Littérature scientifique sur le sujet « Risk decomposition »
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Articles de revues sur le sujet "Risk decomposition"
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Schilling, Katja, Daniel Bauer, Marcus C. Christiansen et Alexander Kling. « Decomposing Dynamic Risks into Risk Components ». Management Science 66, no 12 (décembre 2020) : 5738–56. http://dx.doi.org/10.1287/mnsc.2019.3522.
Texte intégralRésumé :
The decomposition of dynamic risks a company faces into components associated with various sources of risk, such as financial risks, aggregate economic risks, or industry-specific risk drivers, is of significant relevance in view of risk management and product design, particularly in (life) insurance. Nevertheless, although several decomposition approaches have been proposed, no systematic analysis is available. This paper closes this gap in literature by introducing properties for meaningful risk decompositions and demonstrating that proposed approaches violate at least one of these properties. As an alternative, we propose a novel martingale representation theorem (MRT) decomposition that relies on martingale representation and show that it satisfies all of the properties. We discuss its calculation and present detailed examples illustrating its applicability. This paper was accepted by Baris Ata, stochastic models and simulation.
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Mark Peplow, special to C&EN. « DMSO’s decomposition risk analyzed ». C&EN Global Enterprise 98, no 36 (21 septembre 2020) : 5. http://dx.doi.org/10.1021/cen-09836-scicon2.
Texte intégral
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DOĞAN, Özlem, et Yunus KILIÇ. « Risk Decomposition in BRICS-T Stock Markets ». Gaziantep University Journal of Social Sciences 21, no 4 (19 octobre 2022) : 2175–86. http://dx.doi.org/10.21547/jss.1066195.
Texte intégralRésumé :
In this study, the measurement and decomposition of risk were examined and the risks of the national stock market indices of the BRICS-T countries (Brazil, Russia, India, China, South Africa and Turkey) were measured using the monthly closing data for the 2009-2018 period, based on the US market. S&P 500 index was chosen as the market index. Accordingly, the total risks of the national stock market indices of the BRICS-T countries are calculated and separated into systematic and non-systematic risks. In addition, beta coefficients that measure the sensitivity to market movements were calculated based on 120-month data. The study findings show that the non-systematic risks of national stock exchanges in the BRICS-T community are generally quite low, and most of the risk is the systematic risk factor.
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Venter, Gary G., John A. Major et Rodney E. Kreps. « Marginal Decomposition of Risk Measures ». ASTIN Bulletin 36, no 02 (novembre 2006) : 375–413. http://dx.doi.org/10.2143/ast.36.2.2017927.
Texte intégralRésumé :
The marginal approach to risk and return analysis compares the marginal return from a business decision to the marginal risk imposed. Allocation distributes the total company risk to business units and compares the profit/risk ratio of the units. These approaches coincide when the allocation actually assigns the marginal risk to each business unit, i.e., when the marginal impacts add up to the total risk measure. This is possible for one class of risk measures (scalable measures) under the assumption of homogeneous growth and by a subclass (transformed probability measures) otherwise. For homogeneous growth, the allocation of scalable measures can be accomplished by the directional derivative. The first well known additive marginal allocations were the Myers-Read method from Myers and Read (2001) and co-Tail Value at Risk, discussed in Tasche (2000). Now we see that there are many others, which allows the choice of risk measure to be based on economic meaning rather than the availability of an allocation method. We prefer the term “decomposition” to “allocation” here because of the use of the method of co-measures, which quantifies the component composition of a risk measure rather than allocating it proportionally to something. Risk adjusted profitability calculations that do not rely on capital allocation still may involve decomposition of risk measures. Such a case is discussed. Calculation issues for directional derivatives are also explored.
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Asaturov, Konstantin. « Portfolio Optimization with Risk Decomposition ». Moscow University Economics Bulletin 2017, no 5 (30 octobre 2017) : 61–85. http://dx.doi.org/10.38050/01300105201754.
Texte intégralRésumé :
The paper offers the modification of traditional portfolio optimization approach to construct the portfolio with possibility to control both systematic and specific risk (portfolio with risk decomposition). Built on modern econometric tools, the author estimates and forecasts the dynamics of alphas and betas of stocks in the frame of CAPM model, which are further applied for portfolio optimization. The closing weekly prices of 10 Australian stocks and ASX Index as the market index during the period from July 2000 to July 2016 were used. Within the sample there is no evidence of arbitrage on the Australian equity market employing neutral beta portfolio. The study confirms that portfolios with risk decomposition outperform Markowitz’s one according to various performance indicators.
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Venter, Gary G., John A. Major et Rodney E. Kreps. « Marginal Decomposition of Risk Measures ». ASTIN Bulletin 36, no 2 (novembre 2006) : 375–413. http://dx.doi.org/10.1017/s0515036100014562.
Texte intégralRésumé :
The marginal approach to risk and return analysis compares the marginal return from a business decision to the marginal risk imposed. Allocation distributes the total company risk to business units and compares the profit/risk ratio of the units. These approaches coincide when the allocation actually assigns the marginal risk to each business unit, i.e., when the marginal impacts add up to the total risk measure. This is possible for one class of risk measures (scalable measures) under the assumption of homogeneous growth and by a subclass (transformed probability measures) otherwise. For homogeneous growth, the allocation of scalable measures can be accomplished by the directional derivative. The first well known additive marginal allocations were the Myers-Read method from Myers and Read (2001) and co-Tail Value at Risk, discussed in Tasche (2000). Now we see that there are many others, which allows the choice of risk measure to be based on economic meaning rather than the availability of an allocation method. We prefer the term “decomposition” to “allocation” here because of the use of the method of co-measures, which quantifies the component composition of a risk measure rather than allocating it proportionally to something.Risk adjusted profitability calculations that do not rely on capital allocation still may involve decomposition of risk measures. Such a case is discussed. Calculation issues for directional derivatives are also explored.
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Simon, Chad A., Jason L. Smith et Mark F. Zimbelman. « How Fraud Risk Decomposition Affects Auditors' Fraud Risk Assessments ». Current Issues in Auditing 14, no 1 (21 janvier 2020) : P26—P32. http://dx.doi.org/10.2308/ciia-52723.
