Risk Management eJournal最新文献

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Sell or Hold? On the Value of Non Performing Loans and Mandatory Write-Off Rules 卖出还是持有?论不良贷款的价值与强制核销制度

Risk Management eJournal

Pub Date : 2021-05-17 DOI: 10.2139/ssrn.3705251

Florian Pauer, Stefan Pichler

In this paper, we study the impact of mandatory write-off rules on a bank's reservation price
of a non-performing loan (NPL). We develop a model of information asymmetry in NPL markets
where agents are using risk neutral pricing. In contrast to existing literature, we assume
that agents agree on the expected recovery rate of an NPL. We show that differences in the
estimation accuracy of the drift of the underlying recovery rate process lead to valuation
differences. In the model, the differences in the precision when estimating the drift of the
underlying lead to differences in the aggregated variance of the payoff distribution. Since an
NPL's payoff function is nonlinear this results in different NPL valuations depending on this
precision parameter. This, in combination with capital adequacy requirements banks need
to maintain and funding costs they face leads to the result that a bank's reservation price of
an NPL might be below its own valuation.

本文研究了强制核销制度对银行不良贷款保留价格的影响。我们在不良贷款市场中建立了一个信息不对称模型，其中代理人使用风险中性定价。与现有文献相反，我们假设代理人对不良资产的预期回收率达成一致。我们表明，潜在回收率过程漂移的估计精度的差异导致估值差异。在模型中，当估计潜在的漂移时，精度的差异导致了收益分布的总方差的差异。由于NPL的收益函数是非线性的，这导致不同的NPL估值取决于这个精度参数。这一点，再加上银行需要维持的资本充足率要求，以及它们面临的融资成本，导致银行对不良贷款的保留价格可能低于其自身的估值。

引用次数: 0

Foundations & Quantitative Aspects of Operational Risk Modelling 操作风险建模的基础与定量方面

Risk Management eJournal

Pub Date : 2021-05-14 DOI: 10.2139/ssrn.3846157

G. Peters

Presentation on fundamentals of Operational Risk Modelling. The core components of a quantitative operational risk modelling framework. Based on references:

1. Cruz MG, Peters GW, Shevchenko PV. Fundamental aspects of operational risk and insurance analytics: A handbook of operational risk. John Wiley & Sons; 2015 Jan 29.

2. Peters GW, Shevchenko PV. Advances in heavy tailed risk modeling: A handbook of operational risk. John Wiley & Sons; 2015 May 5.

操作风险建模的基本原理介绍。定量操作风险建模框架的核心组成部分。参考文献:1;克鲁兹MG，彼得斯GW，舍甫琴科PV。操作风险和保险分析的基本方面:操作风险手册。约翰·威利&;儿子;2015年1月29日。彼得斯GW，舍甫琴科PV。重尾风险建模的进展:操作风险手册。约翰·威利&;儿子;2015年5月5日。

引用次数: 0

Default Contagion in a Two-Tree Economy 两树经济中的违约传染

Risk Management eJournal

Pub Date : 2021-05-05 DOI: 10.2139/ssrn.3839885

Jan Ericsson, A. Jeanneret, Yi-Chen Lu

We propose an explanation for default contagion based on a Lucas model with two independent debt-financed trees. The transmission mechanism is that variations in the size of one tree impact the level of risk premium and the default decision for all borrowers. If a negative shock hits one tree, the other tree contributes to a larger proportion of aggregate consumption and thus bears more systematic risk. The resulting higher risk premium increases the cost of debt and tilts that borrower's decision towards default. This mechanism induces contagion in default probabilities, leverage, and financial volatility across borrowers with uncorrelated fundamentals. The effect is stronger for borrowers with greater rollover needs.

我们提出了一个基于卢卡斯模型的违约传染的解释，该模型具有两个独立的债务融资树。传导机制是，一棵树大小的变化会影响风险溢价水平和所有借款人的违约决策。如果一棵树受到负面冲击，另一棵树对总消费的贡献更大，从而承担更大的系统性风险。由此产生的更高的风险溢价增加了债务成本，并使借款人的决定倾向于违约。这种机制导致违约概率、杠杆率和金融波动在基本面不相关的借款人之间蔓延。对于需要更多展期的借款人，这种影响更大。

引用次数: 0

Estimating Future VaR from Value Samples and Applications to Future Initial Margin 从价值样本和应用到未来初始保证金估计未来VaR

Risk Management eJournal

Pub Date : 2021-04-23 DOI: 10.2139/ssrn.3832972

N. Ganesan, B. Hientzsch

Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty credit risk and future market risk VaR. One is also interested in derived quantities such as: i) Dynamic Initial Margin (DIM) and Margin Value Adjustment (MVA) in the counterparty risk context; and ii) risk weighted assets (RWA) and Capital Value Adjustment (KVA) for market risk. This paper describes several methods that can be used to predict fVaRs. We begin with the Nested MC-empirical quantile method as benchmark, but it is too computationally intensive for routine use. We review several known methods and discuss their novel applications to the problem at hand.

