Review Of The Promise And Peril Of Credit: What A Forgotten Legend About Jews And Finance Tells Us About The Making Of European Commercial Society,
2019
Chapman University
Review Of The Promise And Peril Of Credit: What A Forgotten Legend About Jews And Finance Tells Us About The Making Of European Commercial Society, Jared Rubin
Economics Faculty Articles and Research
A review of The Promise and Peril of Credit: What a Forgotten Legend about Jews and Finance Tells Us about the Making of European Commercial Society, by Francesca Trivellato, published by Princeton University Press.
Importance Of Subjective Financial Knowledge And Perceived Credit Score In Payday Loan Use,
2019
Minnesota State University, Mankato
Importance Of Subjective Financial Knowledge And Perceived Credit Score In Payday Loan Use, Jae Min Lee, Narang Park, Wookjae Heo
Consumer Sciences Faculty Publications
This study examined the factors associated with consumers’ decisions to use payday loans. Using a sample of 24,201 respondents from the 2015 National Financial Capability Study (NFCS), structural equation modeling was used to analyze the relationships among the variables. The results indicated that payday loan use was associated with a series of consumers’ socio-psychological factors, including financial knowledge, perceived credit score, credit-card payment problems, and having emergency funds. The findings suggested that, to improve borrowing decisions and industry practices, discussions about consumers’ payday loan use and its underlying repayment problems should encompass policy intervention and institutional attention, rather than focusing …
The Impact Of Local Broadband Coverage On U.S. Firms’ Information Environment,
2019
CUNY Graduate Center
The Impact Of Local Broadband Coverage On U.S. Firms’ Information Environment, Zhiyuan Tu
Dissertations, Theses, and Capstone Projects
This study investigates the impact of local broadband coverage on the information environment of firms located in the United States. I hypothesize that more intensive local broadband coverage improves the overall quality of a firm’s information environment by allowing more locally generated firm-specific news to be more broadly disseminated via the Internet. I use the Federal Communication Commission (FCC)’s form 477 data to measure the intensity of local broadband coverage. I find that more intensive local broadband coverage near a firm is associated with a firm having smaller earnings surprises, and lower abnormal information asymmetry around quarterly earnings announcements. These …
New Factor Structure Models And Idiosyncratic Volatility,
2019
CUNY Graduate Center
New Factor Structure Models And Idiosyncratic Volatility, Ossama Elhadary
Dissertations, Theses, and Capstone Projects
In this dissertation, I propose new factor structures that are based on the Fama-French style factors but include additional locations like the industry groups and the exchanges where the stocks are traded. I show that the stock returns are clustered around the industry groups and the exchanges. Idiosyncratic volatility calculated using the new factor structure models tend to be smaller than those calculated using the traditional Fama-French model. By sorting portfolios using the idiosyncratic volatility computed using the new factor models, a trader can gain larger profits compared to sorting the portfolio using the traditionally calculated idiosyncratic volatility.
Essays On New Keynesian Term Premium Model With Financial Risks,
2019
CUNY Graduate Center
Essays On New Keynesian Term Premium Model With Financial Risks, Weiguo Fu
Dissertations, Theses, and Capstone Projects
This dissertation studies the modeling of U.S. Treasury (UST) yield curve term premia under the New Keynesian (NK) framework. Loosely speaking, term premium is the difference between a government bond’s yield for a specific tenor and the average of the expected short rates up to that tenor. The dissertation is divided into three chapters. The first chapter proposes a New Keynesianism-based macro-finance model estimated by a one-step full information maximum likelihood (FIML) method. The second chapter shows that the one-step FIML method may produce estimation biases, which result in biased expected short rates and term premia. The chapter then presents …
Volatility Timing Under Low-Volatility Strategy,
2019
Singapore Management University
Volatility Timing Under Low-Volatility Strategy, Poh Ling Neo, Chyng Wen Tee
Research Collection Lee Kong Chian School Of Business
The authors devise a volatility timing strategy based on statistical tests on the slope of the volatility decile portfolio return profile. Superior performance is obtained, with a 30% increase in Sharpe ratio and an order of magnitude improvement on cumulated wealth. The profitability of the volatility timing strategy can be attributed to holding a diversified portfolio during bear markets, while holding a concentrated growth portfolio during bull markets.
