scholarly journals Editor’s Letter

2018 ◽  
Keyword(s):  
Default Risk ◽  
Financial Institution ◽  
Policy Issue ◽  
Mortgage Default ◽  
Counterparty Risk ◽  
Fixed Income ◽  
Risk Transfer ◽  
Credit Risk Transfer ◽  
Private Investors ◽  
The Impact

We begin this issue of The Journal of Fixed Income with two interesting policy articles. First, Chao Gao and John J. McConnell examine the results of shifting mortgage default risk from taxpayers to private investors. The extraordinary returns to investors since inception of the program has provided significant compensation for all tranches of these credit risk transfer securities. The second policy issue is also motivated by the financial crisis of 2008 and its associated financial institution counterparty risk. Issouf Soumaré employs a multifactor econometric model to identify and analyze factors explaining credit value adjustment spreads. Furthermore, the impact of these variables increased with contract maturity.

scholarly journals International Real Estate Review

2005 ◽  
Vol 8 (1) ◽  
pp. 95-109
Author(s):  
Che-Chun Lin ◽  
◽  
Ting-Heng Chu ◽  
Larry J. Prather ◽  
Perry Wang ◽  
...  
Keyword(s):  
Real Estate ◽  
Default Risk ◽  
Mortgage Default ◽  
Asian Countries ◽  
Dominant Form ◽  
Western Countries ◽  
The Future ◽  
Logistic Regressions ◽  
The Impact

We explore the effect of mortgage curtailment payments on subsequent default probabilities. Although curtailment is not popular in western countries, it is the dominant form of prepayment in Asia. Using more than 6 years of mortgage performance records from an Asian bank, we investigate the impact of curtailment payments on mortgage default risk. The results of logistic regressions reveal that the cumulative curtailment is the most significant factor in predicting the future default probabilities of a seasoned mortgage pool. Thus, mortgage modeling for Asian countries should be different from mortgage modeling for western countries.

Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

2015 ◽  
Vol 02 (01) ◽  
pp. 1550001
Author(s):  
Yifan Yang ◽  
Frank J. Fabozzi ◽  
Michele Leonardo Bianchi
Keyword(s):  
Financial Institution ◽  
Stress Test ◽  
Gaussian Copula ◽  
Risk Exposure ◽  
Counterparty Risk ◽  
Regulatory Requirement ◽  
Risk Valuation ◽  
Exposure Factor ◽  
The Impact

Basel III requires banks to include a credit value adjustment (CVA) into capital charges. Both CVA and debt value adjustment (DVA) must be included for derivatives using mark-to-market accounting. An effective method to calculate bilateral-CVA (BR-CVA) by incorporating wrong-way risk (WWR) for a collateralized counterparty is proposed which handles WWR — defined as when counterparty credit exposure increases as default probability increases — by building a trivariate Gaussian copula between the aggregate market risk exposure factor and default quality of the financial institution and counterparty. This paper extends the ordered-scenario copula model proposed in the literature. It links BR-CVA pricing and WWR, which is close to the current regulatory requirement and useful for managing a financial institution's risk. A practical example is provided. Numerical results suggest that the proposed method is efficient and robust and can easily stress test the impact of WWR in BR-CVA pricing.

The impact of business tourism clustering on the regional economy's development: A Greater Moscow case study

2020 ◽  
Vol 18 (7) ◽  
pp. 1397-1414
Author(s):  
K.S. Golondarev
Keyword(s):  
Multivariate Analysis ◽  
The State ◽  
Investment Climate ◽  
Private Investors ◽  
The Impact

Subject. This article explores the issues of business tourism clustering in Greater Moscow. Objectives. The article intends to justify the need to create a business tourism cluster in Greater Moscow to improve the investment climate in the region. Methods. For the study, I used a multivariate analysis, forecasting, and extrapolation. Results. The article shows a certain relationship between the efficient functioning of the business tourism cluster and the economy's development. Conclusions and Relevance. Certain types of tourist clusters can serve as platforms for attracting investors and implementing marketing plans. The business tourism cluster is a link between buyers and sellers in various industries. The results of the study can be used to improve the effectiveness of the cluster initiative in business tourism, as well as find ways of cooperation between the State and private investors when creating the business tourism cluster in Greater Moscow.

ANALISIS RISIKO OPERASIONAL MENGGUNAKAN PENDEKATAN DISTRIBUSI KERUGIAN DENGAN METODE AGREGAT

2011 ◽  
Vol 10 (2) ◽  
pp. 1
Author(s):  
Y. ARBI ◽  
R. BUDIARTI ◽  
I G. P. PURNABA
Keyword(s):  
Negative Binomial Distribution ◽  
Binomial Distribution ◽  
Negative Binomial ◽  
Financial Institution ◽  
Expected Value ◽  
Insurance Companies ◽  
Limited Data ◽  
Loss Distribution Approach ◽  
Potential Loss ◽  
The Impact

Operational risk is defined as the risk of loss resulting from inadequate or failed internal processes or external problems. Insurance companies as financial institution that also faced at risk. Recording of operating losses in insurance companies, were not properly conducted so that the impact on the limited data for operational losses. In this work, the data of operational loss observed from the payment of the claim. In general, the number of insurance claims can be modelled using the Poisson distribution, where the expected value of the claims is similar with variance, while the negative binomial distribution, the expected value was bound to be less than the variance.Analysis tools are used in the measurement of the potential loss is the loss distribution approach with the aggregate method. In the aggregate method, loss data grouped in a frequency distribution and severity distribution. After doing 10.000 times simulation are resulted total loss of claim value, which is total from individual claim every simulation. Then from the result was set the value of potential loss (OpVar) at a certain level confidence.

Diversity and the Performance of Selected Financial Institutions of Asia

2018 ◽  
Vol 2 (1) ◽  
pp. 1
Author(s):  
Shafaque Fatima ◽  
Saqib Sharif
Keyword(s):  
Financial Institutions ◽  
Positive Impact ◽  
Financial Institution ◽  
Gender Diversity ◽  
Business Case ◽  
Ordinary Least Squares ◽  
Cross Sectional ◽  
Age Diversity ◽  
The Impact ◽  
Nationality Diversity

Linking with the business case for diversity, this study examines whether the top management team (TMT) and the board of directors (BODs) diversity has a positive impact on financial institution (FI) performance in select countries of Asia least researched domain. We use data from 119 financial institutions across Asia for the year 2015, initially 1,447 institutions; however, incomplete data was excluded from final analysis. We use three proxies for diversity, that is, nationality diversity, gender diversity, and age diversity of TMT and BODs. To investigate the impact of TMT and BODs diversity, cross-sectional ordinary least-squares estimation is applied, using Return on Average Assets (ROAA%) as a measure of performance.  We find that nationality diversity and age diversity is positively and significantly related to FIs performance. Our evidence indicates that executives and board members with diverse exposure and younger age improve FIs profitability. However, there is no significant relationship between gender and FIs performance.

Credit Risk Transfer and the Forecasting of Bank Defaults

2009 ◽  
Author(s):  
Giovanni Calice ◽  
Christos Ioannidis ◽  
Julian M. Williams
Keyword(s):  
Credit Risk ◽  
Risk Transfer ◽  
Credit Risk Transfer
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