financial market risk and securitization

... (positively) rather than book-to-price as in the Fama and French correlations With r = risk- free rate + risk premium and g = risk premium, growth and the risk premium cancel in valuation So a valuation ... Penman and Sougiannis (1998), Lundholm and O’Keefe (2001a), Penman (2001) and Lundholm and O’Keefe (2001b) on valuation errors from alternative models See also Francis, Olsson, and Oswald (2000) and ... attributes and returns and between asset returns and conjectured common factor-mimicking portfolios The Fama and French three-factor model that includes factors related to size and book-tomarket...

Ngày tải lên: 23/03/2014, 00:20

... Vogel, Harold L., 1946– Financial market bubbles and crashes / Harold L Vogel p cm Includes bibliographical references and index ISBN 978-0-521-19967-4 (hardback) Capital market Financial crises Commercial ... flaw in the underlying and almost universally accepted assumption that supply and demand in the financial markets can be modeled in the same way as in the markets for goods and services If, for ... sold realty (land and buildings), placed investments and collected debts, and lent money to individuals and partnerships.” And, within this environment, episodes of money scarcity and credit contractions...

Ngày tải lên: 01/11/2014, 18:50

... Stanca Contents Introduction Financial market imperfections and corporate decisions: theory and evidence 2.1 Introduction 2.2 Financial market imperfections, investment and cycles 2.2.1 The Stiglitz ... development and efficiency of financial and credit markets (see, among others King and Levine (1993a), Beck et al (2000)) In a short term perspective, taking into account financial market imperfections ... Financial market imperfections and corporate decisions: theory and evidence 2.1 Introduction This chapter reviews the recent developments in the literature on financial market imperfections and...

Ngày tải lên: 30/03/2017, 16:48

... Financial Market Risk What is financial market risk? How is it measured and analyzed? Is all financial market risk dangerous? If not, which risk is hedgeable? These questions, and more, ... Rochon and Mario Seccareccia 23 Islamic Economics and Finance: A Glossary, 2nd Edition Muhammad Akram Khan 24 Financial Market Risk Measurement and analysis Cornelis A Los Financial Market Risk ... financial market risk? (2) How we measure financial market risk? For example, which frequency and timing distributions of financial market risk we actually measure? (3) Is all financial market risk dangerous...

Ngày tải lên: 30/03/2017, 16:48

... Equity and Asset Beta There are several kinds of business risks including systematic and unsystematic risk In financial markets, systematic risk relates to the overall risk of the whole market, ... The Volatility of Market Risk in Groups of Viet Nam Listed Medicine and Medical Company Groups During and after the Financial Crisis 2007-2011 Year 2013 The Volatility of Market Risk in Groups of ... emerging and immature financial market and the stock market still in the recovering stage, there will be a large disperse distribution in beta values estimated in the medical equipment, medicine and...

Ngày tải lên: 08/08/2015, 19:23

Ngày tải lên: 07/02/2013, 09:32

... forecasts is that it runs the risk of impairing market functioning In this paper, we evaluated the behavior of financial markets in the United States, the euro area, and New Zealand in light of the communication ... the central banks of New Zealand, Norway, and Sweden publish the expected policy rate path of their monetary policy decision makers, the central banks of Iceland and the Czech Republic publish ... always preceded (and was taken by market participants to imply) a tightening at the next meeting, and “close monitoring” preceded unchanged policy In contrast to the RBNZ, the FOMC and the ECB have...

Ngày tải lên: 17/02/2014, 03:20

... create further market risk for the CCP 11 See Sections 4.13 and 4.14 CPSS-IOSCO – Recovery and resolution of financial market infrastructures – Consultative report – July 2012 and in turn make ... FMI and for maintaining market certainty regarding the enforceability of its arrangements and operations If these protections are not in place and an FMI faces credit and liquidity risk to market ... infrastructure services to markets and market participants These services include the recording, clearing and settlement of payments, securities, derivatives and other financial transactions Different...

Ngày tải lên: 17/02/2014, 21:20

... lending standards and bank risk- taking (Table 2) Then, we compare the impact of short-term and long-term interest rates on lending standards and loan risk- taking directly (Table 3), and indirectly ... Bernanke and Kuttner (2005), Rigobon and Sack (2004), Manganelli and Wolswijk (2009), Axelson, Jenkinson, Strömberg and Weisbach (2007), Den Haan, Sumner, and Yamashiro (2007), and Calomiris and Pornrojnangkool ... interest rates on lending standards – and especially on loan risk- taking – depends on securitization activity and banking regulation supervision standards Second, Lown and Morgan (2006) analyze...

Ngày tải lên: 06/03/2014, 14:20

... held back by weak demand for a number of goods including motor vehicles and parts, industrial machinery, and aircraft Conversely, exports of energy products and metals stand at new all-time highs ... the external risks tone down, stimulative domestic monetary policy will serve to insulate the economy from persistently weak export demand The headline and core inflation rates stand closer to ... outliers like Spain and Greece recording rates of 25% Fiscal austerity is biting and will keep some of the member countries in recession in 2013; however, with Germany, France, and Finland expected...

Ngày tải lên: 06/03/2014, 19:20

... housing market correction, and financial market crisis—have improved materially The final obstacle, the outlook for the implementation of fiscal restraint, is still weighing on confidence and growth ... US and euro area economies will weigh on confidence in early 2013 with both consumers and businesses likely to hold back Domestic financial conditions remain supportive, and as the downside risks ... industrial production, and investment in machinery The pent-up demand for housing and vehicles created during the economic downturn will in part be met by Canadian autos and parts and forestry exports...