Texte intégralRésumé :
SUMMARY In this paper, we provide a practitioner summary of our paper “The Influence of Judgment Decomposition on Auditors' Fraud Risk Assessments: Some Trade-Offs” (Simon, Smith, and Zimbelman 2018). In that study, we investigate potential unintended consequences from current auditing guidance on risk assessments. Specifically, auditing standards recommend separate assessments of the likelihood and magnitude of risks (hereafter, LM decomposition) when auditors assess risk. Our study involved several experiments, including one with experienced auditors, where we found evidence that LM decomposition leads auditors to be less concerned about high-risk fraud schemes relative to auditors who make holistic risk assessments. Our other experiments involved non-auditing settings and replicated this finding while exploring potential explanations for it. After providing a summary of our study and its results, we offer concluding remarks on the potential implications of our findings.
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Simon, Chad A., Jason L. Smith et Mark F. Zimbelman. « The Influence of Judgment Decomposition on Auditors' Fraud Risk Assessments : Some Trade-Offs ». Accounting Review 93, no 5 (1 janvier 2018) : 273–91. http://dx.doi.org/10.2308/accr-52024.
Texte intégralRésumé :
ABSTRACT Auditing standards recommend separate assessments of the likelihood and magnitude of risks (hereafter, LM decomposition). Prior research shows that decomposition can focus individuals on the components of a judgment and make them more sensitive to information. An experiment with 101 experienced auditors shows that LM decomposition leads auditors to be less concerned about high-risk fraud schemes relative to auditors who make holistic risk assessments. Our analyses also show that, relative to those making holistic risk assessments, the correlation between auditors' likelihood judgments and their overall fraud risk judgments and the coherence of their fraud risk judgments are higher for auditors who perform an LM decomposition. Two follow-up experiments with students replicate these findings for higher-risk events, and (unlike the auditor experiment) we also find that LM decomposition results in lower risk judgments for lower-risk issues. We also find that LM decomposition mitigates the influence of affective responses on high-risk judgments.
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Kalev, Petko S., Konark Saxena et Leon Zolotoy. « Coskewness Risk Decomposition, Covariation Risk, and Intertemporal Asset Pricing ». Journal of Financial and Quantitative Analysis 54, no 1 (21 décembre 2018) : 335–68. http://dx.doi.org/10.1017/s0022109018000637.
Texte intégralRésumé :
We develop an intertemporal asset pricing model where cash-flow news, discount-rate news, and their second moments are priced by the market. This model generalizes the market-return decomposition framework, showing that intertemporal considerations imply a decomposition of squared market returns (coskewness risk). Our model accounts for 68% of the return variation across portfolios sorted by size, book-to-market ratio, momentum, investment, and profitability for a modern U.S. sample period. Further, our findings highlight the importance of covariation risk, that is, the risk of simultaneous unfavorable shocks to cash flows and discount rates, in understanding equity risk premia.
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Mussard, Stéphane, et Virginie Terraza. « The Shapley decomposition for portfolio risk ». Applied Economics Letters 15, no 9 (4 juillet 2008) : 713–15. http://dx.doi.org/10.1080/13504850600748968.
Texte intégralThèses sur le sujet "Risk decomposition"
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Surucu, Oktay. « Decomposition Techniques In Energy Risk Management ». Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/12606552/index.pdf.
Texte intégralRésumé :
The ongoing process of deregulation in energy markets changes the market from a monopoly into a complex one, in which large utilities and independent power producers are no longer suppliers with guaranteed returns but enterprisers which
have to compete. This competence has forced utilities to improve their efficiency. In effect, they must still manage the challenges of physical delivery while operating in a complex market characterized by significant volatility, volumetric uncertainty and credit risk. In such an environment, risk management gains more importance than ever.
In order to manage risk, first it must be measured and then this quantified risk must be utilized optimally. Using stochastic programming to construct a model for an energy company in liberalized markets is useful since it provides a generic
framework to model the uncertainties and enable decisions that will perform well. However, the resulting stochastic programming problem is a large-scale one and decomposition techniques are needed to solve them.
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Gérard, Henri. « Stochastic optimization problems : decomposition and coordination under risk ». Thesis, Paris Est, 2018. http://www.theses.fr/2018PESC1111/document.
Texte intégralRésumé :
Nous considérons des problèmes d'optimisation stochastique et de théorie des jeux avec des mesures de risque. Dans une première partie, nous mettons l'accent sur la cohérence temporelle. Nous commençons par prouver une équivalence entre cohérence temporelle et l'existence d'une formule imbriquée pour des fonctions. Motivés par des exemples bien connus dans les mesures de risque, nous étudions trois classes de fonctions: les fonctions invariantes par translation, les transformées de Fenchel-Moreau et les fonctions supremum. Ensuite, nous étendons le concept de cohérence temporelle à la cohérence entre joueurs, en remplaçant le temps séquentiel par un ensemble non ordonné et les fonctions par des relations binaires. Enfin, nous montrons comment la cohérence entre joueurs est liée à des formes de décomposition séquentielles et parallèles en optimisation. Dans une seconde partie, nous étudions l'impact des mesures de risque sur la multiplicité des équilibres dans les problèmes de jeux dynamiques dans les marchés complets et incomplets. Nous concevons un exemple où l'introduction de mesures de risque conduit à l'existence de trois équilibres au lieu d'un dans le cas risque neutre. Nous analysons la capacité de deux algorithmes différents à trouver les différents équilibres. Nous discutons des liens entre la cohérence des joueurs et les problèmes d'équilibre dans les jeux. Dans une troisième partie, nous étudions l'optimisation robuste pour l'apprentissage automatique. En utilisant des mesures de risque convexes, nous fournissons un cadre unifié et proposons un algorithme adapté couvrant trois ensembles d'ensembles d'ambiguïté étudiés dans la littératureWe consider stochastic optimization and game theory problems with risk measures. In a first part, we focus on time consistency. We begin by proving an equivalence between time consistent mappings and the existence of a nested formula. Motivated by well-known examples in risk measures, we investigate three classes of mappings: translation invariant, Fenchel-Moreau transform and supremum mappings. Then, we extend the concept of time consistency to player consistency, by replacing the sequential time by any unordered set and mappings by any relations. Finally, we show how player consistency relates to sequential and parallel forms of decomposition in optimization. In a second part, we study how risk measures impact the multiplicity of equilibria in dynamic game problems in complete and incomplete markets. We design an example where the introduction of risk measures leads to the existence of three equilibria instead of one in the risk neutral case. We analyze the ability of two different algorithms to recover the different equilibria. We discuss links between player consistency and equilibrium problems in games. In a third part, we study distribution ally robust optimization in machine learning. Using convex risk measures, we provide a unified framework and propose an adapted algorithm covering three ambiguity sets discussed in the literature
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Amaxopoulos, Fotios. « Hedge funds : risk decomposition, replication and the disposition effect ». Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6935.
