Jeanneret, Yi-Chen Lu","doi":"10.2139/ssrn.3839885","DOIUrl":"https://doi.org/10.2139/ssrn.3839885","url":null,"abstract":"We propose an explanation for default contagion based on a Lucas model with two independent debt-financed trees. The transmission mechanism is that variations in the size of one tree impact the level of risk premium and the default decision for all borrowers. If a negative shock hits one tree, the other tree contributes to a larger proportion of aggregate consumption and thus bears more systematic risk. The resulting higher risk premium increases the cost of debt and tilts that borrower's decision towards default. This mechanism induces contagion in default probabilities, leverage, and financial volatility across borrowers with uncorrelated fundamentals. The effect is stronger for borrowers with greater rollover needs.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"174 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127396963","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
Estimating Future VaR from Value Samples and Applications to Future Initial Margin 从价值样本和应用到未来初始保证金估计未来VaR
Risk Management eJournal Pub Date : 2021-04-23 DOI: 10.2139/ssrn.3832972
N. Ganesan, B. Hientzsch
{"title":"Estimating Future VaR from Value Samples and Applications to Future Initial Margin","authors":"N. Ganesan, B. Hientzsch","doi":"10.2139/ssrn.3832972","DOIUrl":"https://doi.org/10.2139/ssrn.3832972","url":null,"abstract":"Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty credit risk and future market risk VaR. One is also interested in derived quantities such as: i) Dynamic Initial Margin (DIM) and Margin Value Adjustment (MVA) in the counterparty risk context; and ii) risk weighted assets (RWA) and Capital Value Adjustment (KVA) for market risk. This paper describes several methods that can be used to predict fVaRs. We begin with the Nested MC-empirical quantile method as benchmark, but it is too computationally intensive for routine use. We review several known methods and discuss their novel applications to the problem at hand.<br><br>The techniques considered include computing percentiles from distributions (Normal and Johnson) that were matched to parametric moments or percentile estimates, quantile regressions methods, and others with more specific assumptions or requirements.<br><br>We also consider how limited inner simulations can be used to improve the performance of these techniques. The paper also provides illustrations, results, and visualizations of intermediate and final results for the various approaches and methods.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122109528","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 Black-Karasinski Model: Thirty Years On 布莱克-卡拉辛斯基模型:三十年过去了
Risk Management eJournal Pub Date : 2021-04-15 DOI: 10.2139/ssrn.3827452
C. Turfus, Piotr Karasinski
{"title":"The Black-Karasinski Model: Thirty Years On","authors":"C. Turfus, Piotr Karasinski","doi":"10.2139/ssrn.3827452","DOIUrl":"https://doi.org/10.2139/ssrn.3827452","url":null,"abstract":"This year marks the thirtieth anniversary of the publication of the seminal short rate model of Black and Karasinski [1991]. We look back over the early career of its co-originator Piotr Karasinski and record his story of how the model came to be developed, going on to review the impact it had subsequently, and the reasons behind the revival of interest which has been evident in recent years.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128764832","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
Hedging and Competition 对冲与竞争
Risk Management eJournal Pub Date : 2021-04-10 DOI: 10.2139/ssrn.3802342
Erasmo Giambona, Anil Kumar, G. Phillips
{"title":"Hedging and Competition","authors":"Erasmo Giambona, Anil Kumar, G. Phillips","doi":"10.2139/ssrn.3802342","DOIUrl":"https://doi.org/10.2139/ssrn.3802342","url":null,"abstract":"We study how risk management through hedging impacts firms and competition among firms in the life insurance industry - an industry with over 7 Trillion in assets and over 1,000 private and public firms. We show that firms that are likely to face costly external finance increase hedging after staggered state-level financial reform that reduces the costs of hedging. After hedging, these firms have lower risk and fewer negative income shocks. Post market reform, product market competition is also impacted. Firms that are previously more likely to face costly external finance, lower price, increase policy sales and market share relative to unaffected companies. The results are consistent with hedging allowing firms that face potential costly financial distress to decrease risk and become more competitive.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"111 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134067468","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
A General Method for Analysis and Valuation of Drawdown Risk under Markov Models 马尔可夫模型下降风险分析与评估的一般方法
