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  1. The VaR implementation handbook
    Erschienen: 2009
    Verlag:  McGraw-Hill Professional, New York, NY [u.a.]

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    Universitätsbibliothek Osnabrück
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    QED / Gre
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Druck
    ISBN: 007161513X; 9780071615136
    RVK Klassifikation: QK 640
    Schlagworte: Risikomaß; Risikomanagement; Portfolio-Management; Bank; Versicherung; Financial risk management; Financial risk management; Asset-liability management; Asset-liability management; Unternehmen; Aktiva; Passiva; Kapitalstruktur; Risikoanalyse; Simulation
    Umfang: XXX, 528 S., graph. Darst.
    Bemerkung(en):

    Enth. 23 Beitr. - Literaturangaben

    Calculating VaR for hedge funds / Monica Billio, Mila Getmansky, and Loriana Pelizzon -- Efficient VaR : using past forecast performance to generate improved VaR forecasts / Kevin Dowd and Carlos Blanco -- Applying VaR to hedge fund trading strategies : limitations and challenges / R. McFall Lamm Jr. -- Cash flow at risk : linking strategy and finance / Ulrich Hommel -- Plausible operational value-at-risk calculations for management decision making / Wilhelm Kross, Ulrich Hommel, and Martin Wiethuechter -- Value-at-risk performance criterion : a performance measure for evaluating value-at-risk models / Zeno Adams and Roland Füss -- Explaining cross-sectional differences in credit default swap spreads : an alternative approach using value at risk / Bastian Breitenfellner and Niklas Wagner -- Some advanced approaches to VaR calculation and measurement / François-Éric Racicot and Raymond Théoret -- Computational aspects of value at risk / Germán Navarro and Ignacio Olmeda -- Value-at-risk-based stop-loss trading / Bernd Scherer -- Modeling portfolio risks with time-dependent default rates in venture capital / Andreas Kemmerer, Jan Rietzschel, and Henry Schoenball -- Risk aggregation and computation of total economic capital / Peter Grundke -- Value at risk for high-dimensional portfolios : a dynamic grouped t-copula approach / Dean Fantazzini -- A model to measure portfolio risks in venture capital / Andreas Kemmerer -- Risk measures and their applications in asset management / S. Ilker Birbil ... [et al.] -- Risk evaluation of sectors traded at the ISE with VaR analysis / Mehmet Orhan and Gökhan Karaahmet -- Aggregating and combining ratings / Rafael Wei€bach, Frederik Kramer, and Claudia Lawrenz -- Risk-mananging the uncertainty in VaR model parameters / Jason C. Hsu and Vitali Kalesnik -- Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective / David E. Allen and Robert Powell -- Model risk in VAR calculations / Peter Schaller -- Option pricing with constant and time-varying volatility / Willi Semmler and Karim M. Youssef -- Value at risk under heterogeneous investment horizons and spatial relations / Viviana Fernandez -- How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application / Erick W. Rengifo and Emanuela Trifan.
  2. China's asset management corporations
    Autor*in: Ma, Guonan; Fung, Ben Siu-cheong
    Erschienen: 2002
    Verlag:  Bank for International Settlements, Basel

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    Sprache: Englisch
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    Schriftenreihe: BIS working paper ; 115
    Schlagworte: Bankenkrise; Bankinsolvenz; Bankenliquidität; Kreditrisiko; Bankenaufsicht; China; Bank loans; Asset-liability management; Bank loans; Asset-liability management
    Umfang: 21 S, graph. Darst
    Bemerkung(en):

    Literaturverz
  3. Unternehmensbewertung von Banken
    eine Analyse der Auswirkungen der neuen aufsichtsrechtlichen Regeln für Banken ("Basel III")
    Autor*in: Breitenkamp, Stephan; Schöning, Stephan
    Erschienen: 2012
    Verlag:  Wissenschaftliche Hochschule, Lahr

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    2012 B 25520
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    Badische Landesbibliothek
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    Duale Hochschule Baden-Württemberg Lörrach, Zentralbibliothek
    Signatur:
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    Standort:
    Duale Hochschule Baden-Württemberg Ravensburg, Bibliothek
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    Duale Hochschule Baden-Württemberg Stuttgart, Bibliothek
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    Standort:
    Universität Ulm, Kommunikations- und Informationszentrum, Bibliotheksservices
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    Sprache: Deutsch
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    ISBN: 9783866921924
    Schriftenreihe: Schriften der Wissenschaftlichen Hochschule Lahr ; 38
    Schlagworte: Unternehmensbewertung; Basler Akkord; Wirkungsanalyse; Bank; Banks and banking; Asset-liability management; Asset-liability management; Banks and banking
    Umfang: IX, 127 Bl., graph. Darst.
    Bemerkung(en):

