Implementing risk forecasts

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  • The focus in this book is on the study of market risk from a quantitative point of view. The emphasis is on presenting commonly used state-of-the-art quantitative techniques used in finance for the management of market risk and demonstrate their use employing the principal two mathematical programming languages, R and Matlab. All the code in the book can be downloaded from the book’s website at www.financialrisk

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  • Forecasting credit portfolio risk poses a challenge for the banking industry. One important goal of modern credit portfolio models is the forecast of the future credit risk given the information which is available at the point of time the forecast is made. Thus, the discussion paper “Forecasting Credit Portfolio Risk“ proposes a dynamic concept for the forecast of the risk parameters default probabilities and default correlations.

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  • Second, we reestimate our baseline specification while adding control variables, ranging from initial fiscal and current account balances to initial bank credit risk and household debt levels. These could plausibly have both affected the growth forecast error and been correlated with fiscal consolidation forecasts. Not controlling for such factors could influence the estimated relation between fiscal consolidation forecasts and growth forecast errors. We find, however, that our results are robust to the introduction of such controls. ...

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  • When comparing time series models across countries, there is always a trade-off between the need to implement the comparison as neatly as possible and the need to fit models as best as possible to individual countries. By using different lags for different countries, we would run the risk to lose full comparability. By running the exercise with a common specification across countries we are running the risk of comparing Chile with other countries on the basis of a model that is possibly misspecified for other countries.

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  • Nonetheless, a resurgent aggravation of the sovereign-debt crisis with grave consequences for growth and financial stability remains the largest downside risk. This remains intrinsically linked to the risk of slippage or delay with the implementation of policy measures agreed at EU/euro-area and Member- State levels. A downside risk also stems from labour markets, where a deeper drop in employment would weigh on growth prospects going forward.

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  • “Creating value through values” is the credo of today’s management accountant. It means that management accountants should maintain an unwavering commitment to ethical values while using their knowledge and skills to influence decisions that create value for organizational stakeholders. These skills include managing risks and implementing strategy through planning, budgeting and forecasting, and decision support. Management accountants are strategic business partners who understand the financial and operational sides of the business.

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