بایگانی برچسب برای: Risk management

Managing risk in a poor economy The association between economic.[taliem.ir]

Managing risk in a poor economy: The association between economic activity and auditor response to risk

We examine the association between economic climate and auditor risk acceptance as measured by the auditors' reaction to internal control weaknesses. We hypothesize and find that auditors address risk in a way that is conditioned on the economic environment. In particular, we find that during periods of weak economic activity, auditors tend to assess lower risk premiums and are less likely to resign in response to an adverse ICFR opinion. However, we find evidence that economic factors do not influence fees assessed by incoming auditors following a resignation in the presence of an ICFR weakness. Our results indicate that auditors modify their engagement risk strategies during challenging economic times and accept higher levels of risk to attract and retain clients. For the riskiest clients, however, economic factors do not appear to influence auditors' risk pricing.
Market timing, investment, and risk management.[taliem.ir]

Market timing, investment, and risk management

The 2008 financial crisis exemplifies significant uncertainties in corporate financing conditions. We develop a unified dynamic q-theoretic framework where firms have both a precautionary-savings motive and a market-timing motive for external financing and payout decisions, induced by stochastic financing conditions. The model predicts (1) cuts in investment and payouts in bad times and equity issues in good times even without immediate financing needs; (2) a positive correlation between equity issuance and stock repurchase waves. We show quantitatively that real effects of financing shocks may be substantially smoothed out as a result of firms’ adjustments in anticipation of future financial crises.
Risk management disclosure[taliem.ir]

Risk management disclosure A study on the effect of voluntary risk management disclosure toward firm value

Purpose – The purpose of this paper is to examine the effect of voluntary risk management disclosure (VRMD) on firm value (FV). Design/methodology/approach – This study uses content analysis approach to collect the VRMD data. FV is represented by three variables: market capitalization, Tobin’s Q and market to book value of equity ratio. Based on a sample of 395 firms listed on the main market of Bursa Malaysia in 2011, this study uses multivariate statistical tests to examine the association between VRMD and FV. Findings – Based on the regression analysis, this study found that the VRMD has a positive and significant relationship with FV. Even though the authors hypothesize that damaging voluntary risk management disclosure (DVRMD) will have a negative and significant relationship with FV, the regression analysis shows that the DVRMD is not significantly related to FV. As expected, the relationship between beneficial voluntary risk management disclosure (BVRMD) and FV is positive and significant. The findings provide evidence that should be of interest especially to firms in terms of deciding upon whether to provide or avoid disclosing voluntary risk management information to their stakeholders. Research limitations/implications – Notwithstanding the critical empirical findings, this study is limited to only focusing on a one year data. The authors acknowledge the fact that findings from a one year data might not be easily generalized to other time periods. The authors believe a stronger argument could be obtained from evidence based on a longitudinal study or data that incorporate multiple economic conditions. The study highlights the fact that risks management information is important to investors in Malaysia when they make their investments decisions. Practical implications – To date, regulatory bodies emphasize more on financial risk management disclosure through the enforcement of MFRS 7; while non-financial risk information is less emphasized in current guidelines such as Malaysian Code on Corporate Governance (MCCG) (2012) and Recommended Practice Guide 5 (Revised), which only requires firms to disclose information about non-financial risk management without specific details. As this study has provided evidence on the significance of non-financial risk management disclosures in the capital market, this study could be useful for the regulatory bodies to develop more detailed guidelines on non-financial risk management disclosure in the future.
Towards Quantifying the Impacts of Cyber Attacks[taliem.ir]

Towards Quantifying the Impacts of Cyber Attacks in the Competitive Electricity Market Environment

We provide in this paper the first steps towards the quantification of the impacts of cyber attacks on the power grid. We present a review of key-issues on cyber security of power systems, and show the main challenges as well as complicating factors. In order to do the quantification, we propose the application of a conceptual four-layer framework that represents the physical, communication/control, market levels of the electricity infrastructure, and a cyber security investment layer. We characterize each layer and discuss the relationship among them. We focus on quantify the impacts that cyber attacks can have on the market layer using the system social welfare as the main metric. We use a small system to illustrate the application of our framework on the evaluation of investment alternatives on cyber security.
Multiobjective Mean-Risk Models for Optimization in Finance[taliem.ir]