The techniques considered include computing percentiles from distributions (Normal and Johnson) that were matched to parametric moments or percentile estimates, quantile regressions methods, and others with more specific assumptions or requirements.

We also consider how limited inner simulations can be used to improve the performance of these techniques. The paper also provides illustrations, results, and visualizations of intermediate and final results for the various approaches and methods.

预测未来风险价值(fVaR)是金融学中的一个重要问题。它们出现在对交易对手信用风险和未来市场风险VaR的未来初始保证金要求的建模中。人们也对衍生量感兴趣，例如:i)交易对手风险背景下的动态初始保证金(DIM)和保证金价值调整(MVA);风险加权资产(RWA)和针对市场风险的资本价值调整(KVA)。本文介绍了几种可用于预测fvar的方法。我们从嵌套mc -经验分位数方法开始作为基准，但它对于常规使用来说计算量太大。我们回顾了几种已知的方法，并讨论了它们在当前问题中的新应用。考虑的技术包括计算分布(Normal和Johnson)的百分位数，这些分布与参数矩或百分位数估计相匹配，分位数回归方法以及其他具有更具体假设或要求的方法。我们还考虑了如何使用有限的内部模拟来提高这些技术的性能。本文还提供了各种方法和方法的插图、结果和中间和最终结果的可视化。

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引用次数: 0

The Black-Karasinski Model: Thirty Years On 布莱克-卡拉辛斯基模型:三十年过去了

Risk Management eJournal

Pub Date : 2021-04-15 DOI: 10.2139/ssrn.3827452

C. Turfus, Piotr Karasinski

This year marks the thirtieth anniversary of the publication of the seminal short rate model of Black and Karasinski [1991]. We look back over the early career of its co-originator Piotr Karasinski and record his story of how the model came to be developed, going on to review the impact it had subsequently, and the reasons behind the revival of interest which has been evident in recent years.

今年是Black和Karasinski[1991]开创性的短期利率模型发表30周年。我们回顾了其共同创始人Piotr Karasinski的早期职业生涯，并记录了他的故事，讲述了该模型是如何发展起来的，接着回顾了它随后产生的影响，以及近年来显而易见的兴趣复兴背后的原因。

引用次数: 0

Hedging and Competition 对冲与竞争

Risk Management eJournal

Pub Date : 2021-04-10 DOI: 10.2139/ssrn.3802342

Erasmo Giambona, Anil Kumar, G. Phillips

We study how risk management through hedging impacts firms and competition among firms in the life insurance industry - an industry with over 7 Trillion in assets and over 1,000 private and public firms. We show that firms that are likely to face costly external finance increase hedging after staggered state-level financial reform that reduces the costs of hedging. After hedging, these firms have lower risk and fewer negative income shocks. Post market reform, product market competition is also impacted. Firms that are previously more likely to face costly external finance, lower price, increase policy sales and market share relative to unaffected companies. The results are consistent with hedging allowing firms that face potential costly financial distress to decrease risk and become more competitive.

我们研究风险管理如何通过对冲影响公司和公司之间的竞争在寿险行业-一个行业超过7万亿的资产和1000多家私营和上市公司。我们发现，在错开的州级金融改革降低了对冲成本后，可能面临昂贵外部融资的企业增加了对冲。对冲后，这些公司的风险较低，负收益冲击较少。市场化改革后，产品市场竞争也受到冲击。与未受影响的公司相比，以前更有可能面临昂贵的外部融资、更低的价格、更大的保单销售和市场份额。这一结果与对冲允许面临潜在昂贵财务困境的公司降低风险并变得更具竞争力的观点是一致的。

引用次数: 0

A General Method for Analysis and Valuation of Drawdown Risk under Markov Models 马尔可夫模型下降风险分析与评估的一般方法

Risk Management eJournal

Pub Date : 2021-04-01 DOI: 10.2139/ssrn.3817591

Gongqiu Zhang, Lingfei Li

Drawdown risk is a major concern in financial markets. We develop a novel algorithm to solve the first passage problem of the drawdown process of general one-dimensional time-homogeneous Markov processes. We compute its Laplace transform based on continuous time Markov chain (CTMC) approximation and numerically invert the Laplace transform to obtain the first passage probabilities and the distribution of the maximum drawdown. We prove convergence of our algorithm for general Markovian models and provide sharp estimate of the convergence rate for a general class of jump-diffusion models. We apply the algorithm to calculate the Calmar ratio for investment analysis, price maximum drawdown derivatives and hedge the risk of selling such derivatives with a highly volatile asset as the underlying. Various numerical experiments document the computational efficiency of our method. We also develop extensions to solve the drawdown problem in models with time dependence or stochastic volatility or regime switching and for portfolio drawdown analysis.

