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    Wyświetlanie 1-4 z 4
    Tytuł:
    Globalization, inequality and economic policy
    Autorzy:
    Broll, Udo
    Kemnitz, Alexander
    Mukherjee, Vivekananda
    Powiązania:
    https://bibliotekanauki.pl/articles/557702.pdf
    Data publikacji:
    2019-03-22
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    globalization, inequality, marginalization, economic policy, public policy
    Opis:
    In our paper a very simple model is used to analyze the relationship between trade globalization, inequality and economic policy. Although the local government exclusively maximizes the welfare of the marginalized (unemployed) people, the inequality of relative consumption between employed and unemployed will increase with intensified trade liberalization. In contrast to this result the relative income inequality may fall in certain situations.
    Źródło:
    Economics and Business Review; 2019, 5 (19), 1; 3-11
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Market risk, value-at-risk and exponential weighting
    Autorzy:
    Broll, Udo
    Förster, Andreas
    Powiązania:
    https://bibliotekanauki.pl/articles/2058071.pdf
    Data publikacji:
    2022-07-11
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    banks
    nfiancial intermediaries
    risk management
    market risk
    exponen tially weighted moving average
    weighting scheme
    value-at-risk
    Opis:
    Banks and nfiancial intermediaries are exposed to market risk. The aim of the paper is to explore the implications of legal requirements on market risk valuation. The focus is on the calculation of the permissible weighting factor of the concept of value-at-risk (VaR). When measuring market risk, banks and nfiancial intermediaries may deviate from equally weighting historical data in their value-at-risk calculation and instead use an exponential time series weighting. eTh use of exponential weighting in the value-at-risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases this leads to a reduction in VaR and thus to lower own funds' requirements for banks and nfiancial intermediaries. However, in the exponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated. To prevent this banks and nfiancial intermediaries are not completely free to choose a weighting (decay) factor. The exchange rate between Polish zloty and euro is used to estimate the value-at-risk as an example and exceptions to the general legal requirements are also discussed.
    Źródło:
    Economics and Business Review; 2022, 8, 2; 80-91
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Risk sharing markets and hedging a loan portfolio: a note.
    Autorzy:
    Broll, Udo
    Guo, Xu
    Welzel, Peter
    Powiązania:
    https://bibliotekanauki.pl/articles/943134.pdf
    Data publikacji:
    2017-12-20
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    risk management
    credit risk
    loan portfolio
    derivatives
    hedging effectiveness
    Opis:
    Our study features a financial institute facing credit risk. Hedging credit risk by offsetting an open position with an opposite one in the financial market is important for financial intermediaries, which are concerned with both the profitability and risk of their operations. As risk management is crucial for the financial institute, the issues of how it is optimally determined and how it adjusts to changes in the financial environment deserve closer scrutiny. We extend the analysis of hedging with financial instruments against credit risk to the case of multiple types of credit risk. We show that standard results on the optimal hedge ratio and risk management effectiveness in the case of one single source of credit risk to carry over a loan portfolio in a non-trivial but intuitive way. While we focus on credit risk and credit derivatives, our analysis can be easily applied to other financial assets, which can be traded in futures market.
    Źródło:
    Economics and Business Review; 2017, 3(17), 4; 47-54
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Strategic option pricing
    Autorzy:
    Bieta, Volker
    Broll, Udo
    Siebe, Wilfried
    Powiązania:
    https://bibliotekanauki.pl/articles/1837957.pdf
    Data publikacji:
    2020-09-30
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    option pricing
    game theory
    Nash equilibrium
    Opis:
    In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person game from the Nash equilibrium of which the option price can be derived is formulated. Consequently both the underlying asset’s price at expiration and the price of the option on this asset are endogenously determined. The option price derived this way turns out, however, to be identical to the classical no-arbitrage option price of the binomial model if the expiration-date prices of the underlying asset and the corresponding risk-neutral probability are properly adjusted according to the Nash equilibrium data of the game.
    Źródło:
    Economics and Business Review; 2020, 6, 3; 118-129
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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