Catching a Falling Knife
... of protection and preclude margin calls and should be blended with swaps and sold options to provide an optimal level of protection that uses a mix of cash and counterparty credit and limits margin call exposure. Commodity hedging programs must also address the issue of basis and hedging index. The ...
... of protection and preclude margin calls and should be blended with swaps and sold options to provide an optimal level of protection that uses a mix of cash and counterparty credit and limits margin call exposure. Commodity hedging programs must also address the issue of basis and hedging index. The ...
Premium Margins and Managing the - mynl.com
... diversified. This will partly explain how regionals can be successful: they require a higher premium margin to compensate for inadequate diversification (generally the higher premium margin is called "cost of reinsurance"), but offset the additional expense through lower underwriting, processing and ...
... diversified. This will partly explain how regionals can be successful: they require a higher premium margin to compensate for inadequate diversification (generally the higher premium margin is called "cost of reinsurance"), but offset the additional expense through lower underwriting, processing and ...
The Central Challenge for Asset Management Firms
... for a larger and larger share of assets. These individuals are more tech-savvy and, in many cases, conduct business primarily through digital channels, including mobile, with less emphasis on face-to-face contact. • The Rise of Low-Cost Providers. New vehicles – and new firms with innovative business ...
... for a larger and larger share of assets. These individuals are more tech-savvy and, in many cases, conduct business primarily through digital channels, including mobile, with less emphasis on face-to-face contact. • The Rise of Low-Cost Providers. New vehicles – and new firms with innovative business ...
Review for Exam 3
... d. spreading an investment across many diverse assets will eliminate all of the risk. e. spreading an investment across many diverse assets will eliminate some of the risk. EXPECTED RETURN 10. You are considering purchasing stock S. This stock has an expected return of 8 percent if the economy booms ...
... d. spreading an investment across many diverse assets will eliminate all of the risk. e. spreading an investment across many diverse assets will eliminate some of the risk. EXPECTED RETURN 10. You are considering purchasing stock S. This stock has an expected return of 8 percent if the economy booms ...
Morningstar`s 2016 Fundamentals for Investors
... A Diversified Portfolio: Understanding Diversification Sum of the Parts Risk and return characteristics ...
... A Diversified Portfolio: Understanding Diversification Sum of the Parts Risk and return characteristics ...
Data Mining, Arbitraged Away, or Here to Stay?
... correcting the backtested realized average returns. When looking at a riskadjusted portfolio measure, such as the Appraisal Ratio, the reduction is larger in magnitude at 71%. A more optimistic interpretation of the results would decrease the average return and Appraisal Ratio reductions to 30% and ...
... correcting the backtested realized average returns. When looking at a riskadjusted portfolio measure, such as the Appraisal Ratio, the reduction is larger in magnitude at 71%. A more optimistic interpretation of the results would decrease the average return and Appraisal Ratio reductions to 30% and ...
Is the Risk-Return Tradeoff Hypothesis valid: Should an
... OMX small cap list, ii) a portfolio consisting of the three largest companies at Nasdaq OMX mid cap list and iii) a portfolio consisting of the three largest companies at Nasdaq OMX large cap list and an comparing index: OMXSPI. The three portfolios will be divided into two different measure groups: ...
... OMX small cap list, ii) a portfolio consisting of the three largest companies at Nasdaq OMX mid cap list and iii) a portfolio consisting of the three largest companies at Nasdaq OMX large cap list and an comparing index: OMXSPI. The three portfolios will be divided into two different measure groups: ...
Amending Standard AASB 2014-4
... Given the history of rapid changes in technology, computer software and many other intangible assets are susceptible to technological obsolescence. Therefore, it is likely will often be the case that their useful life is short. Expected future reductions in the selling price of an item that was prod ...
... Given the history of rapid changes in technology, computer software and many other intangible assets are susceptible to technological obsolescence. Therefore, it is likely will often be the case that their useful life is short. Expected future reductions in the selling price of an item that was prod ...
The Predictability of Real Estate Returns and Market
... various asset returns and real estate is sufficient to allow an investor to construct a market timing strategy that would lead to superior investment performance.2 Our study employs the multi-factor latent-variable model of Lin and Mei (1992) to predict the time variation of expected excess returns ...
... various asset returns and real estate is sufficient to allow an investor to construct a market timing strategy that would lead to superior investment performance.2 Our study employs the multi-factor latent-variable model of Lin and Mei (1992) to predict the time variation of expected excess returns ...
Stochastic pension funding when the benefit and the risky asset
... bears the risk of funding the pension fund to assure future benefits, and the employee does not suffer possible investment losses. In contrast, in the latter scheme, the individual builds his/her own pension fund, selecting a fixed contribution rate and an investment strategy across assets, such as ...