    Literaturangaben
  4. China's asset management corporations
    Autor*in: Ma, Guonan; Fung, Ben Siu-cheong
    Erschienen: 2002
    Verlag:  Bank for International Settlements, Basel

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    Universität des Saarlandes, Wirtschaftswissenschaftliche Seminarbibliothek, Volkswirtschaftliche Abteilung
    Signatur:
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    Sprache: Englisch
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    Schriftenreihe: BIS working paper ; 115
    Schlagworte: Bankenkrise; Bankinsolvenz; Bankenliquidität; Kreditrisiko; Bankenaufsicht; China; Bank loans; Asset-liability management; Bank loans; Asset-liability management
    Umfang: 21 S, graph. Darst
    Bemerkung(en):

    Literaturverz
  5. Liability valuation and optimal asset allocation
    Autor*in: Inkmann, Joachim; Blake, David
    Erschienen: 2004

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Discussion paper series / LSE Financial Markets Group ; 507
    UBS paper ; 27
    Schlagworte: Portfolio-Management; Diskontierung; Rentenfinanzierung; Pensionskasse; Betriebliche Altersversorgung; USA; Asset-liability management; Intangible property; Asset allocation
    Umfang: 27 S, graph. Darst
  6. Unconventional monetary policy and asset price risk
    Autor*in: Roache, Shaun K.; Rousset, Marina V.
    Erschienen: 2013
    Verlag:  IMF, Washington, DC

    We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index,... mehr

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    Hochschulbibliothek Friedensau
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    Hochschule für Wirtschaft und Umwelt Nürtingen-Geislingen, Bibliothek Nürtingen
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    We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that ?tail risk? diminishes in the immediate aftermath of UMP events, particularly downside left tail risk. We also find that QE1 and QE3 had stronger effects than QE2. We conclude that UMP events that serve to ease policies can help to bolster market confidence in times of high uncertainty

     
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    Medientyp: Ebook
    Format: Online
    ISBN: 9781484383230
    Schriftenreihe: IMF working paper ; 13/190
    IMF Working Papers
    Schlagworte: Geldpolitik; Terminbörse; Optionspreistheorie; Ereignisstudie; USA; Monetary policy; Asset-liability management; Electronic books
    Umfang: Online-Ressource (25 S.), graph. Darst.
    Bemerkung(en):

    Description based upon print version of record

    Cover; Contents; I. Introduction; II. Unconventional Monetary Policy and Asset Prices; A. Defining Unconventional Monetary Policies; B. Recent Empirical Findings; III. Methodology; A. Theory of Risk Neutral Distributions; B. Estimation of Risk Neutral Distributions; C. Event Study Methodology; IV. Data; A. Financial Data; B. Monetary Policy Events; V. Results and Discussion; A. Results; B. Discussion; C. Case Study: Federal Reserve Announcement of the TALF Facility; VI. Conclusion; References; Appendix Tables; Table 1. Spot Delivery and Derivative Contract Specifications

    Table 2. Monetary Policy Event Dates, November 2008-September 2012Table 3. Change Over the Event Date; Table 4. Change 10 Days after the Event Date; Appendix Figures; Panel 1. Estimated UMP Impact Coefficients and 95 Percent Confidence Intervals 2008-12; Panel 2. Estimated UMP Impact Coefficients and 95 Percent Confidence Intervals by UMP Phase: QE1, QE2, and QE3; Panel 3. Estimated UMP Impact Coefficients Including Initial Conditions and 95 Percent Confidence Intervals; Panel 4. Probability Density Functions for Selected Assets: Event 1
  7. Database structure for a multi stage stochastic optimization based decision support system for asset
    liability management of a life insurance company
    Autor*in: Rao, Harish V.; Dutta, Goutam; Basu, Sankarshan
    Erschienen: 2014
    Verlag:  IIMA, Ahmedabad

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    Format: Online
    Schriftenreihe: Working paper / Indian Institute of Management Ahmedabad ; 2014,06,02
    Schlagworte: Asset-liability management
    Umfang: Online-Ressource (37 S.)
  8. Banking sector reforms and NPA
    a study of Indian commercial banks
    Autor*in: Rajeev, Meenakshi; Mahesh, H. P.
    Erschienen: 2010
    Verlag:  Institute for Social and Economic Change, Bangalore

    The issue of non-performing assets (NPA), the root cause of the recent global financial crisis, has been drawing the attention of the policy makers and academicians alike. The problem of NPAs, which was ignored till recently,has been given... mehr

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    The issue of non-performing assets (NPA), the root cause of the recent global financial crisis, has been drawing the attention of the policy makers and academicians alike. The problem of NPAs, which was ignored till recently,has been given considerable attention after liberalisation of the financial sector in India. This exploratory paper examines the trends of NPAs in India from various dimensions and explains how mere recognition of the problem and self-monitoring has been able to reduce it to a great extent. It also shows that public sector banks in India, which function to some extent with welfare motives, have as good a record in reducing NPAs as their counterparts in the private sector. The paper also discusses the role of joint liability groups (JLGs) or self help groups (SHGs) in enhancing the loan recovery rate.

