alternative risk measures and capital allocation

... impact of capital charges on their investment strategies, risk management and product ranges; and their views on the future for capital markets in a post-Solvency II world [ ]  Balancing risk, return ... Balancing risk, return and capital requirements The Future for Asset Allocation Continued However Scandinavian insurers face a supply constraint when increasing their government debt allocations ... that have the scale and resources to the job properly [ 18 ]  Balancing risk, return and capital requirements A Demanding Data Management Regime The comprehensive data management and governance regime...

Ngày tải lên: 06/12/2015, 23:08

... estimated risk measures obtained by fitting GPD to the to the tail of the P&L, when they are mapped separately to risk factors and the aggregated P&L, and also the historical risk measures for ... about the distribution and correlations of the risk factors The method is robust and intuitive and, as such, forms the basis for the Basle 1993 proposals on market risks and is the most commonly ... the mathematical theory And last but not least, many thanks to all my friends and family for their help and support -2- Master Thesis: An Application of Alternative Risk Measures to Trading Portfolios...

Ngày tải lên: 27/04/2013, 11:17

... Spread Risk Product Risk Market Risk Factors Yield Curve Risk Prepayment Model Risk "Greeks" Fx Curve Risk Currency Risk Basis / Spread Risk Model Risk Market Risk Commodity Risk Commodity Curve Risk ... Op era t risk Identification of risk al ion Measurement of risk Cre dit risk Linking risk and return tr rke isk Capital allocation process Ma Risk management sophistication Control of risk Development ... Industrial Sector Risks Ethical Value Risks Business Value Risks Business Policy Risks Activity Risk Strategic-Level Risks Outside Risk Factors Organizational Policy Risks Customer-Facing Risks Operational-Level...

Ngày tải lên: 28/06/2014, 21:20

Ngày tải lên: 01/06/2014, 13:57

... fat) and central adiposity (waist circumference and WHR) measures and joint replacement risk were not modified by BMI Gender did not modify the associations between adiposity measures and the risk ... replacement risk Moreover, when comparing the strength of the associated risks between the adiposity measures and knee and hip joint replacement, all adiposity measures were stronger risk factors ... Swedish general population (the Malmo Diet and Cancer study), Lohmander and colleagues found that all body mass measures were significant risk factors for knee and hip OA leading to joint replacement...

Ngày tải lên: 09/08/2014, 13:22

... the horse’s market risk So, the best estimate is that this horse has a market risk about equal to that of other racehorses, and thus this investment is not a particularly risky one for Hippique ... Standard deviation = σP = 0.517 = 51.7% b We can think of this in terms of Figure 7.10 in the text, with three securities One of these securities, T-bills, has zero risk and, hence, zero standard ... Dell and half Microsoft Because the risk of T-bills is zero, the portfolio standard deviation is twothirds of the standard deviation computed in Part (a) above: Standard deviation = (2/3)(0.517)...

Ngày tải lên: 14/08/2014, 11:20

... Banking 285 11.1 Authenticity and Verification of the Mandate 287 11.2 The Burden of Proof 295 11.3 Risk Allocation Alternatives 299 11.4 System Integrity, Failure and Faults 301 11.5 Conclusion ... BANK DOCUMENTATION THE STANDARD TERMS GOVERNING CURRENT ACCOUNTS IN SINGAPORE: THE CUSTOMER'S DUTY OF CARE, THE UNAUTHORISED DEBIT AND THE ALLOCATION OF RISK SANDRA ANNETTE BOOYSEN B.A (Rhodes ... Corporation (“OCBC”), The Hongkong and Shanghai Banking Corporation (“HSBC”) and Standard Chartered Bank (“Standard Chartered”) The first three banks are based in Singapore and are prominent operators...

Ngày tải lên: 11/09/2015, 09:11

... return and lower risk than B on a standalone basis However, B is negatively correlated with the initial wealth, and the combined effect of B and W is less risky than the combined effect of A and ... without sign restrictions - b  and r  in the case of risk averse; b  and r  if risk seek Without loss of generality, this thesis assumes risk averse ( b  and r  ) It can be shown that similar ... (1998) and Copeland (2001), decision analysis is often integrated together with real options pricing 7  technique to value risks where the option and its underlying are not practically tradable, and...

Ngày tải lên: 07/10/2015, 10:18

... function, and cardiovascular risk New England Journal of Medicine 2003; 348: 593-600 43 Vasa M, Fichtlscherer S, Aicher A, Adler K, Urbich C, Martin H, Zeiher AM, Dimmeler S Number and migratory ... weight adults, and the colony-forming capacity of these cells is blunted [17, 18] Alterations in endothelial cells and EPC function associated with obesity precede atherosclerosis and thrombosis ... atherosclerosis and thrombosis [19-21] Moreover, EPCs expanded from the obese subjects possessed reduced adhesive, migratory, and angiogenic capacity [22] and fail to respond to vascular endothelial growth...

Ngày tải lên: 25/10/2012, 10:51

... Includes SIS, nonSIS and external risk reduction measures Allocation decisions for SIS, Non SIS and external measures Expansion of the SRS for the SIS A plan for operating and maintaining the ... lEC 61508 and a similar safety life cycle model will be used Hazards and risk reduction 2.1 Introduction In this chapter we are going to build up an understanding of hazards and risk and look ... Legal requirements EUC risk Availability of data Hazard and risk analysis to consider Each hazard and events leading to it Consequences and likelihood Necessary risk reduction Measures taken to reduce...