... bears the risk of funding the pension fund to assure future benefits, and the employee does not suffer possible investment losses. In contrast, in the latter scheme, the individual builds his/her own pension fund, selecting a fixed contribution rate and an investment strategy across assets, such as ...
asset value guarantees under equity-based products
... contract. If it can be reasonably anticipated that the underlying equity investment account will realize a total annual rate of return of 10.0 per cent, over the long term, the net risk premium for such a guarantee (payable in addition to the regular annual payment) would not appear to exceed 1 per ...
... contract. If it can be reasonably anticipated that the underlying equity investment account will realize a total annual rate of return of 10.0 per cent, over the long term, the net risk premium for such a guarantee (payable in addition to the regular annual payment) would not appear to exceed 1 per ...
Hedging strategies in energy markets: The case of electricity retailers
... previous risk measure (i.e. VaR) which is, as mentioned above, the most widely used risk measure in the practice of risk management. By definition, the VaR at level α∈(0,1), VaR(α) of a given portfolio loss distribution is the lowest amount not exceeded by the loss with probability α (usually α∈[0.95 ...
... previous risk measure (i.e. VaR) which is, as mentioned above, the most widely used risk measure in the practice of risk management. By definition, the VaR at level α∈(0,1), VaR(α) of a given portfolio loss distribution is the lowest amount not exceeded by the loss with probability α (usually α∈[0.95 ...
The buck stops here: Vanguard money market funds Factor
... can consider market exposure as a factor. In this case, not only does the factor exposure influence the risk of a market-cap portfolio, but it has also earned a return premium relative to a “risk-free” asset (often assumed to be short-term, high-quality sovereign debt). Historically, this premium ha ...
... can consider market exposure as a factor. In this case, not only does the factor exposure influence the risk of a market-cap portfolio, but it has also earned a return premium relative to a “risk-free” asset (often assumed to be short-term, high-quality sovereign debt). Historically, this premium ha ...
Correlation Risk
... • increased uncertainty regarding the underlying yield curve increases the expected probability of default on existing swap contracts, which in turn leads to changes in the swap spread because changes in the interest rates may alter the option-like features embedded in the fixed side of the swap con ...
... • increased uncertainty regarding the underlying yield curve increases the expected probability of default on existing swap contracts, which in turn leads to changes in the swap spread because changes in the interest rates may alter the option-like features embedded in the fixed side of the swap con ...
Projecting a realistic balance sheet (slides)
... Finding a replicating portfolio is not easy particularly when you want to reflect things like a dynamic reversionary bonus process One solution is to decompose the liability cashflows into their component parts and to consider the appropriate portfolios for each of these components If we start with ...
... Finding a replicating portfolio is not easy particularly when you want to reflect things like a dynamic reversionary bonus process One solution is to decompose the liability cashflows into their component parts and to consider the appropriate portfolios for each of these components If we start with ...
Download (PDF)
... hypothetical investment in stocks exceeding a certain threshold. One drawback of these methods is that responses are often internally inconsistent. In the HRS data 41% of respondents give the same answer to both the question about the likelihood of a positive return and the question about a return ...
... hypothetical investment in stocks exceeding a certain threshold. One drawback of these methods is that responses are often internally inconsistent. In the HRS data 41% of respondents give the same answer to both the question about the likelihood of a positive return and the question about a return ...
Chapter 26
... volatility of $1 paid in year 12. Note, however, that they do not provide correlations between the 12-year zero and the adjacent benchmark bonds ...
... volatility of $1 paid in year 12. Note, however, that they do not provide correlations between the 12-year zero and the adjacent benchmark bonds ...
TESTING THE THREE FACTOR MODEL IN TURKEY
... Table 1 - Number of companies traded on the ISE equity markets ............................................ 14 Table 2 - Daily average of traded volume (USD) of the ISE equity markets ............................. 15 Table 3 - Daily average of traded volume of the ISE equity markets ................ ...
... Table 1 - Number of companies traded on the ISE equity markets ............................................ 14 Table 2 - Daily average of traded volume (USD) of the ISE equity markets ............................. 15 Table 3 - Daily average of traded volume of the ISE equity markets ................ ...
Inflation Risk, Exchange Rate Risk, And Asset Returns: Evidence
... understand that assets in all markets are exposed to the same set of risk factors with the risk premia on each factor being the same in all markets. In this case, e.g., Adler and Dumas (1983) have shown that the global value-weighted market portfolio is the relevant risk factor to consider. However, ...
... understand that assets in all markets are exposed to the same set of risk factors with the risk premia on each factor being the same in all markets. In this case, e.g., Adler and Dumas (1983) have shown that the global value-weighted market portfolio is the relevant risk factor to consider. However, ...