NBER WORKING PAPER SERIES FINANCIAL RISK MEASUREMENT FOR FINANCIAL RISK MANAGEMENT Torben G. Andersen Tim Bollerslev Peter F. Christoffersen Francis X. Diebold Working Paper 18084 http://www.nber.org/papers/w18084 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 May 2012 Forthcoming in Handbook of the Economics of Finance, Volume 2, North Holland, an imprint of Elsevier. For helpful comments we thank Hal Cole and Dongho Song. For research support, Andersen
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Probability and Statistics for Finance The Frank J. Fabozzi Series Fixed Income Securities, Second Edition by Frank J. Fabozzi Focus on Value: A Corporate and Investor Guide to Wealth Creation by James L. Grant and James A. Abate Handbook of Global Fixed Income Calculations by Dragomir Krgin Managing a Corporate Bond Portfolio by Leland E. Crabbe and Frank J. Fabozzi Real Options and Option-Embedded Securities by William T. Moore Capital Budgeting: Theory and Practice by Pamela P. Peterson and
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3. Evidence 2.3.1. Twin shares 2.3.2. Index inclusions 2.3.3. Internet carve-outs 3. Psychology 3.1. Beliefs 3.2. Preferences 3.2.1. Prospect theory 3.2.2. Ambiguity aversion 4. Application: The aggregate stock market 4.1. The equity premium puzzle 4.1.1. Prospect theory 4.1.2. Ambiguity aversion 4.2. The volatility puzzle 4.2.1. Beliefs 4.2.2. Preferences 5. Application: The cross-section of average returns 5.1. Belief-based models 1054 1054 1055 1056 1056 1058 1061 1061 1063 1064
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Exam: Afternoon Session The afternoon session of the 2016 Level I Chartered Financial Analyst (CFA®) Mock Examination has 120 questions. To best simulate the exam day experience, candidates are advised to allocate an average of 1.5 minutes per question for a total of 180 minutes (3 hours) for this session of the exam. Topic Minutes 1-18 Ethical and Professional Standards 27 19-32 Quantitative Methods 21 33-44 Economics 18 45-68 Financial Statement Analysis
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........ 1 1.2 Future Value ................................................................................................ 2 Problems .............................................................................................................. 3 Chapter 2 Annuity ...................................................................4 2.1 Present Value
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Agency Costs, Mispricing, and Ownership Structure* Sergey Chernenko Ohio State University C. Fritz Foley Harvard Business School and NBER Robin Greenwood Harvard Business School and NBER March 2012 Abstract Standard theories of corporate ownership assume that because markets are efficient, insiders ultimately bear all agency costs that they create and therefore have a strong incentive to minimize conflicts of interest with outside investors. We argue that if equity is overvalued, however,
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anyone looking to create a successful investment programme . . .” (The Securities Investment Review) “It’s some time since I read anything as clear and punchy . . . if you are involved in setting investment strategy for a pension fund, this book cannot help but clarify your thinking.” (Benefits & Compensation International) “This book stakes Fraser-Sampson’s claim to be recognised as one of the great thinkers on portfolio theory, ranking alongside Markowitz and Swensen.” (Rebecca Meijlink, AlphaBet
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concerned due to significant loan losses and bank failures from the 1980s till now. In the light of the banking crisis in recent years worldwide, CAMEL is a useful tool to examine the safety and soundness of banks, and help mitigate the potential risks which may lead to bank failures. The research has been conducted as a case study of American International Assurance Vietnam (AIA). It aims to determine whether the CAMEL framework plays a crucial role in banking supervision. Furthermore, the purpose
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Journal of Economic Perspectives—Volume 24, Number 1—Winter 2010—Pages 93–118 Did Fair-Value Accounting Contribute to the Financial Crisis? Christian Laux and Christian Leuz I n its pure form, fair-value accounting involves reporting assets and liabilities on the balance sheet at fair value and recognizing changes in fair value as gains and losses in the income statement. When market prices are used to determine fair value, fair-value accounting is also called mark-to-market accounting
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American depository receipt-A negotiable certificate issued by a U.S. bank representing a specified number of shares (or one share) in a foreign stock that is traded on a U.S. exchange. ADRs are denominated in U.S. dollars, with the underlying security held by a U.S. financial institution overseas. ADRs help to reduce administration and duty costs that would otherwise be levied on each transaction. Explanation: This is an excellent way to buy shares in a foreign company while realizing any dividends
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