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Combining underreported internal and external data for operational risk measurement
This paper proposes a model for operational losses that improves the internal loss distribution modelling by combining internal and external operational risk data. It also considers the possibility that internal and external data have been collected with a different truncation threshold.
Updated: 22/09/2011
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Views: 3,677
Estimating multiplicative and additive hazard functions by Kernel methods
We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models.
Updated: 22/09/2011
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Views: 3,076
Multidimensional credibility with time effects: an application to commercial business lines
This article considers Danish insurance business lines for which the pricing methodology has been dramatically upgraded recently.
Updated: 22/09/2011
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Views: 3,199
The impact of SEC litigation on firm value
This paper examines the effect of the announcement of the Securities and Exchange Commission's (SEC) legal enforcement actions. The results indicate that SEC lawsuits have a negative effect on share price.
Updated: 22/09/2011
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Views: 2,960
The UK crisis of 2008: what is real and what is behavioural?
This paper is about the crisis of 2008 in the UK. I first discuss the triggers of the crisis in the UK, then go over the immediate reactions to it in the form of short term policies and conclude with a discussion of long term policies.
Updated: 22/09/2011
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Views: 3,235
Can common components eliminate momentum returns?
This paper investigates the presence of momentum return when priced for common components. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show significant momentum return remains both at the portfolio level and at the individual stock level.
Updated: 22/09/2011
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Views: 2,863
Decomposition of momentum return: which component contributes most?
This paper investigates the contribution of common components and stock specific components in generating momentum return.
Updated: 22/09/2011
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Views: 2,914
Drivers of real estate fund performance: a panel data analysis
The principle aim of this research is to elucidate the factors driving the total rate of return of non-listed funds using a panel data analytical framework.
Updated: 29/09/2011
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Views: 3,987
Changes in block ownership in the London Stock Exchange
We analyze the time-series distribution of large blockholders and managerial ownership in the UK over the last decade.
Updated: 22/09/2011
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Views: 3,140
Which money is smart? mutual fund buys and sells of individual and institutional investors
Gruber (1996) and Zheng (1999) report that investors channel money towards mutual funds that subsequently perform well. Sapp and Tiwari (2004) find that this smart money effect no longer holds after controlling for stock return momentum.
Updated: 22/09/2011
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Views: 2,888
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Government attempts to help the low paid build up a pension pot could backfire spectacularly, the Cass Pensions Institute warns.
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The pressure on staff to rack up long hours and charge them to clients could be hugely damaging to the professional services sector.