搜索结果: 1-15 共查到“国民经济学 RISK”相关记录17条 . 查询时间(0.125 秒)
Worst-case risk of a portfolio
Numerical calculation portfolio risk return on assets average semidefinite programming
2015/8/11
We show how to compute in a numerically efficient way the maximum risk of a portfolio, given uncertainty in the means and covariances of asset returns. This is a semidefinite programming problem, and ...
Globalization of Corporate Risk Taking
Corporate risk-taking global liquidity capital fl ows fi nancial crises multinational companies
2014/3/18
We explore how the interconnected nature of global finance affects corporate risk taking. We show that a common global factor known to be associated with fluctuations in cross-border...
The Organization of Bank A￠ liates; A Theoretical Perspective on Risk and E￠ ciency
bank organization bank risk Ö nancial synergies default costs bailouts
2014/6/23
We analyze theoretically banks choice of organization and leverage in branches or subsidiaries in the presence of economic and Önancial synergies, government bailouts and bankruptcy costs. We com...
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned ...
Speculation and Risk Sharing with New Financial Assets
Speculation and Risk New Financial Assets
2014/9/10
I investigate the effect of financial innovation on portfolio risks when traders have belief disagreements. I decompose traders’ average portfolio risks into two components: the uninsurable variance, ...
We explore the extent to which Önancial conditions áuctuate due to áuctuations in leverage, and thereby connect the recent literature on banking crises with the ìleverage e§ectîof Fisher Bla...
Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type
quasiconvex functions dual representation complete duality L0-modules dynamic risk measures quasiconvex risk measures
2012/3/2
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
Set-Valued Dynamic Risk Measures
dynamic risk measures transaction costs set-valued risk measures time consistency dual representation
2012/3/2
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are co...
The Price of Dynamic Inconsistency for Distortion Risk Measures
The Price of Dynamic Inconsistency Distortion Risk Measures potentially inconsistent behavior.
2011/7/4
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance,
on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds
Pension funds Demographic risk New entrants Markovchain Professional categories
2011/7/4
This research presents an analysis of the demographic risk
related to future membership patterns in pension funds with restricted
entrance, nanced under a pay-as-you-go scheme. The paper, therefore...
This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to gr...
Evaluation of economic efficiency of orchards investment project with respect to the risk
apple orchard investment project economic efficiency simulation model risk
2014/2/27
Continuous elimination of the acreage of orchards in Slovakia has a negative impact on the overall fruit production. Improvement of the conditions could be achieved by introducing new technological sy...
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/23
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
Asymptotics of the probability minimizing a "down-side" risk
probability minimizing down-side risk
2010/10/18
We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation ...