2005
DOI: 10.1002/9781118673515
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Asset and Risk Management

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Cited by 27 publications
(12 citation statements)
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“…The lower λ, the more quickly older observations are forgotten. Risk Metrics has chosen λ = 0.94 for daily data and λ = 0.97 for monthly data (Esch, Kieffer & Lopez, 2005).…”
Section: Methodsmentioning
confidence: 99%
“…The lower λ, the more quickly older observations are forgotten. Risk Metrics has chosen λ = 0.94 for daily data and λ = 0.97 for monthly data (Esch, Kieffer & Lopez, 2005).…”
Section: Methodsmentioning
confidence: 99%
“…Greuning and Bratanovic (2003) explained that when interest rates change, a bank's earnings and expenses change along with the value of its assets, liabilities, and off-balance-sheet positions. Changing interest rates affect a bank's bond portfolio holdings by increasing the risk of reinvestment and the risk of realization (Esch et al, 2005), while high interest rates increase credit risk by contributing to firm failure (Nkurunziza, 2005) and increase liquidity risk by raising bank funding costs especially for small banks (Brownbridge, 1998). Misati et al (2013) pointed out that fuel and food inflation are the key drivers of inflation in Kenya, contributing to over 80% of overall inflation every month.…”
Section: Macroeconomic Factors and Banking Riskmentioning
confidence: 99%
“…Bond prices fall as interest rates rise, but the amount of the price change depends on the level of interest rates. d) Vega is the risk that volatility changes in the underlying risk factor will cause a change in the value of an exposure [7]. For purchased options (longs), declines in volatility pose the risk.…”
Section: Market Risksmentioning
confidence: 99%
“…Less volatility means there is a smaller chance that the option held will expire profitability. e) For options written (short), lower volatility increases the odds for an unprofitable exercise against the short to occur [7]. f) Theta measures the risk to certain exposures due only to the passage of time, insurance, for example, is an asset that decays or wastes over time.…”
Section: Market Risksmentioning
confidence: 99%
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