Download or read book Medici n integral del riesgo de cr dito written by Alan Elizondo and published by Editorial Limusa. This book was released on 2003 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Este material tiene por objeto contribuir a la difusión del tema de medición de riesgos de créditos y señalar los factores que los modelos deben tomar en cuenta para ser adaptados a las circunstancias comúnmente observadas en países emergentes. Por medio de la edición de documentos elaborados por expertos en el tema, se busca iniciar al lector en la naturaleza de los modelos de medición de riesgo de crédito y motivarlo a profundizar en el tema con la presentación de una abundante bibliografía especializada.

Download or read book Sample Size Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation written by Laura García Jorcano and published by Ed. Universidad de Cantabria. This book was released on 2020-02-24 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues related to the implementation of the Basel Committee's guidelines on some aspects of which very little is known in the academic world and in the specialized financial sector. In the first chapter, a numerical correction is proposed on the values usually estimatedwhen there is little statistical information, either because it is a financial asset (bond, investment fund...) recently created or issued, or because the nature or the structure of the asset or portfolio have recently changed. The second chapter analyzes the relevance of different aspects of risk modeling. The third and last chapter provides a characterization of the preferable methodology to comply with Basel requirements related to the backtesting of the Expected Shortfall.

Download or read book Three Essays in Financial Markets The Bright Side of Financial Derivatives Options Trading and Firm Innovation written by Iván Blanco and published by Ed. Universidad de Cantabria. This book was released on 2019-02-15 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.

Download or read book Marketing financiero written by Jaime Rivera Camino and published by ESIC. This book was released on 2015-06-08 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Este libro ha sido concebido con la vocación de servir como material didáctico. Para ello, se analiza de manera pedagógica, el complejo entorno en que se desenvuelven las entidades financieras, y las herramientas que les puede aportar el marketing para sobrevivir en un mercado maduro y sujeto a innumerables retos. Los autores exponen de manera sencilla y comprensible tanto las estrategias como las tácticas de marketing que requieren las empresas del sector financiero para ser competitivas. El lector encontrará en estas páginas ejemplos e ilustraciones de bancos de países de distintos continentes, y podrá conocer la evolución que ha experimentado el marketing en las entidades financieras, pasando de un enfoque de relaciones públicas, a la promoción de ventas y al uso de la publicidad. En esta evolución, al igual que ha sucedido en otros sectores, la crisis financiera mundial ha provocado que los bancos hayan tomado conciencia de la utilidad del marketing para colocar al cliente en el centro de su modelo de negocio. Como consecuencia, este libro nace con el ánimo de llenar el vacío relativo al conocimiento del uso efectivo del marketing en este sector. Y por ello, en esta obra se expone el proceso estratégico y operativo que deben utilizar las instituciones financieras para satisfacer las necesidades de sus segmentos objetivos. En su interior se desarrollan también, de manera armónica, los conceptos prácticos y empíricos que pueden ser usados tanto por estudiantes de grado y de postgrado, como por profesionales interesados en conocer de qué forma utilizar el marketing de adquisición y de retención en el sector financiero. Este conocimiento es esencial para instituciones que enfrentan condiciones de mercado de creciente complejidad y competitividad. En donde la aparición de nuevos actores (principalmente empresas tecnológicas), ha comenzado a amenazar líneas de negocio hasta ahora exclusivas de los bancos tradicionales.

