Financial Risk Management

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5 Risk measurement in banking - do you know any examples of classification for risk measurement?
By Blazej Kochanski · Gdansk University of Technology

Ronald Ruais · Discese of Rockville Centre

There is also 'political' risk

There is also 'political' risk

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Question:
Open What about considering probability of alea on economic evaluation ?
I presume research has been done that some of you could indicate to me. The attchment synthetize the idea : it is commonly considered discounting fina... [more]

I presume research has been done that some of you could indicate to me. The attchment synthetize the idea : it is commonly considered discounting finantial flux to evaluate for instance a project. But how are taken into account the risks of additional expenses, of less than expected profits, or delays or ... Thank you very much

Cost concept.pdf ×

By Daniel Hernandez · Devil-Hop

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10 Measuring Banks' vulnerability to Default
By Rudy Lange · University of Southeastern Philippines

Ijaz Hussain · Beaconhouse National University

Yes, I agree. An IMF Working Paper available at the following link might be helpful: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1971429

Yes, I agree. An IMF Working Paper available at the following link might be helpful: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1971429

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Question:
Open Where is the state of financial risk management and financial supervision of large firms compared to six years ago?
I have just returned from the Federal Reserve Bank of Atlanta's excellent 2013 Financial Markets Conference "Maintaining Financial Stability: Holding ... [more]

I have just returned from the Federal Reserve Bank of Atlanta's excellent 2013 Financial Markets Conference "Maintaining Financial Stability: Holding a Tiger by the Tail". Presenters included Fed Chairman Ben Bernanke, Professor John Taylor (Taylor Rule fame), Columbia's Professor Calomiris, Bank of England's Andy Haldane among many others. Topics included stress tests, a new proposed bankruptcy chapter for financial firms, the usefulness or otherwise of VAR, Too Big to Fail (TBTF) and Dodd-Frank. I came away with the impression that people don't think TBTF is fixed and that Dodd-Frank's orderly resolution authority would still lead to backdoor bailouts. That stress tests in the U.S. on banks and SiFis are improving and useful but there is room for more improvement. The push for simple rules over the complexity of Basle III is still alive. Everyone with an interest in the field should follow BoE's Haldance (Director of Financial Stability). Thoughts on the topic?

By John Ryding · RDQ Economics

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1 In how far higher capital requirements for banks can be justified in developing countries?
By Umrbek Allakulov · Hochschule für Technik und Wirtschaft Berlin

Anoop Mohanty · Lovely Professional University

Higher capital adequacy ratio for under developed countries is not fair. Seeing the state of economy world wide ( Economic crisis) Its very difficult ... [more]

Higher capital adequacy ratio for under developed countries is not fair. Seeing the state of economy world wide ( Economic crisis) Its very difficult to arrange for extra capital but the fact is even though is seems to be exploitative but we have to bring the things in order i.e.. minimum benchmark to be achieved so as to continue serving markets. It may lead to exit of weaker bank and take over by string international banks ( MNC Bank) again it may be a strategy for opening up of the service market for western counter parts under WTO regime. It seems to be difficult to get an access to the banking sector as they are safely guarded by trade unions so the only way left is to make a critical situation whereby Govt and Unions they leave their stand and offer the local banks to stronger players in the market. Extended time line is not a great idea. In the present state economically developed countries are struggling for getting capital hence involving themselves in shadow banking ( banking without capital requirements) and they are suggesting others to have capital is not fair. So their is a strong need to relook into the situations. All govts are running into fiscal deficits and hence not in a state to recapitalise their nationalised institutions.