Risk Management eJournal Pub Date : 2021-04-01 DOI: 10.2139/ssrn.3817591
Gongqiu Zhang, Lingfei Li
{"title":"A General Method for Analysis and Valuation of Drawdown Risk under Markov Models","authors":"Gongqiu Zhang, Lingfei Li","doi":"10.2139/ssrn.3817591","DOIUrl":"https://doi.org/10.2139/ssrn.3817591","url":null,"abstract":"Drawdown risk is a major concern in financial markets. We develop a novel algorithm to solve the first passage problem of the drawdown process of general one-dimensional time-homogeneous Markov processes. We compute its Laplace transform based on continuous time Markov chain (CTMC) approximation and numerically invert the Laplace transform to obtain the first passage probabilities and the distribution of the maximum drawdown. We prove convergence of our algorithm for general Markovian models and provide sharp estimate of the convergence rate for a general class of jump-diffusion models. We apply the algorithm to calculate the Calmar ratio for investment analysis, price maximum drawdown derivatives and hedge the risk of selling such derivatives with a highly volatile asset as the underlying. Various numerical experiments document the computational efficiency of our method. We also develop extensions to solve the drawdown problem in models with time dependence or stochastic volatility or regime switching and for portfolio drawdown analysis.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123778152","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
The Effect of the Balance Sheet Approach on the Usefulness of Accounting Information in Assessing Bank Default Risk 资产负债表法对银行违约风险评估中会计信息有用性的影响
Risk Management eJournal Pub Date : 2021-03-31 DOI: 10.2139/ssrn.3828678
Peter R. Demerjian, Kodai Ito, Akinobu Shuto
{"title":"The Effect of the Balance Sheet Approach on the Usefulness of Accounting Information in Assessing Bank Default Risk","authors":"Peter R. Demerjian, Kodai Ito, Akinobu Shuto","doi":"10.2139/ssrn.3828678","DOIUrl":"https://doi.org/10.2139/ssrn.3828678","url":null,"abstract":"This study investigates the effect of the balance sheet approach, where financial reporting focuses on asset and liability valuation, on the usefulness of the capital adequacy ratio in the evaluation of bank default risk by credit rating agencies. We examine Japanese banks, which play the central role in the Japanese economy, and whose capital adequacy ratios are affected by the fair value measurement under the balance sheet approach. We adopt Demerjian’s (2011) approach to develop a bank-level measure of balance sheet focus. Although we find a significant positive correlation between the slack of the regulatory capital adequacy ratio and issuer rating, we find that this positive correlation is significantly weakened as a bank’s dependence on the balance sheet approach increases. The results suggest that the regulatory capital adequacy ratio based on a bank’s accounting information provides useful information for the evaluation of default risk but that rating agencies discount capital information that relies heavily on the balance sheet approach when estimating a bank’s default risk.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121806732","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
Valuating Consumer Credit Portfolios 评估消费者信贷组合
Risk Management eJournal Pub Date : 2021-03-25 DOI: 10.2139/ssrn.3813412
Pedro Piccoli
{"title":"Valuating Consumer Credit Portfolios","authors":"Pedro Piccoli","doi":"10.2139/ssrn.3813412","DOIUrl":"https://doi.org/10.2139/ssrn.3813412","url":null,"abstract":"This paper proposes a model in which the borrower credit risk is associated with the cash flow method to assess the economic value of a consumer credit portfolio. A Monte Carlo simulation applying the method in an illustrative loan reveals that the lending standards of the institution, captured in the model by the expected and unexpected losses of the contract according to the Basel II Internal Rating Based Approach, is a key driver for the intrinsic value of the portfolio, lending support to the evidence that a bank’s credit policy and bank valuation are associated","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132503971","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
Tail Properties of Distributions and Applications 分布和应用程序的尾部属性
Risk Management eJournal Pub Date : 2021-03-16 DOI: 10.2139/ssrn.3805916
Christos Floros, Konstantinos Gkillas, Christos E. Kountzakis
{"title":"Tail Properties of Distributions and Applications","authors":"Christos Floros, Konstantinos Gkillas, Christos E. Kountzakis","doi":"10.2139/ssrn.3805916","DOIUrl":"https://doi.org/10.2139/ssrn.3805916","url":null,"abstract":"In this paper we deduce some useful results about Tail Properties of Distributions and their applications in risk theory and risk management.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133450169","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
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