Texte intégralRésumé :
The purpose of this thesis is to contribute to the literature on hedge fund performance and risk analysis. The thesis is divided into three major chapters that apply novel factor model (Chapter 2) and return replication approaches (Chapter 3) as well as using hedge fund holdings information to examine the disposition effect (Chapter 4). Chapter 2 focuses on the implementation of an efficient Signal Processing technique called Independent Component Analysis, in order to try to identify the driving mechanisms of hedge fund returns. We propose a new algorithm to interpret economically the independent components derived by the data. We use a wide dataset of financial linear and non-linear factors and apply the classification given by the independent component factor models to form optimal portfolios of hedge funds. The results show that our approach outperforms the classic factor models for hedge funds in terms of explanatory power and statistical significance, both in and out of sample. Additionally the ICA model seems to outperform the other models in asset allocation and portfolio construction problems. In chapter 3 we use an effective classification algorithm called Support Vector Machines in order to classify and replicate hedge funds. We use hedge fund returns and exposures on the Fung and Hsieh factor model in order to classify the funds as the self declared strategies differ significantly in the majority of cases from the real one the funds follow. Then we replicate the hedge fund returns with the use of the Support Vector Regressions and we conduct: external replication using financial and economic factors that affect hedge fund returns. Finally in chapter 4 we examine whether hedge funds exhibit a disposition effect in equity markets that leads to under-reaction to news and return predictability. The tendency to hold losing investments too long and sell winning investments too soon has been documented for mutual funds and retail investors, but little is known about whether holdings of sophisticated institutional investors such as hedge funds exhibit such irrational behaviour. We examine the previously unexplored differences in the disposition effect and performance between hedge and mutual funds. Our results show that hedge funds' equity portfolio holdings are consistent with the disposition effect and lead to stronger predictability than that induced by mutual funds' disposition effect during the same sample period. A subsample analysis reveals that this is due to a relatively more pronounced moderation in the disposition-induced predictability in mutual fund holdings, which may, for example, be related to managers learning from their past suboptimal behaviour documented by earlier studies.
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Voßmann, Frank. « Decision weights in choice under risk and uncertainty : measurement and decomposition / ». [S.l. : s.n.], 2004. http://www.gbv.de/dms/zbw/490610218.pdf.
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Kagaruki-Kakoti, Generosa. « An Economic Analysis of School and Labor Market Outcomes For At-Risk Youth ». Digital Archive @ GSU, 2005. http://digitalarchive.gsu.edu/econ_diss/6.
Texte intégralRésumé :
Federal education policy has targeted children who are disadvantaged in order to improve their academic performance. The most recent federal education policy is the No Child Left Behind law signed by President Bush in 2001. Indicators often used to identify an at-risk youth range from economic, personal, family, and neighborhood characteristics. A probit model is used in this study to estimate the probability that a student graduates from high school as a function of 8th grade variables. Students are classified as at-risk of dropping out of high school or non at-risk based on having one or more risk factor. The main measures of academic outcomes are high school completion and post-secondary academic achievements. The main measures of labor market outcomes are short-term and long-term earnings. The results show that a student who comes from a low income family, has a sibling who dropped out, has parents with low education, is home alone after school for three hours or more, or comes from a step family in the eighth grade is at-risk of dropping out of high school. At-risk students are less likely than non at-risk students to graduate from high school. They appear to be more sensitive to existing conditions that may impair/assist their academic progress while they are in high school. At-risk students are also less likely to select a bachelor’s degree. When they are compared to comparable non at-risk students, a greater percentage of at-risk students select a bachelor’s degree or post-graduate degrees than non at-risk students. At-risk individuals face long-term disadvantage in the labor market, receiving lower wage offers than the non at-risk group. Comparing only those without post secondary education shows that the average earnings offered to at-risk individuals were lower than those offered to non at-risk individuals. At-risk college graduates also receive lower earnings than non at-risk college graduates. The wage differential is largely due to the disadvantage at-risk individuals face in the labor market.
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Colletta, Renato Dalla. « Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets ». reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10566.
Texte intégralRésumé :
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This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 Fama-French portfolios in dfferent time periods. The variables suggested by Campbell and Vuolteenaho (2004) to forecast US market excess returns from 1929 to 2001 were also good excess return predictors for the Brazilian market on the recent period, except the term structure yield spread. However, we found that an increase in the small stock value spread predicts a higher market excess return, which is not consistent with the intertemporal model explanation for the value premium. Moreover, using the residuals of the forecasting VAR to define the test portfolios’ cash flow and discount rate shock risk sensitivity, we found that the resulting intertemporal model explains little of the variance in the cross section of returns. For the US market, we conclude that the proposed variables’ ability to forecast market excess returns is not constant in time. Campbell and Vuolteenaho’s (2004) success in explaining the value premium for the US market in the 1963 to 2001 sub-sample is a result of the VAR specification in the full sample, since we show that none of the variables are statistically significant return predictors in this sub-sample.
Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a habilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.
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Soberanis, Policarpio Antonio. « Risk optimization with p-order conic constraints ». Diss., University of Iowa, 2009. https://ir.uiowa.edu/etd/437.
Texte intégralRésumé :
My dissertation considers solving of linear programming problems with p-order conic constraints that are related to a class of stochastic optimization models with risk objective or constraints that involve higher moments of loss distributions. The general proposed approach is based on construction of polyhedral approximations for p-order cones, thereby approximating the non-linear convex p-order conic programming problems using linear programming models. It is shown that the resulting LP problems possess a special structure that makes them amenable to efficient decomposition techniques. The developed algorithms are tested on the example of portfolio optimization problem with higher moment coherent risk measures that reduces to a p-order conic programming problem. The conducted case studies on real financial data demonstrate that the proposed computational techniques compare favorably against a number of benchmark methods, including second-order conic programming methods.
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RROJI, EDIT. « Risk attribution and semi-heavy tailed distributions ». Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/49833.
