Estimating liquidity risks

Part 2 book "Risk management and financial institutions" includes content: Managing credit risk - margin, OTC markets, and CCPS; estimating default probabilities; CVA and DVA; credit value at risk; scenario analysis and stress testing; operational risk; liquidity risk; model risk; economic capital and raroc; enterprise risk management; risk management mistakes to avoid.

335p oursky03 21-08-2023 5 5   Download

Part 2 book "An introduction to market risk measurement" includes content: Incremental and component risks, estimating liquidity risks, backtesting market risk models, stress testing, model risk.

168p oursky01 24-07-2023 9 4   Download

Recently, financial institutions have developed improved internal risk rating systems and emphasized the probability of default and loss given default. The default characteristics are studied for 756 loans from a French bank: CIC- Banque SNVB. A binomial logit regression is used to estimate several models of the probability of default of agribusiness loans based on information available at loan origination. The results show that leverage, profitability and liquidity at loan origination are statistically significant indicators of the probability of default.

30p nguyenminhlong19 21-04-2020 11 0   Download

This paper investigated the internal factors that affecting profitability of banks. The main objective was to compare the profitability of the Saudi and Jordanian banks by using the internal factors for estimations. The necessary data was collected from secondary sources. A sample of twenty three Saudi and Jordanian banks was considered with 161 observations for the period 2005-2011.

16p cothumenhmong4 24-03-2020 16 2   Download

This paper investigates the impacts of market structure and risk on profitability of Indian banks after controlling the influences of some bank specific and macroeconomic determinants. Employing two-step Generalized Method of Moments (GMM) system estimator on a data set of 40 listed Indian commercial banks over a period of 15 years (2002 – 2016), our results suggest that there is a moderate degree of persistence of profit in Indian banking sector during the study period. We find significant negative impact of bank risk on profitability in the Indian banking Industry.

1p chauchaungayxua2 19-01-2020 17 0   Download

The development of financial markets has entailed a corresponding rise in chances and risks of liquidity management. This presents the importance of estimating liquidity demand by means of enduring and low-cost approaches in order to sponsor banking operations in the increasingly competitive climate.

8p danhnguyentuongvi27 19-12-2018 47 2   Download

We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time-varying inflation risk premia. Furthermore, we show how sensitive the Cleveland Fed approach is to different measures of the liquidity premium. In addition we propose an alternative approach to decompose the bias in inflation expectations derived from index-linked bonds using a state-space estimation.

27p taisaocothedung 12-01-2013 44 3   Download

With their high share of trading turnover, hedge funds play a critical role in providing liquidity for mis-priced assets, particularly when large volumes are traded in thin markets – thereby reducing volatility. This activity is particularly important, given the rapid growth in volume of new-generation structured products issued by investment banks. Hedge fund leverage estimated via an induction technique suggests a leverage ratio that must be above 3 (versus total AUM of USD 1.4 trillion).

13p quaivatdo 18-11-2012 73 7   Download