Unexpected Shortfalls Of Expected Shortfall
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Unexpected Shortfalls Of Expected Shortfall
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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.
Fundamental Statistical Inference
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Author : Marc S. Paolella
language : en
Publisher: John Wiley & Sons
Release Date : 2018-06-19
Fundamental Statistical Inference written by Marc S. Paolella and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-19 with Mathematics categories.
A hands-on approach to statistical inference that addresses the latest developments in this ever-growing field This clear and accessible book for beginning graduate students offers a practical and detailed approach to the field of statistical inference, providing complete derivations of results, discussions, and MATLAB programs for computation. It emphasizes details of the relevance of the material, intuition, and discussions with a view towards very modern statistical inference. In addition to classic subjects associated with mathematical statistics, topics include an intuitive presentation of the (single and double) bootstrap for confidence interval calculations, shrinkage estimation, tail (maximal moment) estimation, and a variety of methods of point estimation besides maximum likelihood, including use of characteristic functions, and indirect inference. Practical examples of all methods are given. Estimation issues associated with the discrete mixtures of normal distribution, and their solutions, are developed in detail. Much emphasis throughout is on non-Gaussian distributions, including details on working with the stable Paretian distribution and fast calculation of the noncentral Student's t. An entire chapter is dedicated to optimization, including development of Hessian-based methods, as well as heuristic/genetic algorithms that do not require continuity, with MATLAB codes provided. The book includes both theory and nontechnical discussions, along with a substantial reference to the literature, with an emphasis on alternative, more modern approaches. The recent literature on the misuse of hypothesis testing and p-values for model selection is discussed, and emphasis is given to alternative model selection methods, though hypothesis testing of distributional assumptions is covered in detail, notably for the normal distribution. Presented in three parts—Essential Concepts in Statistics; Further Fundamental Concepts in Statistics; and Additional Topics—Fundamental Statistical Inference: A Computational Approach offers comprehensive chapters on: Introducing Point and Interval Estimation; Goodness of Fit and Hypothesis Testing; Likelihood; Numerical Optimization; Methods of Point Estimation; Q-Q Plots and Distribution Testing; Unbiased Point Estimation and Bias Reduction; Analytic Interval Estimation; Inference in a Heavy-Tailed Context; The Method of Indirect Inference; and, as an appendix, A Review of Fundamental Concepts in Probability Theory, the latter to keep the book self-contained, and giving material on some advanced subjects such as saddlepoint approximations, expected shortfall in finance, calculation with the stable Paretian distribution, and convergence theorems and proofs.
Modern Finance And Risk Management Festschrift In Honour Of Hermann Locarek Junge
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Author : Tony Klein
language : en
Publisher: World Scientific
Release Date : 2022-06-07
Modern Finance And Risk Management Festschrift In Honour Of Hermann Locarek Junge written by Tony Klein and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-07 with Business & Economics categories.
Modern Finance and Risk Management is dedicated to our colleague, academic mentor, and adviser Professor Hermann Locarek-Junge. During his academic career, Hermann Locarek-Junge published several important contributions to the field of risk management and portfolio management and served as the chairman and board member of the German Finance Association (DGF) and the Data Science Society (Gesellschaft für Klassifikation).A short foreword by the mentors of Hermann Locarek-Junge and an introduction by the editors mark the beginning of the Festschrift. The first section on Modern Finance includes chapters on asset management, entrepreneurship, and behavioural finance. The second section on Modern Risk Management contains seven contributions covering considerations of risk measurement, risk management, and regulation. Finally, the third section includes topics on commodities and energy finance.This Festschrift comprises 20 original contributions of notable scholars in finance who have worked with Hermann Locarek-Junge over the last four decades. Due to numerous connections to practice and applications, Modern Finance and Risk Management is relevant and attractive not only to academics and researchers but also to practitioners in industry and banking.
Financial Markets Sme Financing And Emerging Economies
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Author : Giusy Chesini
language : en
Publisher: Springer
Release Date : 2017-10-11
Financial Markets Sme Financing And Emerging Economies written by Giusy Chesini and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-11 with Business & Economics categories.
This book investigates small and medium sized enterprises (SMEs) access to credit, the earning quality, and the cost of debt in the European Union. It also examines two important risk measures in financial markets: the volatility index (VIX) and Credit Default Swaps (CDS). Finally, it deep dives inside one of the most important emerging markets, China, to assess monetary policy and the relationship between financial institutions and real estate firms. This work will appeal to both academics and practitioners in the areas of SME financing, financial markets and emerging economies.
The Modalities Of Conditionality Further Considerations
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Author : International Monetary Fund. Policy Development and Review Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2002-08-01
The Modalities Of Conditionality Further Considerations written by International Monetary Fund. Policy Development and Review Dept. 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 2002-08-01 with Business & Economics categories.
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Backtesting Value At Risk And Expected Shortfall
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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.
