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Author : Patricio Augusto Contreras
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Risk Measurement written by Patricio Augusto Contreras and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sylvain Benoit
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (945 download)
Download or read book Three Essays on Systemic Risk written by Sylvain Benoit and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Systemic risk has played a key role in the propagation of the last global financial crisis. A large number ofsystemic risk measures have been developed to quantify the contribution of a financial institution to thesystem-wide risk. However, numerous questions about their abilities to identify Systemically ImportantFinancial Institutions (SIFIs) have been raised since systemic risk has multiple facets, and some of themare difficult to gauge, such as the commonalities across financial institutions.The main goal of this dissertation in finance is thus (i) to propose an empirical solution to identifydomestic SIFIs, (ii) to compare theoretically and empirically different systemic risk measures, and (iii)to measure changes in banks' risk exposures.First, chapter 1 offers an adjustment of three market-based systemic risk measures, designed in a globalframework, to identify domestic SIFIs. Second, chapter 2 introduces a common framework in whichseveral systemic risk measures are expressed and compared. It is theoretically shown that those systemicrisk measures can be expressed as function of traditional risk measures. The empirical application confirmsthese findings and shows that these measures fall short in capturing the multifaceted nature of systemicrisk. Third, chapter 3 proposes the Factor Implied Risk Exposures (FIRE) methodology which breaksdown a change in risk disclosure into a market volatility component and a bank-specific risk exposurecomponent. This chapter empirically illustrates that changes in risk exposures are positively correlatedacross banks, which is consistent with banks exhibiting commonality in trading.
Author : Burkhard Norbert Schrage
Publisher :
ISBN 13 :
Total Pages : 182 pages
Book Rating : 4.:/5 (553 download)
Download or read book Three Essays on Investment and Risk Assessment in Emerging-market Countries written by Burkhard Norbert Schrage and published by . This book was released on 2002 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qin Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (915 download)
Download or read book Three Essays on Aggregate and Disaggregate Price Risk Measurement and Explanation for Chinese Major Grains written by Qin Chen and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aggregate Price Risk -- Economic Approach to Index Numbers -- Chinese Major Grains -- Disaggregate Price Risk -- Economic and Non-Economic Factor.
Author : David Fritz
Publisher : Books on Demand
ISBN 13 : 9783746096599
Total Pages : 224 pages
Book Rating : 4.0/5 (965 download)
Download or read book Essays on Qualitative and Quantitative Risk Management written by David Fritz and published by Books on Demand. This book was released on 2018-02-09 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on the Ph.D. thesis "Essays on Qualitative and Quantitative Risk Management" written by the author of this book. It consists out of three essays on text mining applications in finance and the validation of a credit risk model. To be more precise, the three essays address the following research questions: What kind of text mining measures are suitable in the finance area for analyzing text such as annual reports and can we use these measures to predict short-term performance or the reporting quality? Can we measure the tone of a document by using automatically calculated sentiment scores? How can we build a sentiment score, that captures keywords within a larger context? Do the chapters/sections of an annual report have a different influence on the whole content of the report? How can banks validate their credit risk model with a special focus on an analytical model? This book addresses practitioners, consultants, analysts, and bankers as well as students, researchers, and lecturers with focus on text mining applications in finance and the validation of credit risk models.
Author : Lili Sun
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.:/5 (569 download)
Download or read book Three Essays on Audit Risk Assessment written by Lili Sun and published by . This book was released on 2004 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jian Hu
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (319 download)
Download or read book Three Essays on Bank Risks written by Jian Hu and published by . This book was released on 1999 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Byong-Ju Lee
Publisher : Stanford University
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.F/5 ( download)
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by Stanford University. This book was released on 2011 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Author : Carlos Sandoval Moreno
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (117 download)
Download or read book Three Essays on Poverty Measurement and Risk Protection written by Carlos Sandoval Moreno and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bo-Young Chang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (713 download)
Download or read book Three Essays on Option-implied Risk Measures and Equity Pricing written by Bo-Young Chang and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carlos Eduardo Sandoval
Publisher :
ISBN 13 : 9789056686130
Total Pages : 231 pages
Book Rating : 4.6/5 (861 download)
Download or read book Three Essays on Poverty Measurement and Risk Protection written by Carlos Eduardo Sandoval and published by . This book was released on 2019 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ibolya Schindele
Publisher : Rozenberg Publishers
ISBN 13 : 9051709471
Total Pages : 181 pages
Book Rating : 4.0/5 (517 download)
Download or read book Three essays on venture capital contracting written by Ibolya Schindele and published by Rozenberg Publishers. This book was released on 2005 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Clemens Mueller
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays in the Theory of Credit Risk written by Clemens Mueller and published by . This book was released on 2000 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ousayna Zreik
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (96 download)
Download or read book Three Essays on Risk Disclosure written by Ousayna Zreik and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Ph.D. dissertation explores the effect of the communication of risk on several factors in the French market. To measure communication about risk, we used content analysis. We developed a new method of measurement by using several word lists to capture different types of ambiguity and risk reporting (67 environmental and social responsibility words, 889 legal and government-regulation words, 2184 negative words, 306 uncertain words, 25 opportunity words, and 32 weak words). This thesis is organized into three chapters. The first chapter is devoted to studying the effect of risk communication on firm liquidity. The results show that an intense tone of risk and uncertain information in annual reports negatively affect liquidity. In the second chapter, we examine the effect of risk communication on companies' reputations. We detect that risk reporting positively affects reputation. This result is robust for alternative empirical models (pooled OLS, fixed effects, and random effects) as well as for alternative measurements of reputation. In addition, we explore the risk-reporting behaviors of very high- and low-risk companies. We find that risk-disclosure behavior is sensitive to a company's level of risk. The third chapter is dedicated to analyzing the effect of risk communication on company risks (unsystematic, systematic, and total risk). We find that risk communication is associated positively with systematic risk, and negatively with unsystematic risk. In contrast, during the financial crisis of 2008, we find a negative association between risk communication on the one hand and unsystematic and total risk on the other hand. Moreover, we observe that high-risk firms will not reduce their risks through more communication about risk.
Author : Iván Blanco
Publisher : Ed. Universidad de Cantabria
ISBN 13 : 8481028770
Total Pages : 90 pages
Book Rating : 4.4/5 (81 download)
Download or read book Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation written by Iván Blanco and published by Ed. Universidad de Cantabria. This book was released on 2019-02-15 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Author : Xiaolong Liu
Publisher : Rozenberg Publishers
ISBN 13 : 9036101999
Total Pages : 132 pages
Book Rating : 4.0/5 (361 download)
Download or read book Three essays on real estate finance written by Xiaolong Liu and published by Rozenberg Publishers. This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Simone Bernardi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Three Essays on Regulatory, Market, and Estimation Risk written by Simone Bernardi and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