撤资风险是金融市场的一大担忧。提出了一种求解一般一维时间齐次马尔可夫过程缩进过程第一通道问题的新算法。基于连续时间马尔可夫链(CTMC)近似计算其拉普拉斯变换，并对拉普拉斯变换进行数值反演，得到其首次通过概率和最大衰减分布。我们证明了该算法对一般马尔可夫模型的收敛性，并对一类跳跃扩散模型给出了收敛率的估计。我们将该算法应用于计算Calmar比率进行投资分析，为最大回撤衍生品定价，并以高度波动的资产为基础对冲出售此类衍生品的风险。各种数值实验证明了该方法的计算效率。我们还开发了扩展来解决具有时间依赖性或随机波动或状态切换的模型中的缩减问题以及投资组合的缩减分析。

引用次数: 4

The Effect of the Balance Sheet Approach on the Usefulness of Accounting Information in Assessing Bank Default Risk 资产负债表法对银行违约风险评估中会计信息有用性的影响

Risk Management eJournal

Pub Date : 2021-03-31 DOI: 10.2139/ssrn.3828678

Peter R. Demerjian, Kodai Ito, Akinobu Shuto

This study investigates the effect of the balance sheet approach, where financial reporting focuses on asset and liability valuation, on the usefulness of the capital adequacy ratio in the evaluation of bank default risk by credit rating agencies. We examine Japanese banks, which play the central role in the Japanese economy, and whose capital adequacy ratios are affected by the fair value measurement under the balance sheet approach. We adopt Demerjian’s (2011) approach to develop a bank-level measure of balance sheet focus. Although we find a significant positive correlation between the slack of the regulatory capital adequacy ratio and issuer rating, we find that this positive correlation is significantly weakened as a bank’s dependence on the balance sheet approach increases. The results suggest that the regulatory capital adequacy ratio based on a bank’s accounting information provides useful information for the evaluation of default risk but that rating agencies discount capital information that relies heavily on the balance sheet approach when estimating a bank’s default risk.

本研究调查了资产负债表方法的影响，其中财务报告侧重于资产和负债估值，对信用评级机构在评估银行违约风险时资本充足率的有用性。我们研究了在日本经济中发挥核心作用的日本银行，其资本充足率受到资产负债表方法下公允价值计量的影响。我们采用Demerjian(2011)的方法来开发银行层面的资产负债表焦点度量。虽然我们发现监管资本充足率的松弛度与发行人评级之间存在显著的正相关关系，但我们发现，随着银行对资产负债表方法的依赖程度增加，这种正相关关系显著减弱。结果表明，基于银行会计信息的监管资本充足率为评估违约风险提供了有用的信息，但评级机构在估计银行违约风险时低估了严重依赖资产负债表方法的资本信息。

引用次数: 0

Valuating Consumer Credit Portfolios 评估消费者信贷组合

Risk Management eJournal

Pub Date : 2021-03-25 DOI: 10.2139/ssrn.3813412

Pedro Piccoli

This paper proposes a model in which the borrower credit risk is associated with the cash flow method to assess the economic value of a consumer credit portfolio. A Monte Carlo simulation applying the method in an illustrative loan reveals that the lending standards of the institution, captured in the model by the expected and unexpected losses of the contract according to the Basel II Internal Rating Based Approach, is a key driver for the intrinsic value of the portfolio, lending support to the evidence that a bank’s credit policy and bank valuation are associated

本文提出了一个将借款人信用风险与现金流量法相关联的模型来评估消费信贷组合的经济价值。将该方法应用于一个示例性贷款的蒙特卡洛模拟显示，机构的贷款标准(根据巴塞尔协议II内部评级方法，在模型中由合同的预期和意外损失捕获)是投资组合内在价值的关键驱动因素，为银行信贷政策和银行估值相关的证据提供支持

引用次数: 0

Tail Properties of Distributions and Applications 分布和应用程序的尾部属性

Risk Management eJournal

Pub Date : 2021-03-16 DOI: 10.2139/ssrn.3805916

Christos Floros, Konstantinos Gkillas, Christos E. Kountzakis

In this paper we deduce some useful results about Tail Properties of Distributions and their applications in risk theory and risk management.

本文推导了分布尾部性质的一些有用结果及其在风险理论和风险管理中的应用。

引用次数: 0

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