Search results for "market risk"
showing 8 items of 18 documents
Complaints management and bank risk profile
2015
Abstract This study investigates Spanish financial institutions' (FIs') propensity to amend and rectify errors deriving from complaints that financial services' users file with the Spanish regulator Complaints Service and how this propensity relates to FIs' risk profile. Under the theory that risk management system of a FI includes reputation risk, this study finds that FIs with higher amendment ratio are inefficient, have high liquidity, are highly profitable in the banking business and are sensitive to market risk while FIs that tend to rectify errors have lower loan loss provisions booked and have larger loan portfolios. Both tend to issue a sustainability report. Findings shed light on …
Return Dispersion and Cross-Sectional Asset Pricing Anomalies
2015
Recent research finds that cross-sectional return dispersion provides a risk-based explanation for some investment anomalies, including accrual, investment, and momentum strategies. This study extends the analyses of return dispersion to a broad set of anomalies by testing whether the state of return dispersion is associated with anomalous returns. Empirical results for 12 well-known anomalies indicate a robust link between good and bad states of return dispersion and most anomalies. Also, return dispersion helps to explain a number anomalies regardless of their association with investor sentiment. We conclude that market risk related to return dispersion plays an important role in many inv…
Option-Implied Volatility-Managed Asset Pricing Risk Factors and Resurrection of the Value Factor
2019
Option-implied volatility-managed risk factor models produce higher maximum squared Sharpe ratios than the recently proposed six-factor model, which is used as a benchmark model in this study. A model that incorporates option-implied volatility-managed risk factors based on dynamic scaling factors that systematically overestimate the expected market risk, as measured by the VIX, is superior to other asset pricing model specifications. After the death of the value factor has been repeatedly declared, it is surprising news that multivariate spanning regressions reveal that both the option-implied volatility-managed momentum and value factor are the only option-implied volatility-managed risk …
Hedging foreign exchange rate risk: Multi-currency diversification
2016
Abstract This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives in small and medium-sized enterprises (SMEs) is not common but, despite its complexity, can be interesting for those with international activities. In particular, the reduction in the exchange risk borne through the use of natural multi-currency cross-hedging is measured, considering Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) for measuring market risk instead of the variance. CVaR is minimized using linear programmes, while a multiobjective genetic algorithm is designed for minimizing VaR, considering two scenarios for each currency. The results obtai…
Market Risk Disclosure in Banks’ Balance Sheet and Pillar 3 Report: the Case of Italian Banks
2018
The aim of this chapter is to investigate market risk disclosure in banking. The author employs content analysis to conduct an empirical study on a sample of the ten largest Italian banks. The study provides evidence that banks differ in their market risk reporting, even though they are subject to similar regulatory requirements and accounting standards. It also shows that there is room to improve various aspects of risk disclosure, and provides some useful insights for further research. The structure of this chapter is as follows. Section 1 introduces market risk disclosure in banking. Section 2 provides the theoretical foundations of risk disclosure. Section 3 analyses the specific nature…
How Banks Disclose Market Risk Information: an Empirical Analysis on a Sample of Italian Banks.
The topic of this paper is market risk reporting in banking, and its purpose is to provide a methodology to evaluate the qualitative and quantitative profiles of market risk disclosure. This methodology, based on a hybrid scoring approach, aims to assess the market risk disclosure in banking. In this paper, I use content analysis to conduct an empirical research on a sample of Italian banks. The paper provides evidences that banks differ in their market risk reporting, even though they are subject to similar regulatory requirements and accounting standards. The paper also shows that there is room to improve various aspects of market risk disclosure.
Theoretical and Empirical Research regarding the Performance of Financial Investment Companies based on Accounting Information
2016
Esta tesis examina el rendimiento de las empresas de inversión financiera y su condicionamiento al riesgo de los instrumentos financieros. La intención y contribución de esta tesis es ofrecer una visión más amplia y coherente de la evaluación del riesgo. En concreto, exploramos el impacto que tiene el riesgo derivado de los instrumentos financieros sobre las empresas de inversión financiera a través de tres modelos específicos. Abordamos esta investigación mediante un análisis de carácter teórico y empírico. En relación al enfoque teórico, mostramos las cuestiones relativas a los instrumentos financieros en el marco internacional en los últimos 30 años. En particular, los conceptos fundamen…
Risk of Interest Rates at the Level of Commercial Banks in Romania
2017
AbstractThe banking system in Romania is a banking system under development, subject to fluctuations that exist on the market more than on more developed banking systems, fluctuations that can generate losses for banks if they are not properly managed. The losses that may be generated by these fluctuations, known as market risk, refer to the significant fluctuations in three indicators, namely the interest rate, the exchange rate and the asset price. In this article, I will analyse the interest rate risk from a conceptual point of view and the indicators that mitigate this risk. The analysis also contains a study of this risk among commercial banks in the system to highlight the level of ri…