Following
Question:
Open What is economic (loan) depreciation? How is it calculated?
Cash value added = NOPAT + DEP - ED(economic depreciation) - WACC

Cash value added = NOPAT + DEP - ED(economic depreciation) - WACC

EVA and Cash Value Added Do NOT Measure Shareholder Value Creation × Pablo Fernández

By Ensar Sahin · Hitit University

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2 Anyone know any database(s) that hold information about financial derivative instruments used by UK firms for hedging purposes? - Annual data please
By Bola Babajide · The University of Hull

Bola Babajide · The University of Hull

Dear Vinodh Madhavan, Your answer is quite helpful. I was thinking there would readily available data from databases (such datastream or any other so... [more]

Dear Vinodh Madhavan, Your answer is quite helpful. I was thinking there would readily available data from databases (such datastream or any other source). It has been time consuming assessing firm-level financial statements to collect the data. Since it is like there is no such readily available data apart from the financial statement I would have to continue hand-collecting the data. I got the 2011 paper from Mackay and Moeller, it is really helpful. They have another paper published in 2007 in Journal of Finance ''The Value of Corporate Risk Management'', that is a good paper as well. Thanks

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Question:
Open Is there any research on crude exposure management or financial risk management in energy companies or refineries?
I am looking at how crude inventory, forecast inventory, price forecasts can be used to support crude exposure and risk management.

I am looking at how crude inventory, forecast inventory, price forecasts can be used to support crude exposure and risk management.

By Faheem Hamid · Wipro Limited

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6 Financial risk and contagion - Is network model best toward analyzing Contagion in financial network?
By Aref Mahdavi Ardekani · Multimedia University

Bradut Bolos · Petru Maior University of Târgu Mures

I guess such links should be investigated, but they are harder to document scientifically. Even the simplest flows are hard to document at micro level... [more]

I guess such links should be investigated, but they are harder to document scientifically. Even the simplest flows are hard to document at micro level. However, in a outbreak situation (several apparently linked node failure) it would be advisable to investigate every little detail of their relationships.

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17 I am looking for your opinion regarding financial statements disclosure during crisis times. Is normal times accounting good enough for crisis times?
By Bradut Bolos · Petru Maior University of Târgu Mures

Bradut Bolos · Petru Maior University of Târgu Mures

Dear Abdol, This is a ongoing long term research topic. The Leontieff model (matrix) was done in past time before computers.New financial statements, ... [more]

Dear Abdol, This is a ongoing long term research topic. The Leontieff model (matrix) was done in past time before computers.New financial statements, and general use of something like XBRL will enable the construction of a more detailed Leontieff matrix, thus business network mapping. This, i believe is the future of shock modeling, as recorded events would permit usage of epidemiological (like) tools to determine nodes resilience to shock and the degree of exposure required for shocks to propagate, and the cases of abnormality contagion. So, input-output tables are the key, as you noticed immediately, however, those tables can be done in enough detail just if financial statements are changed to allow such data to be built. Until that time, only panel design research can provide some preliminary insights. Thank you, Bradut

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2 How do I work out whether to use a forwards or options hedge? Given the following information
By Meen Ar

Joseph Winsen · Government of Western Australia

The probability distribution given is a subjective one, and thus must be treated with caution as a guide in deciding whether or not and how to hedge. ... [more]

The probability distribution given is a subjective one, and thus must be treated with caution as a guide in deciding whether or not and how to hedge. The quoted exchange rates seem divorced from current rates, and the AUD option premium would be of little direct assistance in a USD/GBP exposure. With the benefit of hindsight at the end of the year, the best course of action will either be no hedge (if the GBP strengthens against USD), or a full forward hedge (GBP weakens), but the put on GBP (against the USD) will always run second of the 3 alternatives. So it depends on your risk attitude.

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1 How to use SWAP (Derivative) as a instrument for hedging risk?
By Anoop Mohanty · Lovely Professional University

Adrian Morffi · Emory University

Seems like basic but broad question. Could you be more specific? I would start with identifying risks that need to be hedged (e.g. credit, interest ... [more]

Seems like basic but broad question. Could you be more specific? I would start with identifying risks that need to be hedged (e.g. credit, interest rate, equity, etc.) then select a relevant swap that accomplishes risk objective. For example, you can hedge credit risk on $10M par amount bonds with a $10M notional credit default swap on the underlying.

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21 I am doing analysis and I need the following data on yearly basis from 2000-2010
By Vaibhav Sharma

Beeralaguddada Veerappa · Gulbarga University

better you go to bse monthly bulletin plenty of data available on these topics

better you go to bse monthly bulletin plenty of data available on these topics

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5 How to calculate the VaR ( Value at risk)?
By Anoop Mohanty · Lovely Professional University

Rogerio Merhy · Instituto de Ensino e Pesquisa (INSPER)

I used this site to explain the concepts of VaR and volatility for some customers. It may be useful for your research. http://www.riskglossary.com/

I used this site to explain the concepts of VaR and volatility for some customers. It may be useful for your research. http://www.riskglossary.com/

Following
Question:
Open What is the best measure for calculating the capital adequacy in LDA?
The LDA is a special case of AMA powerful method that has been used for calculating the capital adequacy. But it is dependent to the risk measure. So... [more]

The LDA is a special case of AMA powerful method that has been used for calculating the capital adequacy. But it is dependent to the risk measure. So, the risk measures play key roles in this approach.

By Hasan Fallahgoul · Khaje Nasir Toosi University of Technology

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7 Extreme Value Theorem in Investment Analysis
By Rudy Lange · University of Southeastern Philippines

Rolando Navarro · Purdue University

Hi Rudy, Here are my suggested references: Quantitative Risk Management: Concepts, Techniques, and Tools Alexander J. McNeil, Rüdiger Frey, & Paul E... [more]

Hi Rudy, Here are my suggested references: Quantitative Risk Management: Concepts, Techniques, and Tools Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts http://press.princeton.edu/titles/8056.html Embrechts lecture slides on EVT based on the book: http://web.abo.fi/fak/mnf/mate/tammerfors08/embrechts_tuesday.pdf (pp. 203-269) Modelling Extremal Events for Insurance and Finance http://www.math.ethz.ch/Finance/books#ExtremalEvents http://www.math.ethz.ch/finance/ExtremalEventsContents.html Extremal Events P. Embrechts,ETH Zürich, Switzerland C. Klüppelberg,Technische Universität München, Germany T. Mikosch,University of Copenhagen, Denmark Best, Rolando

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2 What is today's status of equity investment in India? Please substantiate your views,
By Sisira Mishra ·

Sisira Mishra ·

I am extramly sorry to say that the view expressed by you is insufficient to focus the issue. Please substantiate your views, if possible.

I am extramly sorry to say that the view expressed by you is insufficient to focus the issue. Please substantiate your views, if possible.

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Answer added to:
3 How to reduce the risk while we are entering into the derivatives market
By Raja Sekaran · Bharathidasan University

Bhushan Kamble · Shivaji University, Kolhapur

Whenever we are going to enter any market, analysis the full market and study the volatility of market. high volatility will indicate high risk but ot... [more]

Whenever we are going to enter any market, analysis the full market and study the volatility of market. high volatility will indicate high risk but other of it is we can get more return in same atmosphere. for risk measurement you can find many estimator, one of them is value at risk.

Following
Question:
Open A Regulator's Exercise of Career Option To Quit and Join A Regulated Firm's Management with Applications to Financial Institutions https://sites.googl...
A Regulator's Exercise of Career Option To Quit and Join A Regulated Firm's Management with Applications to Financial Institutions https://sites.googl... [more]

A Regulator's Exercise of Career Option To Quit and Join A Regulated Firm's Management with Applications to Financial Institutions https://sites.google.com/site/behavioraleconometrics/publications

By Geoffrey Cadogan

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2 Hello, Researcher.. My name is Suntari, I am doing MBA degree in Gadjah Mada University Yogyakarta Indonesia, finance mangement.
By Suntari Suntari · kppn

Gholamreza Golchin · Islamic Azad University

HI .U CAN GO TO "gigapedia.com" nd download related books .type ur topic n u will find more about there.urs

HI .U CAN GO TO "gigapedia.com" nd download related books .type ur topic n u will find more about there.urs

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1 How is the stock price formula for high frequency trading doing? So far its been well received. For those who want to know more visit the following ur...
By Geoffrey Cadogan

Muhmmad Mustafa · Abdul Wali Khan University Mardan

Thank you I need this

Thank you I need this

Following
Question:
Open For those interested, issues pertaining to portfolio performance evaluation is available at the link below. The paper introduces a zero set for CAPM a...
For those interested, issues pertaining to portfolio performance evaluation is available at the link below. The paper introduces a zero set for CAPM a... [more]

