Managing macroeconomic risk

2013 ◽  
pp. 225-247
Author(s):  
Keyword(s):  
Macroeconomic Risk

Time-varying Macroeconomic Risk of Real Estate Returns

2016 ◽  
Author(s):  
Felix Schindler ◽  
Bertram Steininger ◽  
Tim Kroencke
Keyword(s):  
Real Estate ◽  
Time Varying ◽  
Macroeconomic Risk ◽  
Real Estate Returns

Asset Pricing Anomalies and Macroeconomic Risk

2011 ◽  
Author(s):  
Paul Docherty ◽  
H. Chan ◽  
Stephen Andrew Easton
Keyword(s):  
Asset Pricing ◽  
Macroeconomic Risk ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies

Macroeconomic risk and the Fama‐French three‐factor model

2006 ◽  
Vol 32 (6) ◽  
pp. 505-517 ◽  
Author(s):  
Angela J. Black
Keyword(s):  
Factor Model ◽  
Macroeconomic Risk ◽  
Three Factor

Low-frequency volatility of real estate securities and macroeconomic risk

2017 ◽  
Vol 58 ◽  
pp. 311-342 ◽  
Author(s):  
Chyi Lin Lee ◽  
Simon Stevenson ◽  
Ming-Long Lee
Keyword(s):  
Real Estate ◽  
Low Frequency ◽  
Macroeconomic Risk ◽  
Real Estate Securities

A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes

2017 ◽  
Author(s):  
Ilan Cooper ◽  
Andreea Mitrache ◽  
Richard Priestley
Keyword(s):  
Risk Model ◽  
Macroeconomic Risk ◽  
Asset Classes

scholarly journals The Aggregate Dynamics of Capital Structure and Macroeconomic Risk

2008 ◽  
Author(s):  
Harjoat Singh Bhamra ◽  
Lars-Alexander Kuehn ◽  
Ilya A. Strebulaev
Keyword(s):  
Capital Structure ◽  
Macroeconomic Risk ◽  
Aggregate Dynamics

scholarly journals One-factor model for default rates by loan type

Bankarstvo ◽  
2021 ◽  
Vol 50 (2) ◽  
pp. 88-100
Author(s):  
Miloš Božović
Keyword(s):  
Factor Model ◽  
Risk Measures ◽  
Loan Default ◽  
Macroeconomic Risk ◽  
Default Rates ◽  
Proposed Model ◽  
Default Rate ◽  
Systemic Component ◽  
Very High

This paper investigates the link between default rates by loan types and the systemic credit risk component. This link is described by a linear model that combines systemic and idiosyncratic contributions. The systemic component is a latent factor that depends directly on the aggregate loan default rate, while the idiosyncratic component drives specific variations of default rates across loan types. By transforming observable risk measures, the model can be econometrically represented as a mixed-effects model, where the systemic and idiosyncratic components represent, respectively, the slope and the intercept that are specific for each loan type individually. The proposed model is illustrated on a panel of defaulted loans of the Association of Serbian Banks. The obtained results show the model's very high power in explaining average default rates for all loan types. Thus, the aggregate default rate plays the role of a unique systemic component that mimics the influence of fundamental macroeconomic risk factors easily, without the necessity to model this relationship explicitly.

scholarly journals Macroeconomic Risk Factor in Fuzzy Present Value of Highway Development

2018 ◽  
Vol 7 (4.33) ◽  
pp. 71
Author(s):  
Siti Salihah Shaffie ◽  
Saiful Hafizah Jaaman ◽  
Daud Mohamad
Keyword(s):  
Economic Growth ◽  
Risk Assessment ◽  
Risk Factor ◽  
Cash Flow ◽  
Capital Investment ◽  
Accurate Estimation ◽  
Present Value ◽  
Macroeconomic Risk ◽  
Macroeconomic Factor

Highway developments are the backbone for the society and economic growth. It is part of the capital investment in infrastructure developments that require high spending, long term commitment and prognosticated with numbers of risks. This is because the investment is associated with uncertainty and vagueness due to long term duration of construction and operation of the project. Hence, the valuation of the investment requires accommodated model to present more accurate estimation of the project. This study proposed to evaluate fuzzy present value of a highway project with anticipated risk assessment in its valuation using fuzzy present value. The risk assessment is part of the estimation of fuzzy cash flow to represent better present value of the project. The results show an estimated value comprise with risk assessment of macroeconomic factor to portray better estimation that can assist decision maker to make decision towards the project.   

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