Shortfall
DOWNLOAD
Download Shortfall PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Shortfall book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Shortfall
DOWNLOAD
Author : Alice Echols
language : en
Publisher: The New Press
Release Date : 2017-10-03
Shortfall written by Alice Echols and has been published by The New Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-03 with History categories.
The rollicking true story of a 1930s version of Bernie Madoff—and the building and loan crash he helped precipitate—in a wonderful work of narrative nonfiction by the Gustavus Myers book award winner Shortfall opens with a surprise discovery in an attic—boxes filled with letters and documents hidden for more than seventy years—and launches into a fast-paced story that uncovers the dark secrets in Echols’s family—an upside-down version of the building and loan story at the center of Frank Capra’s 1946 movie, It’s a Wonderful Life. In a narrative filled with colorful characters and profound insights into the American past, Shortfall is also the essential backstory to more recent financial crises, from the savings and loan debacle of the 1980s and 1990s to the subprime collapse of 2008. Shortfall chronicles the collapse of the building and loan industry during the Great Depression—a story told in microcosm through the firestorm that erupted in one hard-hit American city during the early 1930s. Over a six-month period in 1932, all four of the building and loan associations in Colorado Springs, Colorado, crashed in an awful domino-like fashion, leaving some of the town’s citizens destitute. The largest of these associations was owned by author Alice Echols’s grandfather, Walter Davis, who absconded with millions of dollars in a case that riveted the national media. This book tells the dramatic story of his rise and shocking fall.
Unexpected Shortfalls Of Expected Shortfall
DOWNLOAD
Author : Pablo Koch-Medina
language : en
Publisher:
Release Date : 2015
Unexpected Shortfalls Of Expected Shortfall written by Pablo Koch-Medina and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The purpose of this paper is to dispel some common misunderstandings about capital adequacy rules based on Expected Shortfall. We establish that, from a theoretical perspective, Expected Shortfall based regulation can provide a misleading assessment of tail behaviour, does not necessarily protect liability holders' interests much better than Value-at-Risk based regulation, and may also allow for regulatory arbitrage when used as a global solvency measure. We also show that, for a value-maximizing financial institution, the benefits derived from protecting its franchise may not be sufficient to disincentivize excessive risk taking. We further interpret our results in the context of portfolio risk measurement. Our results do not invalidate the possible merits of Expected Shortfall as a risk measure but instead highlight the need for its cautious use in the context of capital adequacy regimes and of portfolio risk control.
Hands On Value At Risk And Expected Shortfall
DOWNLOAD
Author : Martin Auer
language : en
Publisher: Springer
Release Date : 2018-02-01
Hands On Value At Risk And Expected Shortfall written by Martin Auer and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-01 with Business & Economics categories.
This book describes a maximally simple market risk model that is still practical and main risk measures like the value-at-risk and the expected shortfall. It outlines the model's (i) underlying math, (ii) daily operation, and (iii) implementation, while stripping away statistical overhead to keep the concepts accessible. The author selects and weighs the various model features, motivating the choices under real-world constraints, and addresses the evermore important handling of regulatory requirements. The book targets not only practitioners new to the field but also experienced market risk operators by suggesting useful data analysis procedures and implementation details. It furthermore addresses market risk consumers such as managers, traders, and compliance officers by making the model behavior intuitively transparent. A very useful guide to the theoretical and practical aspects of implementing and operating a risk-monitoring system for a mid-size financial institution. It sets a common body of knowledge to facilitate communication between risk managers, computer and investment specialists by bridging their diverse backgrounds. Giovanni Barone-Adesi — Professor, Universitá della Svizzera italiana This unassuming and insightful book starts from the basics and plainly brings the reader up to speed on both theory and implementation. Shane Hegarty — Director Trade Floor Risk Management, Scotiabank Visit the book’s website at www.value-at-risk.com.
Minimizing Shortfall
DOWNLOAD
Author : Lisa R. Goldberg
language : en
Publisher:
Release Date : 2016
Minimizing Shortfall written by Lisa R. Goldberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese equity markets using Barra Style Factors (Value, Growth, Momentum, etc.). We show that minimizing shortfall generally improves performance over minimizing variance, especially during down-markets, over the period 1985-2010. The outperformance of shortfall is due to intuitive tilts towards protective factors like Value, and away from aggressive factors like Growth and Momentum. The outperformance is largest for the shortfall that measures overall asymmetry rather than the extreme losses.
Shortfall Aversion
DOWNLOAD
Author : Paolo Guasoni
language : en
Publisher:
Release Date : 2017
Shortfall Aversion written by Paolo Guasoni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Shortfall aversion reflects the higher utility loss of spending cuts from a reference than the utility gain from similar spending increases. Inspired by Prospect Theory's loss aversion and the peak-end rule, this paper posits a model of utility from spending scaled by past peak-spending. In contrast to traditional models, which call for spending rates proportional to wealth, the optimal policy in this model implies a constant spending rate equal to the historical peak when wealth is relatively large. The spending rate increases when wealth reaches a model-determined multiple of peak spending. In 1926-2015, shortfall-averse spending is smooth and typically increasing.
Comparative Analyses Of Expected Shortfall And Value At Risk 3
DOWNLOAD
Author : Yasuhiro Yamai
language : en
Publisher:
Release Date : 2002
Comparative Analyses Of Expected Shortfall And Value At Risk 3 written by Yasuhiro Yamai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Financial futures categories.
Backtesting Value At Risk And Expected Shortfall
DOWNLOAD
Author : Simona Roccioletti
language : en
Publisher: Springer
Release Date : 2015-12-04
Backtesting Value At Risk And Expected Shortfall written by Simona Roccioletti and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-04 with Business & Economics categories.
In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.
Shortfall
DOWNLOAD
Author : William Bowden
language : en
Publisher: William Bowden
Release Date : 2016-09-03
Shortfall written by William Bowden and has been published by William Bowden this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-03 with Fiction categories.
The Mollos had come to England to start a new life, buying a small farm in the heart of Devon, only to have their dream cruelly snatched from them. Now their teenage daughter has risked the family farm in a desperate attempt to preserve her parents’ legacy, betting everything on a new type of crop. But the country is in the midst of a financial crisis, and with more trouble looming, a Machiavellian mandarin has cooked up an outlandish scheme to manage what might otherwise be a difficult situation, threatening the young girl’s plans. Shortfall is a fictional tale inspired in some small part by real events now thought lost to time.
Shortfall Returns And Shortfall Risk
DOWNLOAD
Author : Peter Albrecht
language : de
Publisher:
Release Date : 1993
Shortfall Returns And Shortfall Risk written by Peter Albrecht and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Nonparametric Estimation Of Expected Shortfall
DOWNLOAD
Author : Song Xi Chen
language : en
Publisher:
Release Date : 2010
Nonparametric Estimation Of Expected Shortfall written by Song Xi Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
The expected shortfall is an increasingly popular risk measure in financial risk management and it possesses the desired sub-additivity property, which is lacking for the value at risk (VaR). We consider two nonparametric expected shortfall estimators for dependent financial losses. One is a sample average of excessive losses larger than a VaR. The other is a kernel smoothed version of the first estimator (Scaillet, 2004 Mathematical Finance), hoping that more accurate estimation can be achieved by smoothing. Our analysis reveals that the extra kernel smoothing does not produce more accurate estimation of the shortfall. This is different from the estimation of the VaR where smoothing has been shown to produce reduction in both the variance and the mean square error of estimation. Therefore, the simpler ES estimator based on the sample average of excessive losses is attractive for the shortfall estimation.