Multiobjective Mean-Risk Models for Optimization in Finance and Insurance

In this paper we propose some models for solving optimization problems which arise in finance and insurance. First the general framework for Mean-Risk models is introduced. Then several approaches for multiobjective programming, such as Mean-Value-at-Risk and Mean-Conditional Value-at-Risk are used for building the model Mean-Value-at-Risk-Conditional Value-at-Risk using both Value-at-Risk and Conditional Value-at-Risk simultaneously for risk assessment. A two stage portfolio optimization model is developed, using Value-at-Risk and also Conditional Value-at-Risk measures in two stages separately.
Contingency Factors, Risk Management, and[taliem.ir]

Contingency Factors, Risk Management, and Performance of Indonesian Banks

The purpose of this study is to examine the effect of enterprise risk management (ERM) and credit risk management (CMR) on Indonesian bank performance. This study also investigates the moderating role of bank contingency factors on those impacts. By exploring purposive sampling method, 24 Indonesian public listed Banks were selected as the sample of this study for four years observations. This study found ERM and CRM positively influence on Indonesian bank performance. This study also reported that the influencing of ERM on Bank performance will be stronger for large bank and the bank which operate in higher environmental uncertainty, higher complexity, and lower independent board monitoring. In contrast this study provide an empirical evidence on strangtern CRM-bank performance relationship will be exist for small bank and the bank which operate in lower environmental uncertainty, lower complexity, and higher ndependent board monitoring.
Risk management and financial derivatives An overview[taliem.ir]

Risk management and financial derivatives: An overview

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives” is to highlight some areas in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence from S&P100 index and equity options, the performance of commodity trading advisors: a mean-variance-ratio test approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, stimating and simulating Weibull models of risk or price durations: an application to ACD models, valuation of double trigger catastrophe options with counterparty risk, day of the week effect on the VIX – a parsimonious representation, equity and CDS sector indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi-national enterprises, solving claims
Risk management and financial derivatives An overview[taliem.ir]

Risk management and financial derivatives: An overview

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives” is to highlight some areas in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence from S&P100 index and equity options, the performance of commodity trading advisors: a mean-variance-ratio test approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, stimating and simulating Weibull models of risk or price durations: an application to ACD models, valuation of double trigger catastrophe options with counterparty risk, day of the week effect on the VIX – a parsimonious representation, equity and CDS sector indices: dynamic models and risk hedging, the probability of default in collateralized credit operations, risk premia in multi-national enterprises, solving claims replication problems in a complete market by orthogonal series expansion, downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks, and implied Sharpe ratios of portfolios with options: application to Nikkei futures and listed options
Health information systems Failure, success[taliem.ir]

Health information systems: Failure, success and improvisation

Background and purpose: The generalised assumption of health information systems (HIS) success is questioned by a few commentators in the medical informatics field
Risk management for overseas[taliem.ir]

Risk management for overseas construction projects

Contracting overseas construction projects is usually considered a 'high risk business', mostly because of a lack of adequate overseas environmental information and overseas construction experience. Similar construction projects may have totally different risk characteristics in different regions. It is difficult for a newcomer to identify new risks in a new environment. It is more difficult to assess these risks and the subtle impact of relationships among them. On the one hand, ignoring these risks is irresponsible, and unrealistic decisions will result. On the other hand, identifying and assessing all the new risks and their relationships is a very complicated, time-consuming and expensive process. This process is almost impossible for the majority of projects, especially when there are inadequate amounts of information and time. When such a complex scenario is faced, identifying and controlling these vital risk factors in overseas projects becomes extremely important. In this paper, a method of managing various risks for overseas construction projects is developed. How to effectively identify the vital risks in overseas projects is discussed. A useful risk assessment technique is introduced which combines risk probability analysis with risk impact assessment. Vital risk response techniques for overseas projects are also illustrated by a case study from China.