Probabilidad De Incumplimiento E Indicadores De Riesgo En La Banca Europea Un Enfoque Regulatorio
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Probabilidad De Incumplimiento E Indicadores De Riesgo En La Banca Europea Un Enfoque Regulatorio
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Author : Purificación Parrado-Martínez
language : es
Publisher: Ed. Universidad de Cantabria
Release Date : 2019-02-15
Probabilidad De Incumplimiento E Indicadores De Riesgo En La Banca Europea Un Enfoque Regulatorio written by Purificación Parrado-Martínez and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-15 with Business & Economics categories.
Este proyecto de investigación propone la estimación de una nueva medida de riesgo bancario que considera el actual marco regulatorio de Basilea, la Probabilidad de Incumplimiento (Probability of Default- PD) estimada a partir del modelo SYMBOL (SYstemic Model of Bank Originated Losses). Tomando como referencia bancos cotizados europeos, analizamos las relaciones existentes entre los indicadores de riesgo bancario establecidos por la Autoridad Bancaria Europea (EBA), y la nueva medida de probabilidad de incumplimiento. Los análisis apoyan el uso conjunto de la PD basada en el modelo SYMBOL con los indicadores de riesgo propuestos por la EBA, para un análisis más completo de las pérdidas bancarias inesperadas. Además, nuestros resultados pueden ser útiles para diseñar nuevas regulaciones centradas en los factores claves del negocio bancario que afectan a la probabilidad de impago, como adecuación de capital, calidad de los activos y rentabilidad.
Three Essays In Financial Markets The Bright Side Of Financial Derivatives Options Trading And Firm Innovation
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Author : Iván Blanco
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2019-02-15
Three Essays In Financial Markets The Bright Side Of Financial Derivatives Options Trading And Firm Innovation written by Iván Blanco and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-15 with Business & Economics categories.
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.
Sample Size Skewness And Leverage Effects In Value At Risk And Expected Shortfall Estimation
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Author : Laura García Jorcano
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2020-02-24
Sample Size Skewness And Leverage Effects In Value At Risk And Expected Shortfall Estimation written by Laura García Jorcano and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-24 with Business & Economics categories.
The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues related to the implementation of the Basel Committee's guidelines on some aspects of which very little is known in the academic world and in the specialized financial sector. In the first chapter, a numerical correction is proposed on the values usually estimatedwhen there is little statistical information, either because it is a financial asset (bond, investment fund...) recently created or issued, or because the nature or the structure of the asset or portfolio have recently changed. The second chapter analyzes the relevance of different aspects of risk modeling. The third and last chapter provides a characterization of the preferable methodology to comply with Basel requirements related to the backtesting of the Expected Shortfall.
Analyzing Banking Risk
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Author : Hennie van Greuning
language : en
Publisher: World Bank Publications
Release Date : 2009-03-31
Analyzing Banking Risk written by Hennie van Greuning and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-03-31 with Business & Economics categories.
This book provides a comprehensive overview of topics focusing on assessment, analysis, and management of financial risks in banking. The publication emphasizes risk-management principles and stresses that key players in the corporate governance process are accountable for managing the different dimensions of financial risk. This third edition remains faithful to the objectives of the original publication. A significant new edition is the inclusion of chapters on the management of the treasury function. Advances made by the Basel Committee on Banking Supervision are reflected in the chapters on capital adequacy, transparency, and banking supervision. This publication should be of interest to a wide body of users of bank financial data. The target audience includes persons responsible for the analysis of banks and for the senior management or organizations directing their efforts.
Public Sector Debt Statistics
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2011-12-08
Public Sector Debt Statistics written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-08 with Business & Economics categories.
The global financial crisis of recent years and the associated large fiscal deficits and debt levels that have impacted many countries underscores the importance of reliable and timely government statistics and, more broadly, public sector debt as a critical element in countries fiscal and external sustainability. Public Sector Debt Statistics is the first international guide of its kind, and its primary objectives are to improve the quality and timeliness of key debt statistics and promote a convergence of recording practices to foster international comparability and as a reference for national compilers and users for compiling and disseminating these data. Like other statistical guides published by the IMF, this one was prepared in consultation with countries and international agencies, including the nine organizations of the Inter-Agency Task Force on Finance Statistics (TFFS). The guide's preparation was based on the broad range of experience of our institutions and benefitted from consultation with national compilers of government finance and public sector debt statistics. The guide's concepts are harmonized with those of the System of National Accounts (2008) and the Balance of Payments and International Investment Position Manual, Sixth Edition.