Texte intégralRésumé :
In this thesis we discuss the problem of risk attribution in a multifactor context using nonparametric
approaches but we also introduce a new distribution for modeling returns. The risk measures considered are homogeneous since we exploit the Euler rule. Particular attention is given to the problem of attributing risk to user defined factors since the existing
literature is limited when compared to other research arguments but of practical relevance. We point out the problems encountered during the analysis and present some methodologies that can be useful in practice. Each chapter combines both theoretical and practical issues.
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Iucci, Alessandro. « Explainable Reinforcement Learning for Risk Mitigation in Human-Robot Collaboration Scenarios ». Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-296162.
Texte intégralRésumé :
Reinforcement Learning (RL) algorithms are highly popular in the robotics field to solve complex problems, learn from dynamic environments and generate optimal outcomes. However, one of the main limitations of RL is the lack of model transparency. This includes the inability to provide explanations of why the output was generated. The explainability becomes even more crucial when RL outputs influence human decisions, such as in Human-Robot Collaboration (HRC) scenarios, where safety requirements should be met. This work focuses on the application of two explainability techniques, “Reward Decomposition” and “Autonomous Policy Explanation”, on a RL algorithm which is the core of a risk mitigation module for robots’ operation in a collaborative automated warehouse scenario. The “Reward Decomposition” gives an insight into the factors that impacted the robot’s choice by decomposing the reward function into sub-functions. It also allows creating Minimal Sufficient Explanation (MSX), sets of relevant reasons for each decision taken during the robot’s operation. The second applied technique, “Autonomous Policy Explanation”, provides a global overview of the robot’s behavior by answering queries asked by human users. It also provides insights into the decision guidelines embedded in the robot’s policy. Since the synthesis of the policy descriptions and the queries’ answers are in natural language, this tool facilitates algorithm diagnosis even by non-expert users. The results proved that there is an improvement in the RL algorithm which now chooses more evenly distributed actions and a full policy to the robot’s decisions is produced which is for the most part aligned with the expectations. The work provides an analysis of the results of the application of both techniques which both led to increased transparency of the robot’s decision process. These explainability methods not only built trust in the robot’s choices, which proved to be among the optimal ones in most of the cases but also made it possible to find weaknesses in the robot’s policy, making them a tool helpful for debugging purposes.Algoritmer för förstärkningsinlärning (RL-algoritmer) är mycket populära inom robotikområdet för att lösa komplexa problem, att lära sig av dynamiska miljöer och att generera optimala resultat. En av de viktigaste begränsningarna för RL är dock bristen på modellens transparens. Detta inkluderar den oförmåga att förklara bakomliggande process (algoritm eller modell) som genererade ett visst returvärde. Förklarbarheten blir ännu viktigare när resultatet från en RL-algoritm påverkar mänskliga beslut, till exempel i HRC-scenarier där säkerhetskrav bör uppfyllas. Detta arbete fokuserar på användningen av två förklarbarhetstekniker, “Reward Decomposition” och “Autonomous policy Explanation”, tillämpat på en RL-algoritm som är kärnan i en riskreduceringsmodul för drift av samarbetande robotars på ett automatiserat lager. “Reward Decomposition” ger en inblick i vilka faktorer som påverkade robotens val genom att bryta ner belöningsfunktionen i mindre funktioner. Det gör det också möjligt att formulera en MSX (minimal sufficient explanation), uppsättning av relevanta skäl för varje beslut som har fattas under robotens drift. Den andra tillämpade tekniken, “Autonomous Policy Explanation”, ger en generellt prespektiv över robotens beteende genom att mänskliga användare får ställa frågor till roboten. Detta ger även insikt i de beslutsriktlinjer som är inbäddade i robotens policy. Ty syntesen av policybeskrivningarna och frågornas svar är naturligt språk underlättar detta en algoritmdiagnos även för icke-expertanvändare. Resultaten visade att det finns en förbättring av RL-algoritmen som nu väljer mer jämnt fördelade åtgärder. Dessutom produceras en fullständig policy för robotens beslut som för det mesta är anpassad till förväntningarna. Rapporten ger en analys av resultaten av tillämpningen av båda teknikerna, som visade att båda ledde till ökad transparens i robotens beslutsprocess. Förklaringsmetoderna gav inte bara förtroende för robotens val, vilket visade sig vara bland de optimala i de flesta fall, utan gjorde det också möjligt att hitta svagheter i robotens policy, vilket gjorde dem till ett verktyg som är användbart för felsökningsändamål.
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Berg, Simon, et Victor Elfström. « IRRBB in a Low Interest Rate Environment ». Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273589.
Texte intégralRésumé :
Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. This article proposes an IRRBB model that follows EBA's regulations. Among other things, this framework contains a deterministic stress test of the risk-free yield curve, in addition to this, two different types of stochastic stress tests of the yield curve were made. The results show that the deterministic stress tests give the highest risk, but that the outcomes are considered less likely to occur compared to the outcomes generated by the stochastic models. It is also demonstrated that EBA's proposal for a stress model could be better adapted to the low interest rate environment that we experience now. Furthermore, a discussion is held on the need for a more standardized framework to clarify, both for the institutions themselves and the supervisory authorities, the risks that institutes are exposed to.Finansiella institutioner är exponerade mot flera olika typer av risker. En av de risker som kan ha en stor påverkan är ränterisk i bankboken (IRRBB). 2018 släppte European Banking Authority (EBA) ett regelverk gällande IRRBB som ska se till att institutioner gör tillräckliga riskberäkningar. Detta papper föreslår en IRRBB modell som följer EBAs regelverk. Detta regelverk innehåller bland annat ett deterministiskt stresstest av den riskfria avkastningskurvan, utöver detta så gjordes två olika typer av stokastiska stresstest av avkastningskurvan. Resultatet visar att de deterministiska stresstesten ger högst riskutslag men att utfallen anses vara mindre sannolika att inträffa jämfört med utfallen som de stokastiska modellera genererade. Det påvisas även att EBAs förslag på stressmodell skulle kunna anpassas bättre mot den lågräntemiljö som vi för tillfället befinner oss i. Vidare förs en diskussion gällande ett behov av ett mer standardiserat ramverk för att tydliggöra, både för institutioner själva och samt övervakande myndigheter, vilka risker institutioner utsätts för.
Livres sur le sujet "Risk decomposition"
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Vossmann, Frank. Decision weights in choice under risk and uncertainty : Measurement and decomposition. Mannheim : Universität Mannheim, 2004.
