measuring market risk

... this consultative document refer to paragraphs in the comprehensive version of the Basel II Framework The Committee released consultative documents on the revisions to the Basel II market risk framework ... version of the Basel II Framework which includes the June 2004 Basel II Framework, the elements of the 1988 Accord that were not re...

Ngày tải lên: 24/10/2012, 09:40

... CAPABILITY OF MARKET RISK MANAGEMENT AT VIETNAM JOINT STOCK COMMERCIAL BANK FOR INDUSTRY AND TRADE 3.1 Development orientation of Vietnam Joint Stock Commercial Bank For Industry And Trade 3.1.1 ... AND TRADE 2.1 Overview of Vietnam Joint Stock Commercial Bank for Industry and Trade (Vietinbank) 2.1.1 Establishment and...

Ngày tải lên: 18/07/2014, 15:41

... beta of debt is Year 2013 The Volatility of Market Risk in Groups of Viet Nam Listed Medicine and Medical Company Groups During and After the Financial Crisis 2007-2011 The Volatility of Market Risk ... The Volatility of Market Risk in Groups of Viet Nam Listed Medicine and Medical Company Groups During...

Ngày tải lên: 08/08/2015, 19:23

... 2 Measuring contagion risks among Vietnam’s listed commercial banks Abstract: In this research, we apply the Distance to Default (DD) model to measure the contagion risk across listed commercial ... to use them interchangeably 1.2 Methods to identify and measure contagion risk spread among commercial banks Method for measuring contagion has been long developi...

Ngày tải lên: 14/07/2016, 09:35

... increased in the insurance market in the period between 1999 and 2009 Competition increased in the life insurance market to a greater extent than in the non-life insurance market H2: The value of HHI ... and The Financial Behaviour of Hungarian Households and Factors Shaping the Cost of Insurance conducted in 2007 The project titled Measuring Mark...

Ngày tải lên: 01/01/2017, 09:07

... high reward but you had to be trading at or near the open to get that low risk short entry which was true for all the gap entries for the week The key is to not look at candles on your screen ... behind the scenes Whether you're trading stocks, futures, options, or forex, the logic and rules never change Again, the market imbalances are greatest at or near the open o...

Ngày tải lên: 23/12/2013, 12:16

... discussion then turns to the evolution of the risk-linked securities market and an evaluation of the current state of the market The scope of the article is limited primarily to securitization of catastrophic ... in the early stages of the CAT bond market, more recently CAT bonds have become more standardized The standardization has been driven b...

Ngày tải lên: 06/03/2014, 04:20

... drop in credit ratings—a key measure of creditworthiness—can explain only a part of the rise in yield spreads in Japan’s corporate bond market When we control for the decline in ratings, the market ... yen = dollar The Credit Curve and the Rise in Spreads Japan’s 1997-98 recession and the resulting decline in corporate creditworthiness undoubtedly played a role...

Ngày tải lên: 15/03/2014, 03:20

... generating credit risk Conversely, if the probability of default unexpectedly changes ± generating credit risk ± this a€ects the market value of the ®rm ± generating market risk The lack of separability ... by the statement that market risk and credit risk are perfectly correlated There is not one but many factors that a€ect market risk exposure, t...

Ngày tải lên: 15/03/2014, 04:20

... counterfeiting and UUPC Further testing of the methodology is recommended in multiple industry sectors to better understand the scope and scale of the vii Measuring IPR infringements in the internal market ... be affected by IPR 15 Measuring IPR infringements in the internal market RAND Europe infringements An earlier study by the International Tradem...

Ngày tải lên: 23/03/2014, 02:20

... during a conference on Measuring Risk in Complex Stochastic Systems that took place in Berlin on September 25th - 30th 1999 The conference was organised within the Seminar Berlin-Paris, Seminaire ... Even the introduction of Value-at -Risk in order to measure risk more accurately than in terms of standard deviation, did not chance the calculation of a risk contribut...

Ngày tải lên: 08/04/2014, 12:22

... importance of liquidity risk premium is reduced at longer horizons, since market risk dominates liquidity risk Yet, liquidity risk remains economically significant for larger portfolios Disregarding ... Foster, F., and S Viswanathan, 1994, Strategic trading with asymmetrically informed investors and long-lived information, Journal of Financial and Quantitative Analysis...

Ngày tải lên: 23/04/2014, 19:54

... bond-specific factors, we can examine how traditional market microstructure theories apply to the bond market We perform a similar test for the stock market to see whether credit risk explains the variations ... is the first to model and test the behavior of bond and stock liquidities around credit rating announcements Second, we report the results of both the...

Ngày tải lên: 03/06/2014, 02:06