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Economics, Econometrics and the LINK: Essays in Honor of Lawrence R.Klein
Type: Book
ISBN: 978-0-44481-787-7

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Publication date: 9 November 2009

Michael G. Papaioannou

The expanded sovereign bond portfolios from the sizeable public interventions in the financial sector during the current crisis need close monitoring and analysis of…

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The expanded sovereign bond portfolios from the sizeable public interventions in the financial sector during the current crisis need close monitoring and analysis of emerging vulnerabilities. This chapter presents some conventional and new measures of market, credit, and liquidity risks for government bond portfolios, considered from the perspective of a sovereign debt manager. In particular, it examines duration, convexity, and VaR statistics as measures of market exposure; the contingent-claims approach as the most promising measure of credit risk exposure; and a VaR statistic as a measure of liquidity risk.

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Credit, Currency, or Derivatives: Instruments of Global Financial Stability Or crisis?
Type: Book
ISBN: 978-1-84950-601-4

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Book part
Publication date: 9 November 2009

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Credit, Currency, or Derivatives: Instruments of Global Financial Stability Or crisis?
Type: Book
ISBN: 978-1-84950-601-4

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Book part
Publication date: 9 November 2009

Abstract

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Credit, Currency, or Derivatives: Instruments of Global Financial Stability Or crisis?
Type: Book
ISBN: 978-1-84950-601-4

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Book part
Publication date: 9 November 2009

Jongmoo Jay Choi and Michael G. Papaioannou

The current US financial crisis has elicited unprecedented responses by various government agencies and institutions. The current crisis is the most serious since the…

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The current US financial crisis has elicited unprecedented responses by various government agencies and institutions. The current crisis is the most serious since the 1930s in terms of its financial and economic impacts and global repercussions, but its origin in the largest developed country in the world contrasts with other crises originated in emerging markets. We survey the issues pertaining to the similarities and differences in the causes and policy responses in the current US financial crisis versus the Asian financial crisis in 1997–1998. We discuss the implications for prevention and management of similar financial crises in the future.

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Credit, Currency, or Derivatives: Instruments of Global Financial Stability Or crisis?
Type: Book
ISBN: 978-1-84950-601-4

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Book part
Publication date: 2 December 2003

Ahmed S Abutaleb, Yuzo Kumasaka and Michael G Papaioannou

This paper presents a new adaptive technique for forecasting the Yen/U.S. Dollar exchange rate. The proposed method assumes a time-varying model to describe the evolution…

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This paper presents a new adaptive technique for forecasting the Yen/U.S. Dollar exchange rate. The proposed method assumes a time-varying model to describe the evolution of the exchange rate. Weekly predictions of the Yen/U.S. Dollar rate are dominated by weekly announcements of unexpected changes in the relative unemployment claims between the U.S. and Japan. Monthly predictions are more sensitive to monthly releases of the difference between the expected and announced value of the National Association of Purchasing Managers index. The predictive results of the proposed method are found more accurate than that of conventional ARMA techniques.

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The Japanese Finance: Corporate Finance and Capital Markets in ...
Type: Book
ISBN: 978-1-84950-246-7

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Book part
Publication date: 9 November 2009

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Credit, Currency, or Derivatives: Instruments of Global Financial Stability Or crisis?
Type: Book
ISBN: 978-1-84950-601-4

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Book part
Publication date: 16 December 2002

Michael G. Papaioannou and E.K. Gatzonas

The paper presents a treatment for the measurement and disclosure of market and credit risks in the context of capital adequacy regulation. The proposed approach is in…

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The paper presents a treatment for the measurement and disclosure of market and credit risks in the context of capital adequacy regulation. The proposed approach is in conformity with the Basle Committee's latest proposal on risk measurement, and is based on the Value-at-Risk (VaR) methodology. This approach is applied to investments in close-end country funds of emerging markets. For 13 .such funds listed in the New York Stock Exchange during the period October 1994 to December 1997, the average VaR estimate is found to be well above the capital adequacy ratio of 8% required by most regulatory authorities and to be sensitive to the emergence of increased financial turbulence.

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Global Risk Management: Financial, Operational, and Insurance Strategies
Type: Book
ISBN: 978-1-84950-189-7

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Book part
Publication date: 9 November 2009

Pierre Clauss, Thierry Roncalli and Guillaume Weisang

In December 2008, as the financial and economic crisis continued on its devastating course, a new scandal erupted. After the 1998s failure of Long-Term Capital Management…

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In December 2008, as the financial and economic crisis continued on its devastating course, a new scandal erupted. After the 1998s failure of Long-Term Capital Management, Madoff's fraud once again discredits the hedge funds industry. This scandal is, however, of a different kind. Indeed, Madoff's firm is not a standard hedge fund but a developed Ponzi scheme. By explaining Madoff's system and exploring the reasons for its collapse, this paper draws risk management lessons from this fraud, especially for operational risk management, due diligence processes, and the use of quantitative replication, regulatory, and standardizing approaches of the hedge fund industry.

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Credit, Currency, or Derivatives: Instruments of Global Financial Stability Or crisis?
Type: Book
ISBN: 978-1-84950-601-4

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Book part
Publication date: 9 November 2009

Abstract

Details

Credit, Currency, or Derivatives: Instruments of Global Financial Stability Or crisis?
Type: Book
ISBN: 978-1-84950-601-4

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