Development and Implementation of Alternative Concept for Expected and Unexpected Losses in Corporations

TEM Journal ◽

10.18421/tem93-37 ◽

2020 ◽

pp. 1116-1125

Author(s):

Viktoriya Manuylenko ◽

Denis Ryzin ◽

Mariia Koniagina ◽

Nina Lipchiu ◽

Lubov Setchenkova

Keyword(s):

Business Cycle ◽

Risk Profile ◽

Alternative Conception ◽

Financial Risks ◽

Stress Tests ◽

Risk Capital ◽

Bankruptcy Risk ◽

Alternative Concept ◽

Special Software ◽

Efficient Control

The study suggests alternative conception of expected and unexpected losses in corporations. Unlike the classical conception, it suggests backing up expected losses with risk capital, taking into account loss causes during different phases of business cycle. Whereas unexpected losses that are the source of uncertainty should be adjusted based on adapted VaR method tests, stress tests and limitations that include principles of dynamic back up allocations. That should ensure timely forecast of significant financial risks guaranteeing efficient development of risk profile of corporations, and in the end increasing potential for efficient control on financial risks. From the standpoint of further conception advancing, a method for determining unexpected VaR losses was developed and implemented; it is supported with special software dedicated to bankruptcy risk symptoms identification in corporations.

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Stress tests and risk capital

The Journal of Risk ◽

10.21314/jor.2000.030 ◽

2000 ◽

Vol 2 (4) ◽

pp. 27-39 ◽

Cited By ~ 3

Author(s):

Paul Kupiec

Keyword(s):

Stress Tests ◽

Risk Capital

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Renewable Energy Sources Development Risk Analysis and Evaluation: the Case of Azerbaijan

European Journal of Economics and Business Studies ◽

10.26417/ejes.v5i3.p11-20 ◽

2019 ◽

Vol 5 (3) ◽

pp. 11 ◽

Cited By ~ 1

Author(s):

Mahammad N. Nuriyev ◽

Jeyhun Mammadov ◽

Joshgun Mammadov

Keyword(s):

Renewable Energy ◽

Energy Production ◽

Renewable Energy Sources ◽

Energy Systems ◽

Risk Profile ◽

Steady Increase ◽

Financial Risks ◽

Risk Levels ◽

Analysis And Evaluation ◽

Development Risk

Steady increase in renewable energy production and supply allows gradually substitute environmentally harmful traditional energy systems. Developers of the renewable projects encounter various types of risks, inherent to these projects, and all these risks should be studied in advance and ways of their mitigation developed. In the paper risks related to the development of renewables in Azerbaijan are analyzed and assessed based on experts’ opinion study. Typical for the projects on renewable energy, nine risks and risk components likelihood and their impacts have been evaluated by experts and, based on their opinion, risk levels are calculated, and a risk profile is constructed. In general, risks are sufficiently different. However, energy policy-related, grid access and financial risks are significantly influential and require more attention.

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Macroeconomic and Financial Risks: A Tale of Mean and Volatility

International Finance Discussion Paper ◽

10.17016/ifdp.2021.1326 ◽

2021 ◽

Vol 2021 (1326) ◽

pp. 1-56

Author(s):

Dario Caldara ◽

◽

Chiara Scotti ◽

Molin Zhong ◽

◽

...

Keyword(s):

Business Cycle ◽

Stochastic Volatility ◽

Conditional Distribution ◽

Nonlinear Models ◽

Credit Spreads ◽

Gdp Growth ◽

Financial Risks ◽

Conditional Distributions ◽

Corporate Credit ◽

Tail Events

We study the joint conditional distribution of GDP growth and corporate credit spreads using a stochastic volatility VAR. Our estimates display significant cyclical co-movement in uncertainty (the volatility implied by the conditional distributions), and risk (the probability of tail events) between the two variables. We also find that the interaction between two shocks--a main business cycle shock as in Angeletos et al. (2020) and a main financial shock--is crucial to account for the variation in uncertainty and risk, especially around crises. Our results highlight the importance of using multivariate nonlinear models to understand the determinants of uncertainty and risk.

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Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests

Asia-Pacific Financial Markets ◽

10.1007/s10690-021-09336-6 ◽

2021 ◽

Author(s):

Teruo Kemmotsu

Keyword(s):

Dependence Structure ◽

Stress Tests ◽

Bankruptcy Risk ◽

Macroeconomic Indicators ◽

Inar Model

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Risk capital: Urban political ecology and entanglements of financial and environmental risk in Washington, D.C.

Environment and Planning E Nature and Space ◽

10.1177/2514848618770369 ◽

2018 ◽

Vol 1 (1-2) ◽

pp. 144-164 ◽

Cited By ~ 6

Author(s):

Brett Christophers

Keyword(s):

Political Ecology ◽

Green Infrastructure ◽

Capital Investment ◽

Financial Risk ◽

Financial Risks ◽

Combined Sewer Overflows ◽

Risk Capital ◽

Urban Political Ecology ◽

Green Capitalism ◽

Critical Consideration

In endeavouring to deal with a longstanding problem of contamination of waterways in Washington, D.C. due to combined sewer overflows, the responsible utility, DC Water, has recently embarked on a two-fold, simultaneous ‘greening’ – firstly of the physical infrastructures being installed to address the overflow problem, and secondly of the financing of this capital investment. This article examines DC Water’s turn to green infrastructure and green bonds in order to consider the question of how environmental and financial processes in general – and environmental and financial risks in particular – co-determine not just one another but the transformation of contemporary urban socioecological landscapes more broadly. In the process, it aims to inject a greater sensibility both to finance and to ‘green capitalism’ into urban political ecology. Through a critical consideration of the interlocking temporal, spatial and monetary dimensions of DC Water’s two-fold greening project, the article shows that this project has served significantly to augment levels of environmental and financial risk, entangling them in significant new ways.

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