Results 131 to 140 of about 982,306 (342)
Discrete versus continuous state switching models for portfolio credit risk [PDF]
, 2005 André Lucas, Pieter Klaassen
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Concentration risk under Pillar 2: When are credit portfolios infinitely fine grained? [PDF]
The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management due to Pillar 2 of Basel II since risks (e.g.
Gürtler, Marc +2 more
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Climate Change and Investors' Behaviour: Assessing a New Type of Systematic Risk
International Journal of Finance &Economics, EarlyView.ABSTRACT This study explores how temperature anomalies, a novel form of systematic risk, affect financial markets, expanding the traditional understanding of market‐wide risks. While climate change is becoming an important consideration, the extent to which temperature anomalies disrupt economic activities and influence stock returns is urgently needed
Natthinee Thampanya, Junjie Wu
wiley +1 more source
Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios
, 2006 This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases.
Andersen L +20 more
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Determinants of Dividend Payout Policy: More Evidence From Emerging Markets of G20 Bloc
International Journal of Finance &Economics, EarlyView.ABSTRACT The purpose of this article is to examine the key factors influencing dividend payout policy in emerging markets, using a quantitative approach with a sample of 938 firms and 19,698 firm‐year observations. The study considers dividends, and share repurchases as elements of payout, analysing the effect of earnings, taxes, debt, size and free ...
Wagner Dantas de Souza Junior +2 more
wiley +1 more source
An Importance Sampling Method for Portfolios of Credit Risky Assets [PDF]
, 2005 William J. Morokoff
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Deep Learning for Bond Yield Forecasting: The LSTM‐LagLasso
International Journal of Finance &Economics, EarlyView.ABSTRACT We present long short‐term memory (LSTM)‐LagLasso, a novel explainable deep learning approach applied to bond yield forecasting. Our method involves feature selection from a large universe of potential features and forecasts bond yields using dynamic LSTM networks.
Manuel Nunes +4 more
wiley +1 more source
Análise do Modelo CreditRisk+ em uma amostra de portfólio de crédito
Contextus, 2013 The paper analyzes CreditRisk+ Model theoretical foundations and fulfillment in a credit portfolio sample. In this analysis, CreditRisk+ Model, one of the risk assessment models created by banks, was applied in an US portfolio sample with default events ...
Rafael Mileo +2 more
doaj
Путеводитель предпринимателя, 2020 The article observe the problem in using the econometric approach to the assessment of the total loan risk appearing in portfolio of assorted risk of commercial bank loans. It is proposed to use the linear regression model of dependence between the value
M. A. Gorskij, E. A. Zakrevskaya
doaj
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements [PDF]
In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order
Jean-David FERMANIAN, Olivier SCAILLET
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