Ngày tải lên: 08/03/2014, 06:20

... impact on asset prices and market dynamics, and thus propagate and amplify financial shocks throughout the financial system (Fontaine and Garcia (2012)) Copeland, Martin and Walker (2011) find ... (2011), “Clearing, counterparty risk and aggregate risk , mimeo Biais, B., F Heider and M Hoerova (2012), Risk- sharing or risk- taking? Counterparty risk, incentives and margins”, ECB Working Paper ... Market Liquidity and Funding Liquidity”, Review of Financial Studies, 22 (6), 2201-2199 Buraschi, Andrea and Davide Menini (2002), “Liquidity risk and specialness”, Journal of Financial Economics,...

Ngày tải lên: 15/03/2014, 19:20

... low and securitization activity is high 36 Bank risk problems may transmit through the system through interbank contagion and other mechanisms, see Iyer and Peydró (2009) and Bandt, Hartmann and ... these ones are based on actual standards applied to and actual loan demand received B Macroeconomic and financial variables We use several macroeconomic and financial variables in our analysis ... whether, how and why banks change their lending standards For indirect evidence on short-term rates and risk- taking, see Bernanke and Kuttner (2005), Rigobon and Sack (2004), Manganelli and Wolswijk...

Ngày tải lên: 29/03/2014, 13:20

... OF STOCKS AND BONDS, THE RISK THAT IS RELEVANT TO THEM IS THE SECURITY’S MARKET RISK, NOT ITS STAND- Integrated Case: - 31 ALONE RISK THUS, INVESTORS VIEW THE FIRM’S RISK FROM A MARKET RISK PERSPECTIVE ... THE RISK- FREE RATE.) THE T-BILLS AND MARKET PORTFOLIO PLOT ON THE SML, HIGH TECH PLOTS ABOVE IT, AND COLLECTIONS Integrated Case: - 28 AND U.S RUBBER PLOT BELOW IT THUS, THE T-BILLS AND THE MARKET ... expected return by an amount equal to the market risk premium times the change in beta For example, assume that the risk- free rate is percent, and the market risk premium is percent If the company’s...

Ngày tải lên: 01/07/2014, 21:28

... risk through market risk report and market risk assessment strategies (4) Controlling risks through risk limit and the audit process of market risk management 3.2.3.3 Finalizing market risk management ... Identifying market risk (2) Measuring the market risk, including the collection of market risk data, building scenarios and assumptions, and last, calculating the level of risk, (3) Monitoring risk ... exchange and equities as well as the volatilities of those prices 1.1.2 Types of the market risks In general, the market risk includes interest rate risk, foreign exchange risk, securities risk and...

Ngày tải lên: 18/07/2014, 15:41

... 222 I Sector situation • understand first hand client attitude and satisfaction (and the relationship between satisfaction, loyalty and profitability); • understand client commitment; • experience ... products, at the right time and the right price, with appropriate associated service CRM in investment banking and financial markets I 213 CORE PROVIDERS As clients have merged and consolidated, they ... service and delivery model This requires a bank-wide understanding of each client’s situation, to anticipate future trading and banking needs (with an understanding of inherent profitability and...

Ngày tải lên: 30/10/2014, 16:22

... MARKET LIQUIDITY This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance ... of Financial Markets 5, 2002 Viral V Acharya and Lasse Heje Pedersen, Asset pricing with liquidity risk Journal of Financial Economics 77, 2005 Markus K Brunnermeier and Lasse Heje Pedersen, Market ... relation between market illiquidity changes and changes in market price levels Therefore, the effect of market liquidity shocks on securities market prices introduces additional risk to market returns...

Ngày tải lên: 01/11/2014, 11:14

... Financial Crises, Sovereign Risk and the Role of Institutions ThiS is a FM Blank Page Dominik Maltritz • Michael Berlemann Editors Financial Crises, Sovereign Risk and the Role of ... for Financial Stability Andreas Buehn and Daniel Kraaijeveld van Hemert 81 The Evolution of International Geo-Political Risk 1956–2001 Ephraim Clark and Radu Tunaru 93 Financial ... their dependencies and consequences The contributions also highlight and discuss several features of financial institutions and financial markets’ design and in particular the risks they impose...

Ngày tải lên: 01/11/2014, 12:17

... different angles: pure and speculative risks, financial and nonfinancial risks, and noncatastrophic and catastrophic risks These are not mutually exclusive categorizations and indeed often intersect ... through some simple examples Financial risk can be divided into market risk, liquidity risk, and credit risk, each with its own unique characteristics ᭿ Market risk: The risk of loss (or gain) based ... above, a market driven form of credit risk, spread risk, which represents a key intersection between the credit and market risk dimensions ٗ Default risk: Default risk represents the risk of loss...

Ngày tải lên: 03/11/2014, 16:01

... Adequacy Regulations and the Financial Crisis: Bankers' and Regulators' Errors 57 The Interaction of Regulations and the Great Recession: Fetishizing Market Prices 86 Capitalism and Regulation: Ignorance, ... Accord (1988) Basel II (2004) Global Financial Crisis, 2008–2009 Bank capital—Law and legislation Banks and banking Risk management Economics—Political aspects Financial crises—United States—History—21st ... List of Figures and Tables vii Glossary of Abbreviations and Acronyms ix Introduction 1 Bonuses, Irrationality, and Too-Bigness: The Conventional Wisdom About the Financial Crisis and Its Theoretical...

Ngày tải lên: 03/11/2014, 16:26