     
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    ISBN: 9788177911084
    Schriftenreihe: Working paper / Institute for Social and Economic Change ; 252
    Schlagworte: Notleidender Kredit; Bankenregulierung; Wirkungsanalyse; Indien; Banks and banking; Asset-liability management
    Umfang: 15 S., graph. Darst.
    Bemerkung(en):

    NPA = Non-Performing Assets
  9. Bank asset valuation and risk in Australasia
    the market's evaluation
    Autor*in: Eckhold, Kelly R.
    Erschienen: 1994

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 931 (94.1)
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    Schriftenreihe: Array ; 94,1
    Schlagworte: Bank; Börsenkurs; CAPM; Australien; Neuseeland; Singapur; Bank stocks; Asset-liability management
    Umfang: 40 S. : graph. Darst
  10. Sovereign risk and asset and liability management
    conceptual issues
    Erschienen: 2012
    Verlag:  Internat. Monetary Fund, Washington, DC

    Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses... mehr

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    Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the current generation of sovereign asset and liability management (SALM) approaches, including objectives, definitions of relevant assets and liabilities, and methodologies used in obtaining optimal SALM outcomes. These elements are used in developing an analytical SALM framework which could become an operationa

     
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    ISBN: 9781475511833; 9781475512526
    Schriftenreihe: IMF working paper ; 12/241
    IMF Working Papers
    Schlagworte: Länderrisiko; Portfolio-Management; Asset-liability management; Financial statements; Electronic books
    Umfang: Online-Ressource (PDF-Datei: 43 S., 1,227 KB), graph. Darst.
    Bemerkung(en):

    "October 2012

    Includes bibliographical references

    Electronic reproduction; Available via World Wide Web

    Cover; Contents; I. Introduction; Figures; 1. Sovereign Asset and Liability Management Framework; II. Elements of an Sovereign Asset and Liability Management Framework; Boxes; 1. Comparison of Risk Management Approaches for Sovereigns and the Private Sector; A. Defining Sovereign Asset and Liability Management Objectives; B. Defining Relevant Assets and Liabilities; Tables; 1. Government Balance Sheet: Government Finance Statistics Manual Definition; 2. Stylized Economic-Risk Balance Sheet of the Sovereign; C. Sovereign Asset and Liability Management Methodologies

    3. Stylized Sovereign Balance Sheet in the Contingent Claims Analysis4. Select Sovereign Asset and Liability Management Methodologies; D. Institutional Requirements; III. Country Experiences; A. Sovereign Balance Sheet and Sovereign Asset and Liability Management Objectives; B. Risk Management Framework; C. Institutional Setting; IV. Concluding Observations; References; Appendices; I. Select Sovereign Asset and Liability Management Methodologies; 2. Overview of Contingent Claims Analysis for the Sovereign

    II. Technical Issues in Sovereign Asset and Liability Management Modeling and Country Examples
  11. Can asset reconstruction companies (ARCs) be part solution to the Indian debt problem?
    Autor*in: Bhagwati, Jaimini; Khan, M. Shuheb; Bogathi, Ramakrishna Reddy
    Erschienen: April 2017
    Verlag:  Indian Council for Research on International Economic Relations, [New Delhi]

    The Indian debt overhang issue is one of the major reasons that fresh investments are currently not being made in the scale required to promote higher growth and boost employment. Among banks the public sector banks (PSBs) are burdened with the bulk... mehr

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    The Indian debt overhang issue is one of the major reasons that fresh investments are currently not being made in the scale required to promote higher growth and boost employment. Among banks the public sector banks (PSBs) are burdened with the bulk of net non-performing loans (NNPAs). These NNPAs are concentrated in long gestation projects, for example, in the steel, power and infrastructure sectors and most of the lending was to about 50 major borrowers. This paper details the approaches of other countries when their banking sectors were burdened with unsustainable levels of impaired assets. The paper examines the bad debt situation in India, the circumstances under which Asset Reconstruction Companies were registered and the changing regulatory requirements under which they have been operating in India. Till now, the extent to which ARCs have helped towards resolving the debt problem has been limited. Given that fixed costs in setting up ARCs have already been incurred this paper suggests how ARCs could play a catalytic and more significant role in addressing the debt overhang. The paper does not discuss the causal origins of Indian bad debt in any detail and is not intended to suggest comprehensive remedies to this debt problem.

     
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    Sprache: Englisch
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    Format: Online
    Weitere Identifier:
    hdl: 10419/176365
    Schriftenreihe: Working paper / Indian Council for Research on International Economic Relations ; 338
    Schlagworte: Asset-liability management; Banks and banking; Debts, Public; Debts, External
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen