搜索结果: 1-15 共查到“货币银行学 the measures”相关记录20条 . 查询时间(0.281 秒)
Monetary Policy and the Recent Extraordinary Measures Taken by the Federal Reserve
Monetary Policy Recent Extraordinary Measures
2015/8/3
The recent increase came about as a direct result of the Fed’s decision to purchase
securities and make loans to certain sectors and financial institutions. More specifically, the Fed
financed these...
Do Measures of Financial Constraints Measure Financial Constraints?
Finance Financial Services Industry
2015/4/27
Financial constraints are not directly observable, so empirical research relies on indirect measures. We evaluate how well five popular measures (paying dividends, having a credit rating, and the Kapl...
The European Commission's Phasing-Out Process for Exceptional Crisis-related Measures
the phasing out plan of European Commission the measures of Member States the European Union
2011/10/5
The article discusses the phasing out plan of European Commission for the measures of Member States of the European Union (EU) against the financial and economic crisis. The exit, accordingly, was aim...
Provisional Measures on the Business Management of Derivative Product Transactions of Financial Institutions
provisional measures the management of transactions derivative products financial institutions
2011/9/24
The article discusses the provisional measures regarding the management of transactions for derivative products of financial institutions from the 55th Chairman's Meeting of the China Banking Regulato...
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory insurance Wang transform
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables,
which preserve the property of coherence. The first, based on distorted expectations, operates ...
Precautionary Measures for Credit Risk Management in Jump Models
Credit risk management Double exponential jump diffusion Spectrally negative L´ evy processes
2010/10/19
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
The fractional volatility model: No-arbitrage, leverage and risk measures
Fractional noise Arbitrage Incomplete market Risk measures
2010/10/21
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Dep...
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treat...
Recent progress in random metric theory and its applications to conditional risk measures
random normed module random inner product module random locally convex module
2010/10/20
The purpose of this paper is to give a selective survey on recent progress in random metric theory and its applications to conditional risk measures.
Risk Measures in Quantitative Finance
Risk measures coherent risk management portfolios investment
2010/10/29
This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross section of Academics a...
Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Estimating Term Structures Consistent Risk Measures
2010/11/3
In the second part of our series we suggest new definitions of credit bond duration and
convexity that remain consistent across all levels of credit quality including deeply distressed bonds and intr...
Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Defining, Estimating Consistent Valuation Measures
2010/11/3
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct
for the bi...
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging Dynamic Risk Measures
2010/12/13
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...
Spectral Risk Measures: Properties and Limitations
coherent risk measures spectral risk measures exponential utility power utility
2011/3/31
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper address...