Wti Crude Oil Option Implied Var And Cvar: An Empirical Application,
2019
Institute of Finance, Lugano
Wti Crude Oil Option Implied Var And Cvar: An Empirical Application, Giovanni Barone-Adesi, Marinela Adriana Finta, Chiara Legnazzi, Carlo Sala
Research Collection Lee Kong Chian School Of Business
Using option market data we derive naturally forward-looking, non-parametric and model-free risk estimates, three desired characteristics hardly obtainable using historical returns. The option-implied measures are only based on the first derivative of the option price with respect to the strike price, bypassing the difficult task of estimating the tail of the return distribution. We estimate and backtest the 1%, 2.5%, and 5% WTI crude oil futures option-implied value at risk and conditional value at risk for the turbulent years 2011–2016 and for both tails of the distribution. Compared with risk estimations based on the filtered historical simulation methodology, our results …
The World Predictive Power Of U.S. Equity Market Skewness Risk,
2019
Singapore Management University
The World Predictive Power Of U.S. Equity Market Skewness Risk, Jian Chen, Fuwei Jiang, Shuyu Xue, Jiaquan Yao
Research Collection Lee Kong Chian School Of Business
This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts higher future returns on international equity markets. The predictability remains significant after controlling for a set of U.S. and local forecasting variables. Furthermore, we find strong predictability in- an out-of-sample setting and the predictability delivers a large economic value. The U.S. market skewness also forecasts U.S. economic recessions and international market conditions, consistent with the international three-moment capital asset pricing model (three-moment CAPM) and the intertemporal capital asset pricing model (ICAPM).
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model,
2019
JP Morgan
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model, Anders Eriksson, Daniel P. A. Preve, Jun Yu
Research Collection School Of Economics
This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new model extends a related linear nonnegative autoregressive model previously used in the volatility literature by way of a power transformation. It is semiparametric in the sense that the distributional and functional form of its error component is partially unspecified. The statistical properties of the model are discussed and a novel estimation method is proposed. Simulation studies validate the new method and suggest that it works reasonably well in finite samples. The out-of-sample forecasting performance of the proposed model is evaluated against a number of …
Analysis Of Credit Enhancement Of Financing Guarantee Company,
2019
Singapore Management University
Analysis Of Credit Enhancement Of Financing Guarantee Company, Tiewei Zhang
Dissertations and Theses Collection (Open Access)
In China, the financing problem of SMEs has been concerned for a long time, but it has not been effectively solved. At present, the development of financing guarantee companies (FGCs) providing credit enhancement services for SMEs is facing severe challenges. Essentially, financing guarantee is a special kind of creditor’s right (debt investor’s rights). The essence of creditor's right is the seller position of put options. Because the return-risk structure of creditor's right is seriously asymmetric, debt investors should follow the prudent and conservative operating principle. The "5Ws" principle or "5Cs" principle of bank loan business is the embodiment of this …
Jpmorgan Chase London Whale H: Cross-Border Regulation,
2019
Yale School of Management
Jpmorgan Chase London Whale H: Cross-Border Regulation, Arwin G. Zeissler, Andrew Metrick
Journal of Financial Crises
As a global financial service provider, JPMorgan Chase (JPM) is supervised by banking regulatory agencies in different countries. Bruno Iksil, the derivatives trader primarily responsible for the $6 billion trading loss in 2012, was based in JPM’s London office. This office was regulated both by the Office of the Comptroller of the Currency (OCC) of the United States (US) and by the Financial Services Authority (FSA), which served as the sole regulator of all financial services in the United Kingdom (UK). Banking regulators in the US and the UK have entered into agreements with one another to define basic parameters …
Jpmorgan Chase London Whale G: Hedging Versus Proprietary Trading,
2019
Yale School of Management
Jpmorgan Chase London Whale G: Hedging Versus Proprietary Trading, Arwin G. Zeissler, Andrew Metrick
Journal of Financial Crises
In December 2013, the primary United States financial regulatory agencies jointly adopted final rules to implement Section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act, which is often referred to as the “Volcker Rule”. Section 619 prohibits banks from engaging in activities considered to be particularly risky, including proprietary trading and owning hedge funds or private equity funds. Banking regulators designed the final rule against proprietary trading in part to prevent losses like the $6 billion London Whale loss that took place in 2012 at JPMorgan Chase. Given the controversial nature of the Volcker Rule, it is …
Jpmorgan Chase London Whale F: Required Securities Disclosures,
2019
Yale School of Management
Jpmorgan Chase London Whale F: Required Securities Disclosures, Arwin G. Zeissler, Giulio Girardi, Andrew Metrick
Journal of Financial Crises
On April 13, 2012, JPMorgan Chase (JPM) Chief Financial Officer Douglas Braunstein took part in a conference call to discuss the bank’s first quarter 2012 earnings. Coming just a week after media reports first questioned the risks taken by JPM derivatives trader Bruno Iksil, Braunstein made a series of assertions about the trades. On May 10, JPM finalized its first quarter financial results, which included some disclosures regarding Iksil’s trading that were substantially different from Braunstein’s statements of April 13. At issue is whether the regulatory filings on April 13 and May 10, as well as verbal comments by Braunstein …