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Fernández, Viviana. The international CAPM and a wavelet-based decomposition of value at risk. Cambridge, Mass : National Bureau of Economic Research, 2006.
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Fernandez, Viviana. The international capm and a wavelet-based decomposition of value at risk. Cambridge, MA : National Bureau of Economic Research, 2006.
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Pflueger, Carolin E. An empirical decomposition of risk and liquidity in nominal and inflation-indexed government bonds. Cambridge, MA : National Bureau of Economic Research, 2011.
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Knill, April, et Nathan Mauck. Sovereign Wealth Fund Investment and Firm Volatility. Sous la direction de Douglas Cumming, Geoffrey Wood, Igor Filatotchev et Juliane Reinecke. Oxford University Press, 2017. http://dx.doi.org/10.1093/oxfordhb/9780198754800.013.28.
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The popular press and politicians have expressed concerns regarding the potential destabilizing force of sovereign wealth funds (SWFs). This chapter addresses these concerns by presenting results from the literature on the volatility and compensation of risk of SWF target firms and target markets. SWF investments (sales) are associated with a reduction (increase) in the compensation of risk for a three-year (five-year) term. Firm volatility decomposition suggests that it is mainly idiosyncratic risk that drives these impacts. The chapter reviews evidence and data that show the relationship between SWF investment and firm volatility depends on the investment horizon examined. It explains that the evidence is consistent with the view that the relationship between SWF investment and firm volatility is mainly attributable to idiosyncratic risk.
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Zabrodin, Anton. Financial applications of random matrix theory : a short review. Sous la direction de Gernot Akemann, Jinho Baik et Philippe Di Francesco. Oxford University Press, 2018. http://dx.doi.org/10.1093/oxfordhb/9780198744191.013.40.
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This article reviews some applications of random matrix theory (RMT) in the context of financial markets and econometric models, with emphasis on various theoretical results (for example, the Marčenko-Pastur spectrum and its various generalizations, random singular value decomposition, free matrices, largest eigenvalue statistics) as well as some concrete applications to portfolio optimization and out-of-sample risk estimation. The discussion begins with an overview of principal component analysis (PCA) of the correlation matrix, followed by an analysis of return statistics and portfolio theory. In particular, the article considers single asset returns, multivariate distribution of returns, risk and portfolio theory, and nonequal time correlations and more general rectangular correlation matrices. It also presents several RMT results on the bulk density of states that can be obtained using the concept of matrix freeness before concluding with a description of empirical correlation matrices of stock returns.
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Bhalotra, Sonia, et Manuel Fernández. The rise in women’s labour force participation in Mexico : Supply vs demand factors. 16e éd. UNU-WIDER, 2021. http://dx.doi.org/10.35188/unu-wider/2021/950-1.
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We estimate the relative importance of alternative labour supply and demand mechanisms in explaining the rise of female labour force participation over the last 55 years in Mexico. The growth of female labour force participation in Mexico between 1960 and 2015 followed an S-shape, with a considerable acceleration during the 1990s. Using decomposition methods and a shift-share design, we show that, put together, supply and demand factors can account for the rise of female labour force participation over the period, led by increases in women’s education and shifts in the occupational structure of the workforce. However, there is unexplained variation in the 1990s, when female labour force participation spiked.
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Marouani, Mohamed Ali, Phuong Le Minh et Michelle Marshalian. Jobs, earnings, and routine-task occupational change in times of revolution : The Tunisian perspective. UNU-WIDER, 2020. http://dx.doi.org/10.35188/unu-wider/2020/928-0.
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In this paper we investigate the links between wage inequality and the changing nature of jobs in a revolution context. The methodology consists of various decompositions and regressions, including recentred influence function regressions, based on Tunisian labour force surveys from the past 20 years. Tunisia’s labour market during the period of investigation is characterized by a decreasing earnings inequality following the fall of education premia, and an asymmetric wage polarization led by the increase of the lowest wages. After the Revolution, the routine task index increased significantly because of the rise of the share of routine agricultural and service workers. Although evidence shows that the routinization had a role in the evolution of the wage structure, it is not the main driver. Its effect was crowded out by employment and wage policies in the public sector.
Chapitres de livres sur le sujet "Risk decomposition"
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Rasmussen, M. « Decomposition level of quantification in human reliability analysis ». Dans Risk, Reliability and Safety : Innovating Theory and Practice, 997–1002. Taylor & Francis Group, 6000 Broken Sound Parkway NW, Suite 300, Boca Raton, FL 33487-2742 : CRC Press, 2016. http://dx.doi.org/10.1201/9781315374987-150.
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Rasouli, Mohammad, Erik Miehling et Demosthenis Teneketzis. « A Scalable Decomposition Method for the Dynamic Defense of Cyber Networks ». Dans Game Theory for Security and Risk Management, 75–98. Cham : Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-75268-6_4.
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Insua, David Ríos, David Banks, Jesús Ríos et Jorge González-Ortega. « Adversarial Risk Analysis as a Decomposition Method for Structured Expert Judgement Modelling ». Dans International Series in Operations Research & ; Management Science, 179–96. Cham : Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-46474-5_7.
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Zhang, Ning. « Introduction and Computation of Longevity Risk Index Based on Mortality Rate Decomposition Model ». Dans Communications in Computer and Information Science, 608–15. Berlin, Heidelberg : Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-31968-6_72.
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Yadav, Pradip, Shivani Chauhan, Prashant Tiwari, S. H. Upadhyay et Pawan Kumar Rakesh. « Mode Selection in Variational Mode Decomposition and Its Application in Fault Diagnosis of Rolling Element Bearing ». Dans Reliability, Safety and Hazard Assessment for Risk-Based Technologies, 663–70. Singapore : Springer Singapore, 2019. http://dx.doi.org/10.1007/978-981-13-9008-1_56.
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Ji, Xuejing, et Chuanmin Mi. « Systemic Risk Spillover Analysis of China’s Banking Industry Based on Generalized Variance Decomposition Network ». Dans City, Society, and Digital Transformation, 81–95. Cham : Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-15644-1_8.
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Vu, Linh Q., Han K. Kim et Sudhakar L. Rajulu. « Assessment of Biomechanical Risk Factors During Lifting Tasks in a Spacesuit Using Singular Value Decomposition ». Dans Proceedings of the 21st Congress of the International Ergonomics Association (IEA 2021), 429–33. Cham : Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-74614-8_54.
