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When uncertainty decouples expected and unexpected losses
(26.01.2022)
Bank of Finland Research Discussion Papers 4/2022
Bank of Finland Research Discussion Papers 4/2022
A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact – abrupt switches between high- and low-loss phases– from a risk-management perspective. As uncertainty about ...
Investor monitoring, money-likeness and stability of money market funds
(12.02.2021)
Bank of Finland Research Discussion Papers 2/2021
Bank of Finland Research Discussion Papers 2/2021
An asset is money-like if investors have no incentives to acquire costly private information on the underlying collateral. However, privately provided money-like assets—like prime money market fund (MMF) shares—are prone ...
Forecasting expected and unexpected losses
(21.12.2020)
Bank of Finland Research Discussion Papers 18/2020
Bank of Finland Research Discussion Papers 18/2020
Extending a standard credit-risk model illustrates that a single factor can drive both expected losses and the extent to which they may be exceeded in extreme scenarios, ie “unexpected losses.” This leads us to develop a ...
Determinants of country creditworthiness : an empirical investigation, 1980-1989
(03.02.1993)
Bank of Finland Research Discussion Papers 1/1993
Bank of Finland Research Discussion Papers 1/1993
This empirical investigation aims to identify the economic factors that determine a country's creditworthiness. Published country risk ratings are used as direct creditworthy measurement and logit analysis is applied in ...
The net worth trap: investment and output dynamics in the presence of financing constraints
(16.11.2014)
Bank of Finland Research Discussion Papers 26/2014
Bank of Finland Research Discussion Papers 26/2014
We study the impact of financing constraints on investment and output dynamics, in a continuous time setting with output a linear function of capital. Decline of net worth reduces investment and, if firms can rent capital ...
Firm growth : Adjustment and fluctuations
(09.11.1988)
Bank of Finland Research Discussion Papers 26/1988
Bank of Finland Research Discussion Papers 26/1988
Firm growth is analysed using panel data for a sample of Finnish firms over the period 1978 - 1985. The paper focuses on the relationship between firm characteristics and growth, paying attention to both latent and measured ...
Usean faktorin korkorakennemallit ja immunisaatio
(14.01.1991)
Bank of Finland Research Discussion Papers 1/1991
Bank of Finland Research Discussion Papers 1/1991
Tutkimuksessa tarkastellaan, miten joukkovelkakirjoihin sijoitettaessa voidaan erityyppisten korkorakennemallien avulla saavuttaa immunisaatio. Lähtökohtana on sijoittaja, joka sijoittaa ainoastaan luottoriskittömiin ja ...
Frequency-domain information for active portfolio management
(09.01.2020)
Bank of Finland Research Discussion Papers 2/2020
Bank of Finland Research Discussion Papers 2/2020
We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the ...
Pankkien taseen ulkopuolisen toiminnan rakenne ja kehitys vuosina 1989-1992
(18.11.1992)
Bank of Finland Research Discussion Papers 38/1992
Bank of Finland Research Discussion Papers 38/1992
Tämän keskustelualoitteen tavoitteena on kuvata pankkien taseen ulkopuolisen toiminnan laajuutta, rakennetta ja sen kehitykseen vaikuttaneita tekijöitä. Pankit ovat perinteisesti tarjonneet asiakkailleen myös muita kuin ...
Conditional betas and the price of risk in a thin asset market : A sensitivity analysis
(17.03.1992)
Bank of Finland Research Discussion Papers 9/1992
Bank of Finland Research Discussion Papers 9/1992
This paper examines the sensitivity of tests of the Sharpe-Lintner Capital Asset Pricing Model (CAPM) to different estimation methods and asset return samples in a thin European asset market, i.e. the Finnish asset market. ...