Stress Testing The Banking System
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Author : Mario Quagliariello
language : en
Publisher: Cambridge University Press
Release Date : 2009-10-15
Stress Testing The Banking System written by Mario Quagliariello and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-15 with Business & Economics categories.
Stress tests are used in risk management by banks in order to determine how certain crisis scenarios would affect the value of their portfolios, and by public authorities for financial stability purposes. Until the first half of 2007, interest in stress-testing was largely restricted to practitioners. Since then, the global financial system has been hit by deep turbulences, including the fallout from sub-prime mortgage lending. Many observers have pointed out that the severity of the crisis has been largely due to its unexpected nature and have claimed that a more extensive use of stress-testing methodologies would have helped to alleviate the repercussions of the crisis. This book analyses the theoretical underpinnings, as well as the practical aspects, of applying such methodologies. Building on the experience gained by the economists of many national and international financial authorities, it provides an updated toolkit for both practitioners and academics.
Political Economy And Contemporary Capitalism
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Author : Ron P. Baiman
language : en
Publisher: Routledge
Release Date : 2015-02-12
Political Economy And Contemporary Capitalism written by Ron P. Baiman and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-12 with Business & Economics categories.
This volume covers the theoretical method, macroeconomics, microeconomics, international trade and finance, development, and policy of economic theory. It incorporates various alternative approaches as well as a broad spectrum of policy issues.
Statistical Issues In Coherent Risk Management
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Author :
language : en
Publisher:
Release Date : 2004
Statistical Issues In Coherent Risk Management written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Measuring risk is a crucial aspect of the portfolio optimization problem in finance, and of capital adequacy assessment in risk management. Expected Shortfall (ES) has been proposed as a coherent risk measure, by contrast with Value-at-Risk (VaR) and the standard-deviation-type of measures. Based on a coherent risk measure, for instance ES, we can discuss a coherent capital allocation for the purpose of internal risk management and performance measure, if ES is used for economic capital held by financial firms as a cushion to absorb the unexpected losses. Properly allocating risk capital down to the business level is important for the purpose of risk management and portfolio performance measurement. Even if there is a doubt about the reason for allocating ES, instead of VaR, the statistical properties of the statistic, marginal ES, from the proposed coherent allocation rule, are still of interest, because it is exactly the sensitivity of the target portfolio's ES. The idea of a coherent capital allocation rule by using a cost sharing rule, the Aumann-Shapley value in game theory, proposed by Denault (2001), happens to result in the same formula as proposed by Tasche (2000), who independently develops the "suitable" allocation rule based on the discussion of risk-adjusted returns. The fact, that two aspects of the concerns are satisfied by the same allocation formula, brings two fields together in an integrated way, so that a systematic risk management in a banking system seems very promising. Fundamental statistical issues arise in several places in a coherent risk management system. Primary interests will be, and are always, in modeling the profit/loss (P/L) distributions. Statistical modeling is receiving more and more attention currently, as well as economic modeling. For our purpose, we place more emphasis on the estimation and inference of ES and allocation statistics (marginal contribution of ES) under different situations. We also modify the back-testing rule.
Finanzdienstleistungen Im Umbruch Ressourcenorientierte Unternehmensf Hrung Neu Denken
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Author : Kristin Butzer-Strothmann
language : de
Publisher: Cuvillier Verlag
Release Date : 2015-10-14
Finanzdienstleistungen Im Umbruch Ressourcenorientierte Unternehmensf Hrung Neu Denken written by Kristin Butzer-Strothmann and has been published by Cuvillier Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-14 with Business & Economics categories.
Der Netzwerkdialog „Finanzdienstleistungen im Umbruch“ ist ein gemeinsames Projekt der Leibniz-Fachhochschule (Leibniz-FH) und der Norddeutschen Landesbank (NORD/LB), um interdisziplinäre Lösungen zur Neuausrichtung von Unternehmensführung und strategischem Management in Finanzdienstleistungsunternehmen zu entwickeln. Quasi als Initialzündung für eine weitere Reihe von „Leibniz-Dialogen“ interagierten im Februar 2015 Studierende der Leibniz-FH mit erfahrenen Praktikern aus dem Management der Finanzdienstleistungsbranche und renommierten Wissenschaftlern. Die mehr als 80 Teilnehmer diskutierten konstruktiv unter anderem die Ergebnisse der Befragungen durch die Studierenden zum Thema Image von Banken sowie zu der Frage „Aus der Finanzmarktkrise in die Führungskrise?“ oder zum Vergütungsmanagement in Banken. Die Ergebnisse des ersten Leibniz-Dialoges sind in diese Publikation eingeflossen. Das gemeinsame Ziel von Leibniz-FH und NORD/LB ist, auf dieser Basis ein effizientes und dauerhaftes Netzwerk aufzubauen, das über seine enge Verzahnung wertvolle Impulse für die Finanzwirtschaft generiert.