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Armbruster, Wolfgang, Justin S. Hardi et Michael Oschwald. « Experimental Investigation of Injection-Coupled High-Frequency Combustion Instabilities ». Dans Notes on Numerical Fluid Mechanics and Multidisciplinary Design, 249–62. Cham : Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-53847-7_16.
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Abstract Self-excited high-frequency combustion instabilities were investigated in a 42-injector cryogenic rocket combustor under representative conditions. In previous research it was found that the instabilities are connected to acoustic resonance of the shear-coaxial injectors. In order to gain a better understanding of the flame dynamics during instabilities, an optical access window was realised in the research combustor. This allowed 2D visualisation of supercritical flame response to acoustics under conditions similar to those found in European launcher engines. Through the window, high-speed imaging of the flame was conducted. Dynamic Mode Decomposition was applied to analyse the flame dynamics at specific frequencies, and was able to isolate the flame response to injector or combustion chamber acoustic modes. The flame response at the eigenfrequencies of the oxygen injectors showed symmetric and longitudinal wave-like structures on the dense oxygen core. With the gained understanding of the BKD coupling mechanism it was possible to derive LOX injector geometry changes in order to reduce the risks of injection-coupled instabilities for future cryogenic rocket engines.
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« Decomposition of Framework ». Dans Securing an IT Organization through Governance, Risk Management, and Audit, 298–305. Auerbach Publications, 2016. http://dx.doi.org/10.1201/b19194-15.
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« Compound Risk Models and Copula Decomposition ». Dans Actuarial Science, 47–92. CO-PUBLISHED WITH HIGHER EDUCATION PRESS, 2006. http://dx.doi.org/10.1142/9789812774668_0002.
Texte intégralActes de conférences sur le sujet "Risk decomposition"
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Heyman, Thomas, Riccardo Scandariato et Wouter Joosen. « Risk-Driven Architectural Decomposition ». Dans 2009 International Conference on Availability, Reliability and Security. IEEE, 2009. http://dx.doi.org/10.1109/ares.2009.32.
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Xiaodan Zou. « Financial interpretation of risk decomposition ». Dans 2012 First National Conference for Engineering Sciences (FNCES). IEEE, 2012. http://dx.doi.org/10.1109/nces.2012.6543990.
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Zou, Xiaodan. « Financial Interpretation of Risk Decomposition ». Dans 2nd International Conference on Science and Social Research (ICSSR 2013). Paris, France : Atlantis Press, 2013. http://dx.doi.org/10.2991/icssr-13.2013.94.
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Cheng, Shuang. « Short - term Forecast Model of Sugar Futures Price Based on Seasonal Decomposition ». Dans Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017). Paris, France : Atlantis Press, 2017. http://dx.doi.org/10.2991/wrarm-17.2017.45.
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« Risk Decomposition of UK Unlisted Property Funds ». Dans 18th Annual European Real Estate Society Conference : ERES Conference 2011. ERES, 2011. http://dx.doi.org/10.15396/eres2011_258.
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Schlosser, Rainer, et Stefan Halfpap. « A Decomposition Approach for Risk-Averse Index Selection ». Dans SSDBM 2020 : 32nd International Conference on Scientific and Statistical Database Management. New York, NY, USA : ACM, 2020. http://dx.doi.org/10.1145/3400903.3400909.
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Kasahara, Kohei, Susumu Nakajima, Hidetoshi Nishioka et Yu Otake. « Railway Embankment Quality Control Based on Feature Extraction by Singular Value Decomposition and Bayesian Inference ». Dans International Symposium for Geotechnical Safety & Risk. Singapore : Research Publishing Services, 2022. http://dx.doi.org/10.3850/978-981-18-5182-7_00-13-004.xml.
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Saito, Taiga, Shinnosuke Kodama et Yu Otake. « Linear-System-Type Surrogate Model for Large-Scale Earth-Retaining Work Based on Dynamic Mode Decomposition ». Dans International Symposium for Geotechnical Safety & Risk. Singapore : Research Publishing Services, 2022. http://dx.doi.org/10.3850/978-981-18-5182-7_00-17-008.xml.
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Otake, Yu, Yosuke Higo, Kyohei Shigeno et Shinya Watanabe. « Validation of Numerical Analysis Based on Mode Decomposition ». Dans Proceedings of the 7th International Symposium on Geotechnical Safety and Risk (ISGSR 2019). Singapore : Research Publishing Services, 2019. http://dx.doi.org/10.3850/978-981-11-2725-0-is7-9-cd.
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Rubilar Torrealba, Rolando, Karime Chahuán Jiménez et Hanns De La Fuente-Mella. « Econometric Modeling for the Management and Decomposition of Financial Risk ». Dans 13th International Conference on Applied Human Factors and Ergonomics (AHFE 2022). AHFE International, 2022. http://dx.doi.org/10.54941/ahfe1001444.
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This research presents a methodological analysis that will allow to actively manage the risk of financial assets, through an understandable study and mix of technical differences used by the financial literature. In this way, the research will allow the delivery of precise information on the risk-generating components of the assets studied. The methodology used corresponds to the wavelet decomposition method, combined with the VaR methodology, which as a whole proves to be an efficient way of controlling the financial risk of the investment portfolios used, thus allowing to identify the main risk generating components to which it is applied. investors and fund managers submit.
Rapports d'organisations sur le sujet "Risk decomposition"
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Fernandez, Viviana. The International CAPM and a Wavelet-Based Decomposition of Value at Risk. Cambridge, MA : National Bureau of Economic Research, mai 2006. http://dx.doi.org/10.3386/w12233.
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Lacerda Silva, P., G. R. Chalmers, A. M. M. Bustin et R. M. Bustin. Gas geochemistry and the origins of H2S in the Montney Formation. Natural Resources Canada/CMSS/Information Management, 2022. http://dx.doi.org/10.4095/329794.