Balance Of Payments Manual
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2005-11-16
Balance Of Payments Manual written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-11-16 with Business & Economics categories.
The fifth edition of Balance of Payments Manual, issued in 1993, presents revised and updated standards for concepts, definitions, classifications, and conventions for compilation of balance of payments and international investment position statistics that reflect the widespread changes that have taken place in international transactions since the fouth edition was published in 1977. As the international standard, the Manual serves as a guide for IMF member countries that regularly report balance of payments data to the IMF. The Manual contains significantly expanded and restructured coverage of financial flows and stocks and international transactions in services. Harmonization with the System of National Accounts and other IMF statistical systems is also greatly increased. See also companion volumes, the Balance of Payments Compilation Guide and the Balance of Payments Textbook.
Financial Inclusion At The Bottom Of The Pyramid
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Author : Carol Realini
language : en
Publisher: FriesenPress
Release Date : 2015
Financial Inclusion At The Bottom Of The Pyramid written by Carol Realini and has been published by FriesenPress this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Business & Economics categories.
As incredible as it may seem in this hyper-connected, technologically advanced era, half the planet's population exist as "Financial nomads"-those who nourish and shelter themselves without using traditional banking services. While the wealthy live at the top of a metaphorical pyramid, taking financial security and banking services for granted, there are billions of people who struggle at the pyramid's base in an exhausting state of financial exclusion and insecurity. Times are changing rapidly, but despite global uncertainty, technology has the capacity to reach and equip people in all walks of life. Advances in communications have reconfigured the ease with which we interact with our money-and these advances can provide innovative financial services to the unbanked and underserved around the world. Financial inclusion for all is indeed within our reach, and with this conviction, authors Karl Mehta and Carol Realini propose a vision for a better world and a blueprint to get there....
Revisiting Risk Weighted Assets
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Author : Vanessa Le Leslé
language : en
Publisher: International Monetary Fund
Release Date : 2012-03-01
Revisiting Risk Weighted Assets written by Vanessa Le Leslé and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-01 with Business & Economics categories.
In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Recursos Naturales Medio Ambiente Y Sostenibilidad
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Author : United Nations
language : es
Publisher: United Nations
Release Date : 2019-10-14
Recursos Naturales Medio Ambiente Y Sostenibilidad written by United Nations and has been published by United Nations this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-14 with Political Science categories.
La producción intelectual de la CEPAL en sus 70 años de existencia ha sido vasta en distintos ámbitos del desarrollo. En este libro se analizan y contextualizan los principales hitos e ideas del pensamiento económico de la CEPAL sobre recursos naturales, medio ambiente y sostenibilidad, organizados en las dos grandes etapas que han caracterizado la vida institucional: la estructuralista (1948-1990) y la neoestructuralista (de 1990 en adelante). A partir de una revisión sistemática de la literatura, se destacan ideas como el vínculo entre la especialización productiva en recursos naturales y los términos de intercambio desfavorables, formulada en los años cincuenta; la soberanía sobre los recursos naturales, en los sesenta; la enunciación temprana del principio de responsabilidades comunes pero diferenciadas, en los setenta; los estilos de desarrollo y medio ambiente, en los ochenta; la competitividad espuria, en los noventa, y la gobernanza de los recursos naturales, el estilo de desarrollo sostenible con igualdad y el gran impulso ambiental, en las dos primeras décadas del siglo XXI. El pensamiento neoestructuralista de la CEPAL es dinámico, abierto y se renueva permanentemente sin perder su tradición estructuralista. El libro aporta también elementos conceptuales para formular un neoestructuralismo ecológico.
Rapport Annuel 2018
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Author :
language : fr
Publisher:
Release Date : 2018
Rapport Annuel 2018 written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Le Rapport annuel 2018 offre un compte rendu complet des activités menées par l'OMC en 2017 et au début de 2018. Il commence par un message du Directeur général de l'OMC, Roberto Azevêdo. Il donne ensuite un bref aperçu de l'année 2017 et une description plus détaillée des domaines d'activité de l'Organisation au cours des 12 derniers mois. Des gros plans sont faits sur les principaux événements et activités organisés à l'OMC, y compris la onzième Conférence ministérielle de l'Organisation, qui s'est tenue à Buenos Aires.