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Full-Text Articles in Finance and Financial Management
The Risk Exposures Of Asia-Focused Hedge Funds, Melvyn Teo
The Risk Exposures Of Asia-Focused Hedge Funds, Melvyn Teo
Research Collection BNP Paribas Hedge Fund Centre
How have Asia-focused hedge funds adjusted their risk exposures in response to the recent financial crisis? By evaluating fund performance relative to an augmented Fung and Hsieh (2004) model, we find that Asia-focused hedge funds have broadly trimmed risk exposures post-crisis. They have reduced their exposure to small stocks relative to large stocks, scaled back their loadings on high yield corporate bonds relative to low yield U.S. sovereign debt, and pared their allocation to the Japanese equity markets. At the same time, however, they are now more exposed to Asian equity markets.
Using Monte Carlo Simulations To Establish A New House Price Stress Test, James R. Follain, Seth H. Giertz
Using Monte Carlo Simulations To Establish A New House Price Stress Test, James R. Follain, Seth H. Giertz
Department of Economics: Faculty Publications
The focus of this paper is on the house price stress test (termed ALMO) that was designed to assess the fiscal strength of Fannie Mae and Freddie Mac and, if necessary, to trigger remedial action in order to avert a crisis. We assess whether the ALMO stress test was an adequate representation of an extremely weak housing market, given the best available information leading up to the Great Recession. A Monte Carlo simulation model is developed to estimate the severity of low probability events (i.e., severe house price declines). We illustrate the complexity and subjective nature of the process used …
The Fed And The 2007-2009 Financial Crisis: Treating A Virus With Antibiotics? Evidence From The Commercial Paper Market, Mark D. Griffiths, Vladimir Kotomin, Drew B. Winters
The Fed And The 2007-2009 Financial Crisis: Treating A Virus With Antibiotics? Evidence From The Commercial Paper Market, Mark D. Griffiths, Vladimir Kotomin, Drew B. Winters
Faculty Publications - Finance, Insurance, and Law
The two main explanations for the 2007-2009 financial crisis in the money markets are credit concerns and liquidity issues. These risks are intimately related, especially in the money markets, and either can lead to somewhat similar behavior by market participants. We study the U.S. commercial paper (CP) market to draw insights about the nature of the crisis which resulted in the amount of outstanding CP shrinking from the peak of $2.18 trillion in early August 2007 to $1.27 trillion in early July 2009. However, the CP market is not homogeneous in terms of credit quality, maturities and types of issues …
Measuring Real Capital Adequacy In Extreme Economic Conditions: An Examination Of Swiss Banking Sector, David E. Allen, Robert Powell
Measuring Real Capital Adequacy In Extreme Economic Conditions: An Examination Of Swiss Banking Sector, David E. Allen, Robert Powell
Research outputs 2011
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. In particular, capital adequacy has been called into question. Current capital requirements make no allowance for capital erosion caused by movements in the market value of assets. This paper examines default probabilities of Swiss banks under extreme conditions using structural modeling techniques. Conditional Value at Risk (CVaR) and Conditional Probability of Default (CPD) techniques are used to measure capital erosion. Significant increase in Probability of Default (PD) is found during the GFC period. The market asset value based approach indicates a much higher PD than external …
Analyzing The Effects Of Credit Rating Changes, The Recent Financial Crisis And Other Variables On Firms' Debt Levels, Sean M. Wasserman
Analyzing The Effects Of Credit Rating Changes, The Recent Financial Crisis And Other Variables On Firms' Debt Levels, Sean M. Wasserman
CMC Senior Theses
This paper utilizes a sample of firms over the years 2000–2009 to test the effects of credit rating changes, the financial crisis, interest rates, and other variables on short-term, long-term, and total debt levels on the balance sheet. Each independent variable was created using a one year lag in order to run the regressions. The values of these variables from the previous year are being analyzed to see if they can predict debt levels for the following year. The results of this paper suggest that levels of long-term and total debt are somewhat reliant on and are positively correlated with …
The Role Of Pension Funds In A Global Economy (In Italian), Paola Bongini, Gregorio Impavido
The Role Of Pension Funds In A Global Economy (In Italian), Paola Bongini, Gregorio Impavido
Paola Bongini
No abstract provided.