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The geology of the Montney Formation and the geochemistry of its produced fluids, including nonhydrocarbon gases such as hydrogen sulfide were investigated for both Alberta and BC play areas. Key parameters for understanding a complex petroleum system like the Montney play include changes in thickness, depth of burial, mass balance calculations, timing and magnitudes of paleotemperature exposure, as well as kerogen concentration and types to determine the distribution of hydrocarbon composition, H2S concentrations and CO2 concentrations. Results show that there is first-, second- and third- order variations in the maturation patterns that impact the hydrocarbon composition. Isomer ratio calculations for butane and propane, in combination with excess methane estimation from produced fluids, are powerful tools to highlight effects of migration in the hydrocarbon distribution. The present-day distribution of hydrocarbons is a result of fluid mixing between hydrocarbons generated in-situ with shorter-chained hydrocarbons (i.e., methane) migrated from deeper, more mature areas proximal to the deformation front, along structural elements like the Fort St. John Graben, as well as through areas of lithology with higher permeability. The BC Montney play appears to have hydrocarbon composition that reflects a larger contribution from in-situ generation, while the Montney play in Alberta has a higher proportion of its hydrocarbon volumes from migrated hydrocarbons. Hydrogen sulphide is observed to be laterally discontinuous and found in discrete zones or pockets. The locations of higher concentrations of hydrogen sulphide do not align with the sulphate-rich facies of the Charlie Lake Formation but can be seen to underlie areas of higher sulphate ion concentrations in the formation water. There is some alignment between CO2 and H2S, particularly south of Dawson Creek; however, the cross-plot of CO2 and H2S illustrates some deviation away from any correlation and there must be other processes at play (i.e., decomposition of kerogen or carbonate dissolution). The sources of sulphur in the produced H2S were investigated through isotopic analyses coupled with scanning electron microscopy, energy dispersive spectroscopy, and mineralogy by X-ray diffraction. The Montney Formation in BC can contain small discrete amounts of sulphur in the form of anhydrite as shown by XRD and SEM-EDX results. Sulphur isotopic analyses indicate that the most likely source of sulphur is from Triassic rocks, in particular, the Charlie Lake Formation, due to its close proximity, its high concentration of anhydrite (18-42%), and the evidence that dissolved sulphate ions migrated within the groundwater in fractures and transported anhydrite into the Halfway Formation and into the Montney Formation. The isotopic signature shows the sulphur isotopic ratio of the anhydrite in the Montney Formation is in the same range as the sulphur within the H2S gas and is a lighter ratio than what is found in Devonian anhydrite and H2S gas. This integrated study contributes to a better understanding of the hydrocarbon system for enhancing the efficiency of and optimizing the planning of drilling and production operations. Operators in BC should include mapping of the Charlie Lake evaporites and structural elements, three-dimensional seismic and sulphate ion concentrations in the connate water, when planning wells, in order to reduce the risk of encountering unexpected souring.
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Monetary Policy Report - July 2022. Banco de la República, octobre 2022. http://dx.doi.org/10.32468/inf-pol-mont-eng.tr3-2022.
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In the second quarter, annual inflation (9.67%), the technical staff’s projections and its expectations continued to increase, remaining above the target. International cost shocks, accentuated by Russia's invasion of Ukraine, have been more persistent than projected, thus contributing to higher inflation. The effects of indexation, higher than estimated excess demand, a tighter labor market, inflation expectations that continue to rise and currently exceed 3%, and the exchange rate pressures add to those described above. High core inflation measures as well as in the producer price index (PPI) across all baskets confirm a significant spread in price increases. Compared to estimates presented in April, the new forecast trajectory for headline and core inflation increased. This was partly the result of greater exchange rate pressure on prices, and a larger output gap, which is expected to remain positive for the remainder of 2022 and which is estimated to close towards yearend 2023. In addition, these trends take into account higher inflation rate indexation, more persistent above-target inflation expectations, a quickening of domestic fuel price increases due to the correction of lags versus the parity price and higher international oil price forecasts. The forecast supposes a good domestic supply of perishable foods, although it also considers that international prices of processed foods will remain high. In terms of the goods sub-basket, the end of the national health emergency implies a reversal of the value-added tax (VAT) refund applied to health and personal hygiene products, resulting in increases in the prices of these goods. Alternatively, the monetary policy adjustment process and the moderation of external shocks would help inflation and its expectations to begin to decrease over time and resume their alignment with the target. Thus, the new projection suggests that inflation could remain high for the second half of 2022, closing at 9.7%. However, it would begin to fall during 2023, closing the year at 5.7%. These forecasts are subject to significant uncertainty, especially regarding the future behavior of external cost shocks, the degree of indexation of nominal contracts and decisions made regarding the domestic price of fuels. Economic activity continues to outperform expectations, and the technical staff’s growth projections for 2022 have been revised upwards from 5% to 6.9%. The new forecasts suggest higher output levels that would continue to exceed the economy’s productive capacity for the remainder of 2022. Economic growth during the first quarter was above that estimated in April, while economic activity indicators for the second quarter suggest that the GDP could be expected to remain high, potentially above that of the first quarter. Domestic demand is expected to maintain a positive dynamic, in particular, due to the household consumption quarterly growth, as suggested by vehicle registrations, retail sales, credit card purchases and consumer loan disbursement figures. A slowdown in the machinery and equipment imports from the levels observed in March contrasts with the positive performance of sales and housing construction licenses, which indicates an investment level similar to that registered for the first three months of the year. International trade data suggests the trade deficit would be reduced as a consequence of import levels that would be lesser than those observed in the first quarter, and stable export levels. For the remainder of the year and 2023, a deceleration in consumption is expected from the high levels seen during the first half of the year, partially as a result of lower repressed demand, tighter domestic financial conditions and household available income deterioration due to increased inflation. Investment is expected to continue its slow recovery while remaining below pre-pandemic levels. The trade deficit is expected to tighten due to projected lower domestic demand dynamics, and high prices of oil and other basic goods exported by the country. Given the above, economic growth in the second quarter of 2022 would be 11.5%, and for 2022 and 2023 an annual growth of 6.9% and 1.1% is expected, respectively. Currently, and for the remainder of 2022, the output gap would be positive and greater than that estimated in April, and prices would be affected by demand pressures. These projections continue to be affected by significant uncertainty associated with global political tensions, the expected adjustment of monetary policy in developed countries, external demand behavior, changes in country risk outlook, and the future developments in domestic fiscal policy, among others. The high inflation levels and respective expectations, which exceed the target of the world's main central banks, largely explain the observed and anticipated increase in their