Search results for "Risk Management"
showing 10 items of 294 documents
The Risk-Relevance of Accounting Data: Evidence from the Spanish Stock Market
2006
This paper analyses the relevance of accounting fundamentals to inform about equity risk as measured by the cost of equity capital. Assuming the latter is a summary measure of how investors make decisions regarding the allocation of resources, the strength of the association between the cost of capital and the accounting-based measures of risk indicates how important these measures are for market participants when making economic decisions. To infer the cost of equity capital, we use the O'Hanlon and Steele's method, which is based on the residual income valuation model. Moreover, we use the insights from this model to provide a theoretical underpinning for the choice of the accounting vari…
Volatility transmission patterns and terrorist attacks
2009
The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo d…
Using Wavelet Techniques to Approximate the Subjacent Risk of Death
2018
In Actuarial science, graduation techniques have been used extensively: the large number of scientific papers and technical documentation published evidences this fact (see Ayuso M et al. (Estadistica Actuarial Vida. UBe, Barcelona (2007)), Baeza Sampere and Morillas Jurado (Rev. Anales del Instituto de Actuarios Espanoles 135–164 (2011)), London (Graduation: The Revision of Estimates. ACTEX Publications, Connecticut (1985)), Cairns, et al. (Scand Actuar J 2(3):79–113 (2008)) and the references therein). Graduation techniques are defined by Haberman and Renshaw J Inst Actuar 110:135–156 (1983) as a set of principles and techniques for use that are used on raw data so that a more appropriate…
PA 05-3-0690 Mavie-lab sports: a mhealth for injury prevention and risk management in sport
2018
Computational advances in smart-phone technology and the development of expert systems has been an opportunity to devise the MAVIE-Lab an innovative Mobile Health Application (mHealth) for primary prevention of Home, Leisure and Sport Injuries (HLIs). Here, we present MAVIE-Lab Sports, the first module of the application focused on sports injuries. MAVIE-Lab was developed in the framework of the MAVIE project. A large web-based cohort launched with the objective of prospectively collecting data related to HLIs. A sample size of 26 000 volunteers have been already enrolled in this cohort and the ultimate goal is to recruit 1 00 000 participants in France. As a first step, the MAVIE-Lab will …
Estándares SEA 2019 para el control global del riesgo cardiovascular
2019
One of the main goals of the Spanish Society of Arteriosclerosis is to contribute to a wider and greater knowledge of vascular disease, its prevention and treatment. Cardiovascular diseases are the leading cause of death in our country and also lead to a high degree of disability and health expenditure. Arteriosclerosis is a multifactorial disease, this is why its prevention requires a global approach that takes into account the different risk factors with which it is associated. Thus, this document summarizes the current level of knowledge and integrates recommendations and procedures to be followed for patients with established cardiovascular disease or high vascular risk. Specifically, t…
Negotiations with a risk assessment tool: Standardized decision-making in the United States and the deprofessionalization thesis
2017
AbstractThis article focuses on the challenges of decision-making in child protection. Comparative studies show that standardized risk assessment tools predict future maltreatment more accurately than interpretative assessment. Despite a long tradition of research on statistical decision-making, few studies deal with how such instruments are used and integrated into professional decision-making practice, and – from a transnational perspective – how specific national regulations influence such instruments and decision-making at street level. The article discusses concerns about the fact that such classification systems might have a negative impact on professional discretion. Based on a mater…
Warren Buffett versus Zvi Bodie: Should You Buy Or Sell Put Options?
2021
Academics and investment professionals often disagree when it comes to investment advice. Legendary investor Warren Buffett is a proponent of time diversification and firmly believes that stocks are less risky in the long run. Therefore, he often sells long-term put options instead of buying them for portfolio protection. By contrast, the famous finance professor Zvi Bodie argues that time diversification is a fallacy and, therefore, his advice to fund managers is to buy long-term portfolio insurance. In this article, we consider the optimal portfolio choice problem for a loss-averse investor. First, we demonstrate that our loss-averse investor subscribes to the principle of time diversific…
Robust Conditional Independence maps of single-voxel Magnetic Resonance Spectra to elucidate associations between brain tumours and metabolites.
2020
The aim of the paper is two-fold. First, we show that structure finding with the PC algorithm can be inherently unstable and requires further operational constraints in order to consistently obtain models that are faithful to the data. We propose a methodology to stabilise the structure finding process, minimising both false positive and false negative error rates. This is demonstrated with synthetic data. Second, to apply the proposed structure finding methodology to a data set comprising single-voxel Magnetic Resonance Spectra of normal brain and three classes of brain tumours, to elucidate the associations between brain tumour types and a range of observed metabolites that are known to b…
Economic Adaptation to Risky Environment in the Late Middle Ages: The Case of the "Accrues" of the Doubs in Chaussin (Jura, France) from c. 1370 to c…
2017
Located along the meanders of the Doubs, the people of Chaussin had to deal with the particular impact of the river on their environment. Due to the impact of the Little Ice Age on water levels in the area, the Doubs sometimes had special floods, which frequently changed its course from the end of the fourteenth century. As a result, some lands were absorbed, and others emerged, which were called the “accrues.” From 1377 the first observation of lost lands appears in the accounts of the castellan, in a petition from landowners who did not want to pay taxes on these fields. More than twenty years later, in the first decade of the fifteenth century, the duke of Burgundy, facing the same situa…
Risk Management for Sovereign Financing within a Debt Sustainability Framework
2018
The mix of instruments used to finance a sovereign is a key determinant of debt sustainability through its effect on funding costs and risks. We extend standard debt sustainability analysis to incorporate debt-financing decisions in the presence of macroeconomic, financial, and fiscal risks. We optimize the maturity of debt instruments to trade off borrowing costs with refinancing risk. Risk is quantified with a coherent measure of tail risk of financing needs, conditional Flow-at-Risk. A constraint on the pace of reduction of debt stocks is also imposed, and we model the effect of debt stocks on the yield curve through endogenous risk and term premia. On a simulated economy, we show that t…