New Economics Papers
on Risk Management
Issue of 2013‒05‒22
nine papers chosen by
  1. Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk By Kyle Moore; Pengfei Sun; Casper de Vries; Chen Zhou
  2. Disaster Risk Management in South Asia : A Regional Overview By World Bank
  3. Advancing Disaster Risk Financing and Insurance in ASEAN Member States : Framework and Options for Implementation, Volume 1. Main report By World Bank
  4. A model for dependent defaults and pricing contingent claims with counterparty risk By Dariusz Gatarek; Juliusz Jabłecki
  5. The influence of regulatory and institutional framework and shareholder structure upon risk of financial institutions in Central Europe By Dorota Skała
  6. Restructuring counterparty credit risk By Albanese, Claudio; Brigo, Damiano; Oertel, Frank
  7. Advancing Disaster Risk Financing and Insurance in ASEAN Member States : Framework and Options for Implementation, Volume 2. Technical Appendices By World Bank
  8. Weather Risk Management Pilot Program : Tanzania By World Bank
  9. The Basel III Financial Architecture and Emerging Regulatory Developments in Macro Prudential Tools By World Bank
  1. By: Kyle Moore (Erasmus University Rotterdam and Tinbergen Institute); Pengfei Sun (Erasmus University Rotterdam and Tinbergen Institute); Casper de Vries (Erasmus University Rotterdam and Chapman University); Chen Zhou (De Nederlandsche Bank and Erasmus University Rotterdam)
    Abstract: We analyze the cross-sectional differences in the tail risk of equity returns and identify the drivers of tail risk. We provide two statistical procedures to test the hypothesis of cross-sectional downside tail shape homogeneity. An empirical study of 230 US non-financial firms shows that between 2008 and 2011 the cross-sectional tail shape is homogeneous across equity returns. The heterogeneity in tail risk over this period can be entirely attributed to differences in scale. The differences in scales are driven by the following firm characteristics: market beta, size, book-to-market ratio, leverage and bid-ask spread.
    Keywords: Extreme Value Theory, Hypothesis Testing, Tail Index, Tail Risk
    JEL: C12 G11 G12
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:chu:wpaper:13-13&r=rmg
  2. By: World Bank
    Date: 2012–12
    URL: http://d.repec.org/n?u=RePEc:wbk:wboper:13218&r=rmg
  3. By: World Bank
    Keywords: Environment - Natural Disasters Insurance and Risk Mitigation Urban Development - Hazard Risk Management Conflict and Development - Disaster Management Banks and Banking Reform Finance and Financial Sector Development
    Date: 2012–04
    URL: http://d.repec.org/n?u=RePEc:wbk:wboper:12627&r=rmg
  4. By: Dariusz Gatarek (HVB Unicredit and Systems Research Institute, Polish Academy of Sciences); Juliusz Jabłecki (Economic Institute, National Bank of Poland and Faculty of Economic Sciences)
    Abstract: This paper presents a new, intuitive but mathematically powerful model of dependent defaults and derives a general framework for pricing products whose values depend on credit correlation between the counterparty and the reference entity. The dependence framework is a natural extension of the Gaussian factor approach, which can be applied in the context of reduced form credit risk models, allowing i.a. for stochastic hazard and recovery rates. The prices of plain vanilla credit default swaps, first-to-default swaps and default swaptions are derived as particular examples.
    Keywords: default correlation, counterparty risk, reduced form models
    JEL: G12 G13
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:nbp:nbpmis:150&r=rmg
  5. By: Dorota Skała (Department of Finance, WNEiZ, University of Szczecin.)
    Abstract: We study the effects of broadening the safety net on bank risk taking in Central Europe, using individual bank data and time-varying regulatory data. Further, we analyse the shareholder structure and its links with risk, as well as possible modifications it may introduce to the moral hazard incentives produced by the financial safety net. We find that more extensive deposit insurance schemes and state aid granted to the financial sector induce higher levels of risk in individual banks. The shareholder structure does not significantly influence the risk levels, although some evidence for higher risk of government-owned institutions is identified. Majority ownership in the form of other financial institutions not only does not alleviate the moral hazard, but makes it more acute, at least in some risk specifications.
    Keywords: Bank risk taking, moral hazard, transition economies
    JEL: G21 G28 G32
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:nbp:nbpmis:149&r=rmg
  6. By: Albanese, Claudio; Brigo, Damiano; Oertel, Frank
    Abstract: We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA). Depending on how the default contingency is accounted for, we list a total of ten different structuring styles. These include bi-partite structures between a bank and a counterparty, tri-partite structures with one margin lender in addition, quadripartite structures with two margin lenders and, most importantly, configurations where all derivative transactions are cleared through a central counterparty (CCP). We compare the various structuring styles under a number of criteria including consistency from an accounting standpoint, counterparty risk hedgeability, numerical complexity, transaction portability upon default, induced behaviour and macro-economic impact of the implied wealth allocation. --
    Keywords: counterparty credit risk,CVA,DVA,margin lending,securitisation,Basel III,CCP,clearing,collateral,OTC
    JEL: C51 C54 C63 E51 G01 G32 G33
    Date: 2013
    URL: http://d.repec.org/n?u=RePEc:zbw:bubdps:142013&r=rmg
  7. By: World Bank
    Keywords: Environment - Natural Disasters Urban Development - Hazard Risk Management Health, Nutrition and Population - Population Policies Conflict and Development - Disaster Management Environment - Adaptation to Climate Change Health Nutrition and Population
    Date: 2012–04
    URL: http://d.repec.org/n?u=RePEc:wbk:wboper:12628&r=rmg
  8. By: World Bank
    Keywords: Urban Development - Hazard Risk Management Finance and Financial Sector Development - Debt Markets Macroeconomics and Economic Growth - Climate Change Economics Finance and Financial Sector Development - Access to Finance Finance and Financial Sector Development - Bankruptcy and Resolution of Financial Distress
    Date: 2012
    URL: http://d.repec.org/n?u=RePEc:wbk:wboper:12742&r=rmg
  9. By: World Bank
    Keywords: Banks and Banking Reform Finance and Financial Sector Development - Debt Markets Private Sector Development - Emerging Markets Finance and Financial Sector Development - Access to Finance Finance and Financial Sector Development - Bankruptcy and Resolution of Financial Distress
    Date: 2012
    URL: http://d.repec.org/n?u=RePEc:wbk:wboper:12809&r=rmg
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