monetary policy interest rates. This environment has tempered the growth forecast for external demand. Disruptions in value chains, rising international food and energy prices, and expansionary monetary and fiscal policies have contributed to the rise in inflation and above-target expectations seen by several of Colombia’s main trading partners. These cost and price shocks, heightened by the effects of Russia's invasion of Ukraine, have been more prevalent than expected and have taken place within a set of output and employment recovery, variables that in some countries currently equal or exceed their projected long-term levels. In response, the U.S. Federal Reserve accelerated the pace of the benchmark interest rate increase and rapidly reduced liquidity levels in the money market. Financial market actors expect this behavior to continue and, consequently, significantly increase their expectations of the average path of the Fed's benchmark interest rate. In this setting, the U.S. dollar appreciated versus the peso in the second quarter and emerging market risk measures increased, a behavior that intensified for Colombia. Given the aforementioned, for the remainder of 2022 and 2023, the Bank's technical staff increased the forecast trajectory for the Fed's interest rate and reduced the country's external demand growth forecast. The projected oil price was revised upward over the forecast horizon, specifically due to greater supply restrictions and the interruption of hydrocarbon trade between the European Union and Russia. Global geopolitical tensions, a tightening of monetary policy in developed economies, the increase in risk perception for emerging markets and the macroeconomic imbalances in the country explain the increase in the projected trajectory of the risk premium, its trend level and the neutral real interest rate1. Uncertainty about external forecasts and their consequent impact on the country's macroeconomic scenario remains high, given the unpredictable evolution of the conflict between Russia and Ukraine, geopolitical tensions, the degree of the global economic slowdown and the effect the response to recent outbreaks of the pandemic in some Asian countries may have on the world economy. This macroeconomic scenario that includes high inflation, inflation forecasts, and expectations above 3% and a positive output gap suggests the need for a contractionary monetary policy that mitigates the risk of the persistent unanchoring of inflation expectations. In contrast to the forecasts of the April report, the increase in the risk premium trend implies a higher neutral real interest rate and a greater prevailing monetary stimulus than previously estimated. For its part, domestic demand has been more dynamic, with a higher observed and expected output level that exceeds the economy’s productive capacity. The surprising accelerations in the headline and core inflation reflect stronger and more persistent external shocks, which, in combination with the strength of aggregate demand, indexation, higher inflation expectations and exchange rate pressures, explain the upward projected inflation trajectory at levels that exceed the target over the next two years. This is corroborated by the inflation expectations of economic analysts and those derived from the public debt market, which continued to climb and currently exceed 3%. All of the above increase the risk of unanchoring inflation expectations and could generate widespread indexation processes that may push inflation away from the target for longer. This new macroeconomic scenario suggests that the interest rate adjustment should continue towards a contractionary monetary policy landscape. 1.2. Monetary policy decision Banco de la República’s Board of Directors (BDBR), at its meetings in June and July 2022, decided to continue adjusting its monetary policy. At its June meeting, the BDBR decided to increase the monetary policy rate by 150 basis points (b.p.) and its July meeting by majority vote, on a 150 b.p. increase thereof at its July meeting. Consequently, the monetary policy interest rate currently stands at 9.0% . 1 The neutral real interest rate refers to the real interest rate level that is neither stimulative nor contractionary for aggregate demand and, therefore, does not generate pressures that lead to the close of the output gap. In a small, open economy like Colombia, this rate depends on the external neutral real interest rate, medium-term components of the country risk premium, and expected depreciation. Box 1: A Weekly Indicator of Economic Activity for Colombia Juan Pablo Cote Carlos Daniel Rojas Nicol Rodriguez Box 2: Common Inflationary Trends in Colombia Carlos D. Rojas-Martínez Nicolás Martínez-Cortés Franky Juliano Galeano-Ramírez Box 3: Shock Decomposition of 2021 Forecast Errors Nicolás Moreno Arias
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Financial Stability Report - Second Semester of 2021. Banco de la República, septembre 2022. http://dx.doi.org/10.32468/rept-estab-fin.sem2.eng-2021.
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Banco de la República’s main objective is to preserve the purchasing power of the currency in coordination with the general economic policy that is intended to stabilize output and employment at long-term sustainable levels. Properly meeting the goal assigned to the Bank by the 1991 Constitution critically depends on preserving financial stability. This is understood to be a general condition in which the financial system assesses and manages the financial risks in a way that facilitates the economy’s performance and efficient allocation of resources while, at the same time, it is able to, on its own, absorb, dissipate, and mitigate the shocks that may arise as a result of adverse events. This Financial Stability Report meets the goal of giving Banco de la República’s diagnosis of the financial system’s and its debtors’ recent performance as well as of the main risks and vulnerabilities that could affect the stability of the Colombian economy. In this way, participants in financial markets and the public are being informed, and public debate on trends and risks affecting the system is being encouraged. The results presented here also serve the monetary authority as a basis for making decisions that will enhance financial stability in the general context of its objectives. In recent months, several positive aspects of the financial system have preserved a remarkable degree of continuity and stability: the liquidity and capital adequacy of financial institutions have remained well above the regulatory minimums at both the individual and consolidated levels, the coverage of past-due loans by loan-loss provisions remains high, and the financial markets for public and private debt and stocks have continued to function normally. At the same time, a surge in all the types of loan portfolios, a sharp downturn in the non-performing loan portfolio, and a rise in the profitability of credit institutions can be seen for the first time since the beginning of the pandemic. In line with the general recovery of the economy, the main vulnerability to the stability of the Colombian financial system identified in the previous edition—uncertainty about changes in the non-performing loans portfolio—has receded and remains on a downward trend. In this edition, the main source of vulnerability identified for financial stability in the short term is the system’s exposure to sudden changes in international financial conditions; the results presented in this Report indicate that the system is sufficiently resilient to such scenarios. In compliance with its constitutional objectives and in coordination with the financial system’s security network, Banco de la República will continue to closely monitor the outlook for financial stability at this juncture and will make the decisions necessary to ensure the proper functioning of the economy, facilitate the flow of sufficient credit and liquidity resources, and further the smooth functioning of the payment system. Leonardo Villar Gomez Governor Box 1 -Decomposition of the Net Interest Margin in Colombia and Chile Wilmar Cabrera Daniela Rodríguez-Novoa Box 2 - Spatial Analysis of New Home Prices in Bogota, Medellín, and Cali Using a Geostatistical Approach María Fernanda Meneses Camilo Eduardo Sánchez Box 3 - Interest Rate Model for the SYSMO Stress Test Exercise Wilmar Cabrera Diego Cuesta Santiago Gamba Camilo Gómez Box 4 - The Transition from LIBOR and other International Benchmark Rates Daniela X. Gualtero Briceño Javier E. Pirateque Niño