For those interested, issues pertaining to portfolio performance evaluation is available at the link below. The paper introduces a zero set for CAPM and a continuous time representation motivated by Tanaka's formula for local time.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1976082 ×
Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM by Godfrey Cadogan :: SSRN

We present conditions under which positive alpha exists in the realm of active portfolio management - in contrast to the controversial result in (Jarrow (2010)

By Geoffrey Cadogan

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Question:
Open For those who may be interested, a stock price formula geared towards high frequency trading is available at the following: Trading Rules Over Fundame...
For those who may be interested, a stock price formula geared towards high frequency trading is available at the following: Trading Rules Over Fundame... [more]

For those who may be interested, a stock price formula geared towards high frequency trading is available at the following: Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes

http://ssrn.com/abstract=1977561 ×
Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes by Godfrey Cadogan :: SSRN

In this paper we present a simple closed form stock price formula, which captures empirical regularities of high frequency trading (HFT), based on two factors:

By Geoffrey Cadogan

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Answer added to:
2 What kind of measures are needed to ease inflation in india?
By Gunapriya Ramamoorthy · india finance bazaar

Sidharta Chatterjee ·

Perhaps some intervention in the forex market may help...but that's unconventional.

Perhaps some intervention in the forex market may help...but that's unconventional.

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1 How do you measure statistically the effectiveness of hedging in stock markets with derivatives ?
By Mohan Thayyil · University of Calicut

Geoffrey Cadogan

Hello Mohan: At the risk of being self serving, I addressed that issue in a recent theoretical paper available at http://ssrn.com/abstracts=1920605. I... [more]

Hello Mohan: At the risk of being self serving, I addressed that issue in a recent theoretical paper available at http://ssrn.com/abstracts=1920605. I am in the process of devising some simulations and other empirics to confirm the power of the econometric tests therein.

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Answer added to:
2 which is the best economy in the world?
By Justin Joseph

Geoffrey Cadogan

A few years ago that question might have been easy to answer by simply looking at GDP or GNP per capita. However, these days the economics of happines... [more]

A few years ago that question might have been easy to answer by simply looking at GDP or GNP per capita. However, these days the economics of happiness use different metrics. So the question would have to be qualified.

Following
Question:
Open How to manage the portfolio risk while we are invest through portfolio process
Case study purposes

Case study purposes

By Raja Sekaran · Bharathidasan University

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Answer added to:
2 hi
By Savita Balhara · Maharshi Dayanand University

Ahmed Arif · Shaheed Zulfiqar Ali Bhutto Institute of Science and Technology

Infact Risk overwhelms an organization when its knowledge fails..

Infact Risk overwhelms an organization when its knowledge fails..

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11 MIcro-insurance
By Alphonse Crespo · Med-Consilium

Preeti Mehra · Indira Gandhi National Open University (IGNOU)

do you mean insurance also for those in small sector / cottage industry/ small self employed entrepreneurs who have taken credit from various agencies... [more]

do you mean insurance also for those in small sector / cottage industry/ small self employed entrepreneurs who have taken credit from various agencies? Can they get micro-insurance? What about self-help groups?

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5 financial Crisis
By Pravin Acharya · Manakamana Development Bank

Debendra Shrestha · Tribhuvan University

it should matter to all the responsible and noble person for a good cause.especially it should be managed by the responsible government , bureaucrat a... [more]

it should matter to all the responsible and noble person for a good cause.especially it should be managed by the responsible government , bureaucrat and technocrats n janta as well

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About Financial Risk Management

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Hmidi Khawla

Institut des Hautes Etudes Commerciales de Carthage
Tienan Wang

Harbin Institute of Technology
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Università degli Studi della Calabria
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Università della Svizzera italiana, Swiss Finance Institute
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Academia de Studii Economice Bucuresti
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Institut Teknologi Sepuluh Nopember

Financial Risk Management

Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM by Godfrey Cadogan :: SSRN

Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes by Godfrey Cadogan :: SSRN

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