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Article
Publication date: 1 April 2003

SERGIO M. FOCARDI and FRANK J. FABOZZI

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions…

Abstract

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include:

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The Journal of Risk Finance, vol. 5 no. 1
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 1 April 2001

DAVID F. BABBEL

While asset/liability management (A/L M) has been applied widely by insurers for 15 years, it has had mixed results. This article describes how initial efforts were…

Abstract

While asset/liability management (A/L M) has been applied widely by insurers for 15 years, it has had mixed results. This article describes how initial efforts were unsuccessful, due to the focus on accounting values rather than economic values. The author asserts that insurers must rectify this misstep before A/L M can become a useful tool for them. Several forces are combining to ensure that this takes place in the near future.

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The Journal of Risk Finance, vol. 3 no. 1
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 1 July 2005

Sergio M. Focardi and Frank J. Fabozzi

This paper seeks to discuss a modeling tool for explaining credit‐risk contagion in credit portfolios.

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Abstract

Purpose

This paper seeks to discuss a modeling tool for explaining credit‐risk contagion in credit portfolios.

Design/methodology/approach

Presents a “collective risk” model that models the credit risk of a portfolio, an approach typical of insurance mathematics.

Findings

ACD models are self‐exciting point processes that offer a good representation of cascading phenomena due to bankruptcies. In other words, they model how a credit event might trigger other credit events. The model herein discussed is proposed as a robust global model of the aggregate loss of a credit portfolio; only a small number of parameters are required to estimate aggregate loss.

Originality/value

Discusses a modeling tool for explaining credit‐risk contagion in credit portfolios.

Details

The Journal of Risk Finance, vol. 6 no. 3
Type: Research Article
ISSN: 1526-5943

Keywords

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Book part
Publication date: 10 July 2014

To explain how cumulative efforts contribute to learning and literacy development.

Abstract

Purpose

To explain how cumulative efforts contribute to learning and literacy development.

Design/methodology/approach

A representation of how efforts lead to lasting growth is discussed through a variety of historical and current perspectives across content disciplines. This chapter includes depictions of how positive experiences can promote further success and recognizing one’s cumulative efforts and the effects from those are fundamental to educational attainment.

Findings

The value one places on tasks such as reading or writing is often aligned to the frequency with which those events occur. Students view their time and effort as capital; they are students’ most valued possessions, and how they allocate these commodities is a choice.

Practical implications

For students to become avid readers and writers, we must utilize a host of strategies to impress the notion that these activities are worth their attention, time, and investment.

Details

Theoretical Models of Learning and Literacy Development
Type: Book
ISBN: 978-1-78350-821-1

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Book part
Publication date: 5 February 2019

Les Coleman

Abstract

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New Principles of Equity Investment
Type: Book
ISBN: 978-1-78973-063-0

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Article
Publication date: 1 October 2008

P.D. Erasmus

This study implements inflation adjustments, as proposed by International Accounting Standard 15 (IAS15), to determine an inflation‐adjusted version of Economic Value…

Abstract

This study implements inflation adjustments, as proposed by International Accounting Standard 15 (IAS15), to determine an inflation‐adjusted version of Economic Value Added (EVA). The relationships between the nominal (EVAnom) and inflation‐adjusted (EVAreal) versions of EVA, and market‐adjusted share returns are investigated, and compared with those of residual income, earnings and operating cash flow. Relative information content tests suggest that earnings have the strongest relationship with share returns, while the results of the incremental tests indicate that the EVAnom and EVAreal components do not provide statistically significant information content beyond that provided by residual income.

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Meditari Accountancy Research, vol. 16 no. 2
Type: Research Article
ISSN: 1022-2529

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Article
Publication date: 1 March 2013

Martin J. Luby and Robert S. Kravchuk

Debt-related financial derivative usage by state and local governments became a very salient topic over the last few years in light of the Great Recession and its impacts…

Abstract

Debt-related financial derivative usage by state and local governments became a very salient topic over the last few years in light of the Great Recession and its impacts on the efficacy of these financial instruments. However, there has been a dearth of systematic research on the types and kinds of derivatives state and local governments have actually employed in recent years. While anecdotes of financial derivative usage has grabbed the headlines (such as the case of Jefferson County, Alabama), there has been little research examining the derivative portfolios among states or local governments pre- and post-Great Recession. Using descriptive research, this paper attempts to rectify this gap in the literature for state governments as a means of better understanding how the recent financial crisis has impacted the critical debt management decision to use financial derivatives.

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Journal of Public Budgeting, Accounting & Financial Management, vol. 25 no. 2
Type: Research Article
ISSN: 1096-3367

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Article
Publication date: 1 February 2002

PETER RUBINSTEIN, LEO M. TILMAN and ALAN TODD

This article discusses credit migration of diversified loan pool securitizations, as evidenced by the ratings transitions of mortgage‐backed securities (MBS) and…

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Abstract

This article discusses credit migration of diversified loan pool securitizations, as evidenced by the ratings transitions of mortgage‐backed securities (MBS) and asset‐backed securities (ABS). The authors contrast the ratings (i.e., credit) stability of MBS and ABS relative to ratings migration of general obligation corporate credit. They also use holding period returns to compare the total return portfolios of MBS/ABS to portfolios of senior unsecured corporate obligations.

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The Journal of Risk Finance, vol. 3 no. 3
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 1 January 2001

Paul L. Gronewoller, Janet McLeod and Lawrence C. Rose

This study evaluates the practicability of style analysis in evaluating the risk‐adjusted performance of New Zealand's retail equity trusts. The size of the New Zealand…

Abstract

This study evaluates the practicability of style analysis in evaluating the risk‐adjusted performance of New Zealand's retail equity trusts. The size of the New Zealand market and the short history of data available generate doubts concerning the usefulness of style analysis under these conditions. Style analysis provides useful insight when applied to the New Zealand retail equity unit trust sector. Two prevalent styles are identified, a large cap style and a mid‐cap‐value/small cap style. Little variation in style was detected for the group of trusts that tracked the large‐cap equity index but substantial variation was indicated in relative performance versus a passive investment in their style benchmarks. Significant variation was detected, both in terms of style and relative performance of trusts that tracked a mid‐cap‐value/small‐cap index. A small number of New Zealand equity managers were able to maintain a consistent style, while meeting or beating the performance of their style benchmarks.

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Pacific Accounting Review, vol. 13 no. 1
Type: Research Article
ISSN: 0114-0582

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Article
Publication date: 1 February 2003

DALE L. DOMIAN, DAVID A. LOUTON and MARIE D. RACINE

Finance textbooks typically state that 8 to 20 stocks can provide adequate diversification for a portfolio. However, these recommendations usually assume a short time…

Abstract

Finance textbooks typically state that 8 to 20 stocks can provide adequate diversification for a portfolio. However, these recommendations usually assume a short time horizon such as one year. We examine 20‐year cumulative rates of return and ending wealth from an initial $100,000 investment allocated among 100 large U.S. stocks. Probability distributions obtained from simulations illustrate the shortfall risk faced by investors who own fewer titan 100 stocks. Five percent of the 20‐stock portfolios have ending wealth shortfalls exceeding 28%. These findings suggest that 8 to 20 stocks may be insufficient for long‐term investors.

Details

Studies in Economics and Finance, vol. 21 no. 2
Type: Research Article
ISSN: 1086-7376

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