Jpmorgan Chase London Whale E: Supervisory Oversight,
2019
Yale School of Management
Jpmorgan Chase London Whale E: Supervisory Oversight, Arwin G. Zeissler, Andrew Metrick
Journal of Financial Crises
As a diversified financial service provider and the largest United States bank holding company, JPMorgan Chase (JPM) is supervised by multiple regulatory agencies. JPM’s commercial bank subsidiaries hold a national charter and therefore are regulated by the Office of the Comptroller of the Currency (OCC). Since the bank’s Chief Investment Office (CIO) invested the surplus deposits of JPM’s commercial bank units, the OCC was also CIO’s primary regulator. During the critical period from late January through March 2012, when CIO traders undertook the failed derivatives strategy that ultimately cost the bank $6 billion, JPM did not provide the OCC with …
Jpmorgan Chase London Whale C: Risk Limits, Metrics, And Models,
2019
Yale School of Management
Jpmorgan Chase London Whale C: Risk Limits, Metrics, And Models, Arwin G. Zeissler, Andrew Metrick
Journal of Financial Crises
Value at Risk (VaR) is one of the most commonly used ways to measure and monitor market risk. At JPMorgan Chase (JPM), very large derivative positions established by Bruno Iksil in the Synthetic Credit Portfolio (SCP) caused the bank’s Chief Investment Office (CIO) to exceed its VaR limit for four days in a row in January 2012. In response, the CIO changed to a new VaR model on January 30, which appeared to immediately reduce VaR by half. However, JPM soon discovered that this new VaR model had not been properly implemented and the bank went back to using the …
Jpmorgan Chase London Whale A: Risky Business,
2019
Yale School of Management
Jpmorgan Chase London Whale A: Risky Business, Arwin G. Zeissler, Daisuke Ikeda, Andrew Metrick
Journal of Financial Crises
In December 2011, the Chief Executive Officer and Chief Financial Officer of JPMorgan Chase (JPM) instructed the bank’s Chief Investment Office to reduce the size of its Synthetic Credit Portfolio (SCP) during 2012, so that JPM could decrease its RiskWeighted Assets as the bank prepared to adopt the impending Basel III bank capital regulations. However, the SCP traders were also told to minimize the trading costs incurred to reduce Risk-Weighted Assets, while still maintaining the opportunity to profit from unexpected corporate bankruptcies. In an attempt to balance these competing objectives, head SCP derivatives trader Bruno Iksil suggested in January 2012 …
What Is The Role Of Basel Iii In Creating Sufficient Risk Management In Banking Sector?,
2019
Embry-Riddle Aeronautical University
What Is The Role Of Basel Iii In Creating Sufficient Risk Management In Banking Sector?, Dimitrios V. Siskos
Publications
This paper attempts to investigate the reasons that lead bankers into establishing Basel III agreement and, second, to examine whether it would be able to bring about prudent risk behavior among banks. Basel III was the third set of regulations, following Basel I and Basel II, and was developed in response to the financial crisis. The measures developed by the Basel Committee on Banking Supervision aimed to reinforce banks liquidity, to protect the banking sector from systemic risks, as well as to solidify the regulation. Although most of the fundamental problems, that were responsible for the global financial crisis, had …
Systemic Risk In Financial Networks,
2019
Washington University in St. Louis
Systemic Risk In Financial Networks, Tathagata Banerjee
McKelvey School of Engineering Graduate Student Theses & Dissertations
In this dissertation, I have used the network model based approach to study systemic risk in financial networks. In particular, I have worked on generalized extensions of the Eisenberg--Noe [2001] framework to account for realistic financial situations viz. pricing of corporate debt while accounting for network effects, asset liquidation mechanisms during fire sales, dynamic clearing and impact of contingent payments such as insurance and credit default swaps. First, I present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. I demonstrate that the comonotonic setting provides a lower bound to the price …
A Dynamical Systems Approach To Cryptocurrency Stability,
2019
Chapman University
A Dynamical Systems Approach To Cryptocurrency Stability, Carey Caginalp
ESI Publications
Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or creditors. We model these assets from the perspective of asset flow equations developed by Caginalp and Balenovich, and investigate their stability under various parameters, as classical finance methodology is inapplicable. By utilizing the concept of liquidity price and analyzing stability of the resulting system of ordinary differential equations, we obtain conditions under which the system is linearly stable. We find that trend-based motivations …
Pricing Of Idiosyncratic Risk In An Intermediary Asset Pricing Model,
2019
University of New Orleans
Pricing Of Idiosyncratic Risk In An Intermediary Asset Pricing Model, Hasib Ahmed
LSU New Orleans Theses and Dissertations
Standard asset pricing theories suggest that only systematic risk is priced. Empirical studies report a relationship between idiosyncratic volatility or risk (IVOL) and asset price. The most common explanation for this anomaly is that households under-diversify creating a Bad Model problem. This paper uses an Intermediary Asset Pricing Model (IAPM) as a way to control for under-diversification in evaluating the relationship between IVOL and asset price. We find that IVOL premia is lower in an IAPM. Our findings indicate that under-diversification can explain the anomaly partially.