Download or read book Managing Credit Risk written by John B. Caouette and published by John Wiley & Sons. This book was released on 1998-11-03 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first full analysis of the latest advances in managing credit risk. "Against a backdrop of radical industry evolution, the authors of Managing Credit Risk: The Next Great Financial Challenge provide a concise and practical overview of these dramatic market and technical developments in a book which is destined to become a standard reference in the field." -Thomas C. Wilson, Partner, McKinsey & Company, Inc. "Managing Credit Risk is an outstanding intellectual achievement. The authors have provided investors a comprehensive view of the state of credit analysis at the end of the millennium." -Martin S. Fridson, Financial Analysts Journal. "This book provides a comprehensive review of credit risk management that should be compulsory reading for not only those who are responsible for such risk but also for financial analysts and investors. An important addition to a significant but neglected subject." -B.J. Ranson, Senior Vice-President, Portfolio Management, Bank of Montreal. The phenomenal growth of the credit markets has spawned a powerful array of new instruments for managing credit risk, but until now there has been no single source of information and commentary on them. In Managing Credit Risk, three highly regarded professionals in the field have-for the first time-gathered state-of-the-art information on the tools, techniques, and vehicles available today for managing credit risk. Throughout the book they emphasize the actual practice of managing credit risk, and draw on the experience of leading experts who have successfully implemented credit risk solutions. Starting with a lucid analysis of recent sweeping changes in the U.S. and global financial markets, this comprehensive resource documents the credit explosion and its remarkable opportunities-as well as its potentially devastating dangers. Analyzing the problems that have occurred during its growth period-S&L failures, business failures, bond and loan defaults, derivatives debacles-and the solutions that have enabled the credit market to continue expanding, Managing Credit Risk examines the major players and institutional settings for credit risk, including banks, insurance companies, pension funds, exchanges, clearinghouses, and rating agencies. By carefully delineating the different perspectives of each of these groups with respect to credit risk, this unique resource offers a comprehensive guide to the rapidly changing marketplace for credit products. Managing Credit Risk describes all the major credit risk management tools with regard to their strengths and weaknesses, their fitness to specific financial situations, and their effectiveness. The instruments covered in each of these detailed sections include: credit risk models based on accounting data and market values; models based on stock price; consumer finance models; models for small business; models for real estate, emerging market corporations, and financial institutions; country risk models; and more. There is an important analysis of default results on corporate bonds and loans, and credit rating migration. In all cases, the authors emphasize that success will go to those firms that employ the right tools and create the right kind of risk culture within their organizations. A strong concluding chapter integrates emerging trends in the financial markets with the new methods in the context of the overall credit environment. Concise, authoritative, and lucidly written, Managing Credit Risk is essential reading for bankers, regulators, and financial market professionals who face the great new challenges-and promising rewards-of credit risk management.

Download or read book A Guide to IMF Stress Testing written by Ms.Li L Ong and published by International Monetary Fund. This book was released on 2014-12-23 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at elibrary.imf.org/page/stress-test-toolkit).

Download or read book Essays on Risk and Uncertainty in Economics and Finance written by Jorge Mario Uribe Gil and published by Ed. Universidad de Cantabria. This book was released on 2022-11-22 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.

Download or read book Applied Mathematics and Computational Intelligence written by Anna M. Gil-Lafuente and published by Springer. This book was released on 2018-03-06 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers selected papers presented at the conference of the Forum for Interdisciplinary Mathematics (FIM), held at Palau Macaya, Barcelona, on 18 to 20 November, 2015. The event was co-organized by the University of Barcelona (Spain), the Spanish Royal Academy of Economic and Financial Sciences (Spain) and the Forum for Interdisciplinary Mathematics (India). This instalment of the conference was presented with the title “Applied Mathematics and Computational Intelligence” and particularly focused on the use of Mathematics and Computational Intelligence techniques in a diverse range of scientific disciplines, as well as their applications in real-world problems. The book presents thirty peer-reviewed research papers, organised into four topical sections: on Mathematical Foundations; Computational Intelligence and Optimization Techniques; Modelling and Simulation Techniques; and Applications in Business and Engineering. This book will be of great interest to anyone working in the area of applied mathematics and computational intelligence and will be especially useful for scientists and graduate students pursuing research in these fields.

Download or read book Medici n de riesgo de cr dito written by Álvaro Caballo Trébol and published by Universidad Pontificia Comillas. This book was released on 2013-07-22 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: La relevancia de los objetivos de esta investigación viene potenciada por la actual crisis financiera, que ha provocado en muchos ámbitos la revisión de elementos presentes en las estructuras de distintos sistemas económicos, jurídicos y empresariales. Asimismo, ha puesto en evidencia la necesidad de analizar, interpretar y renovar las condiciones en las que se aborda la toma de decisiones en diferentes problemas de impacto y relevancia indiscutibles en las economías actuales. La investigación realizada, que en este libro se recoge, desarrolla dos modelos de análisis en el riesgo de crédito, uno cualitativo y otro cuantitativo, que sirven de apoyo a las decisiones conducentes a la concesión de créditos a empresas no cotizadas en Bolsa y permite disminuir los errores inherentes a dicha decisión. Para la elaboración de dichos modelos se ha partido del estudio de los elementos que intervienen en la decisión de conceder créditos por parte de las entidades financieras, así como del análisis y discusión de los estudios actuales que versan sobre la estimación de las situaciones de fracaso empresarial. El resultado obtenido es por una parte, un modelo de probabilidad de impago que complementa el análisis y las predicciones de los modelos existentes en la actualidad al introducir nuevas variables independientes , y por otro lado, un nuevo y novedoso modelo que determina el volumen de deuda que se podría conceder sin riesgo en el corto plazo, basado en flujos de caja y que incorpora como elemento corrector la evolución de determinadas variables que se consideran en esta investigación como variables críticas en la actualidad económica de las empresas.