Ngày tải lên: 02/01/2014, 09:47

... definition of regulatory capital and risk- weighted assets The total capital ratio must be no lower than 8% Tier capital is limited to 100% of Tier capital A Regulatory capital 41 The definition ... multiplying the capital requirements for market risk and operational risk by 12.5 (i.e the reciprocal of the minimum capital ratio of 8%) and adding the resulting figures to the sum of risk- weighted ... C Capital D Risk exposure and assessment General qualitative disclosure requirement Credit risk Market risk Operational risk ...

Ngày tải lên: 15/01/2014, 16:56

... market risk The risk premium is determined by what economists refer to as “deep structural parameters”—that is, the risk aversion of investors A change in the relative demands for long-term and ... saving (individuals and firms), government saving (surpluses of federal, state, and local governments), and changes in the monetary base—the sum of cash held by the public and bank reserves The ... the allocation of credit is mitigated by the fact that the total supply of credit increases—the borrowing institution obtains credit and no one loses credit The effect of Fed lending on the allocation...

Ngày tải lên: 15/02/2014, 14:20

... Kamal Nigam, Andrew McCallum, Sebastian Thrun, and Tom Mitchell 2000 Text classication from labeled and unlabeled documents using EM Machine Learning, 39(2/4):103 134 Fernando Pereira and Yves Schabes ... Results don't know For each task and each test corpus, we calculated a random baseline by averaging over several models with randomly chosen parameter values This baseline measures the disambiguation ... oblique and adjunctival dative and accusative preposition, for active and passive forms of the rst three verbs in each parse Let vr (x) be the verbal head of grammatical relation r in parse x, and...

Ngày tải lên: 20/02/2014, 18:20

... credit risk managers Moreover, liquidity risk and its potential interaction with other risks should be included in the risks addressed by risk management committees and/ or independent risk management ... measurement and analysis of liquidity risk to the bank’s business mix, complexity and risk profile The measurement and analysis should be comprehensive and incorporate the cash flows and liquidity ... benefits and risks to all significant business activities; • the identification and measurement of the full range of liquidity risks, including contingent liquidity risks; • the design and use...

Ngày tải lên: 21/02/2014, 11:20

... namely risk assessment, risk management and risk communication That consultation recognised risk communication as an interactive process of exchange of information and opinion on risk among risk ... separation of risk management and risk assessment serves to ensure the scientific integrity of the risk assessment process and reduce any conflict of interest between risk assessment and risk management ... at risk, (e.g human health, economic concerns); potential consequences; consumer perception of the risks; and the distribution of risks and benefits RISK MANAGEMENT FRAMEWORK ELEMENTS OF RISK...

Ngày tải lên: 21/02/2014, 12:20

... hygiene and toilet facilities, and unsafe food preparation and handling practices are all associated with transmission Following the cyclone and flooding, an immediate risk of waterborne and foodborne ... Health and Development (CAH), Immunizations, Vaccines and Biologicals (IVB) in the Family and Community Health (FCH) cluster; Injuries and Violence Prevention (VIP) and Nutrition for Health and ... Epidemic and Pandemic Alert and Response (EPR), the Special Programme for Research and Training in Tropical Diseases (TDR), Food Safety, Zoonoses and Foodborne Diseases (FOS), Public Health and Environment...

Ngày tải lên: 05/03/2014, 12:20

... credit ratings and capital structure The Credit Ratings and Capital Structure 1055 Table IV Credit Rating Impact on Capital Structure Decisions—POM Coefficients by Year Coefficients and standard errors ... Ratings and Capital Structure 1057 (KU), Kamstra, Kennedy, and Suan (2001) (KKS)), Debt/Total Capitalization (PS, Ederington (1985) (E), Standard and Poor’s (2001b) (SP)), Debt/Total Capitalization ... models of capital structure, Journal of Financial Economics 51, 219–244 Standard and Poor’s, 2001a, Stock Reports (Standard and Poor’s Retail Information Services, New York) Standard and Poor’s,...

Ngày tải lên: 06/03/2014, 08:20

... Default and Liquidity Risk The Supervisory Approach: A Critique Depreciation Bias, Financial-Sector Fragility and Currency Risk The New Basel Accord and Developing Countries: Problems and Alternatives ... of a Realistic Banking System Within a Post-Keynesian Stock-flow Consistent Model Credit -Risk Transfer and Financial Sector Performance Please address enquiries about the series to: The Administrator ... Problems and Alternatives Economic Slowdown in the U.S., - The Revitalisation of Fiscal Policy and the Case for a Co-Ordinated Global Reflation Establishing a European Securities Regulator: Is...

Ngày tải lên: 06/03/2014, 08:20

... credit risk managers Moreover, liquidity risk and its potential interaction with other risks should be included in the risks addressed by risk management committees and/ or independent risk management ... measurement and analysis of liquidity risk to the bank’s business mix, complexity and risk profile The measurement and analysis should be comprehensive and incorporate the cash flows and liquidity ... benefits and risks to all significant business activities; • the identification and measurement of the full range of liquidity risks, including contingent liquidity risks; • the design and use...

Ngày tải lên: 06/03/2014, 09:20

... M Raponi and D Baralle changes in the alternative splicing (AS) isoforms (that become substrates of both positive and negative natural selection) Two main categories ... it follows that both intronic and synonymous FEBS Journal 277 (2010) 836–840 ª 2010 The Authors Journal compilation ª 2010 FEBS 837 Alternative splicing M Raponi and D Baralle variations are not ... candidates in the creation of new splicing substrates for evolution In this way, the newly generated alternative splicing exon has a better chance of being tolerated by the cell metabolism and...

Ngày tải lên: 06/03/2014, 09:22