Download or read book House Prices and the Macroeconomy written by Charles Goodhart and published by Oxford University Press. This book was released on 2007 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: House price bubbles, and their aftermath, have become a focus of macro-economic policy concern in most developed countries. This book elucidates the two-way relationship between house-price fluctuations and economic fundamentals. Housing has many features which make it distinct from other assets, like equity. Real estate is not only an asset but also a durable consumption good for households, providing shelter and other housing services. As a result, a house is often the largest and most important asset of households and therefore accounts for a major share of household wealth. Similarly a large share of bank assets is tied to housing values. House price fluctuations may, therefore, have a major effect on economic activity and the soundness of the financial system. Following an introductory chapter, the book is structured into three parts. The first demonstrates the importance of house prices as determinants or indicators of inflation and economic activity. The second focuses on the inter-relationships between bank credit extension and housing prices, and how bubbles can lead to financial crises. The third discusses resultant public policy issues, such as whether, and how, to include housing prices in a general inflation index, and how to restrain the housing/bank credit cycle.

Download or read book Default Credit Growth and Asset Prices written by Miguel A. Segoviano Basurto and published by International Monetary Fund. This book was released on 2006-09 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper explores a range of financial and real variables that explain such PoDs across time. We find property price fluctuations and bank credit to be important explanatory factors. There is two-way interaction between these variables and a clearer relationship when the variables are entered as a deviation from trend. The lag structure between such developments and PoDs is long and varies widely across countries. The paper assesses the implications of these findings for economic policy.

Download or read book Financing SMEs and Entrepreneurs 2015 An OECD Scoreboard written by OECD and published by OECD Publishing. This book was released on 2015-04-16 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This fourth edition monitors SMEs’ and entrepreneurs’ access to finance in 34 countries over the period 2007-13, across an expanded array of indicators, including debt, equity, asset-based finance and framework conditions.

Download or read book Entrepreneurship for competitiveness in Mexico Creating and developing small and medium businesses written by Blanca Lidia Marquez Miramontes and published by Lulu.com. This book was released on 2016-12-08 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researches are becoming increasingly interested in studying the different dimensions and effects of entrepreneurship. This book seeks to explain the entrepreneurial attitudes of individuals, the determinants of entrepreneurship and its economic and social consequences.

Download or read book Technology Driven Business Innovation Unleashing the Digital Advantage written by Rim El Khoury and published by Springer Nature. This book was released on with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empowerment Transparency Technological Readiness and their Influence on Financial Performance from a Latin American Perspective written by Martha Ríos Manríquez and published by Emerald Group Publishing. This book was released on 2021-08-23 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empowerment, Transparency, Technological Readiness and their Influence on Financial Performance, from a Latin American Perspective showcases in-depth analysis, allowing companies to obtain information for a broader vision to help make decisions about intervention, market performance and strategy development possibilities.

Download or read book Cuadernos de econom a written by and published by . This book was released on 1991 with total page 1130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estados contables written by Somoza López, Antonio and published by Editorial UOC. This book was released on 2016-09-07 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: Este libro contiene los rasgos fundamentales de los estados contables desde una perspectiva global y asimismo práctica, pues a la vez que se exponen los regulados actualmente por las normas contables españolas e internacionales, incluye aquellos otros que de forma voluntaria pueden elaborarse. Se parte de los tradicionales balance de situación y cuenta de pérdidas y ganancias, para analizar progresivamente los estados de origen y aplicación de fondos en circulante y tesorería (estado de flujos de efectivo), así como los de valor añadido y de cambos. Se ha incorporado también aquella información de carácter social y medioambiental que, actualmente, ha alcanzado gran protagonismo tanto por parte de los organismos internacionales como por numerosas multinacionales. La idea subyacente es que, en este tipo de informes, aun cuando el objeto es (o parece ser) muy diferente al económico, la metodología utilizada tanto en su elaboración como verificación es contable. En definitiva, el lector podrá tener una idea más exacta de qué es lo que podemos saber de una empresa a través de su información contable-financiera.