Risk Management beyond Asset Class Diversification

The purpose of this chapter is to familiarize the reader with the concept of mortgages and to describe the behavioural factors behind decisions to prepay and default on mortgages that ultimately influence the evolution of real-estate markets. The other scope of this chapter is to highlight the complexity of the financial modelling related to the real-estate area, and to mortgages in general. Mortgage loans are contracts carrying real-estate risk. They represent a large part of the assets in the banking systemsworldwide and banks find it difficult to hedge this asset class against real-estate risk. Prepayments and default models are essential to any risk management enterprise looking to contain this type of risk, and they are reviewed in this chapter. There are many models proposed in the academic and practitioner literature, but there is not a single model that is widely accepted.

Download Full-text

The Circle of Investment: Connecting the Dots for Hypothesis Formulation; Portfolio Construction; Trade Execution; Risk Management; Portfolio Rebalancing; and Performance Measurement, under the Purview of the Uncertainty Principle of the Social Sciences, with a Primary Focus on the Equity Asset Class

SSRN Electronic Journal ◽

10.2139/ssrn.2339067 ◽

2013 ◽

Author(s):

Ravi Kashyap

Keyword(s):

Social Sciences ◽

Risk Management ◽

Performance Measurement ◽

Portfolio Construction ◽

Portfolio Rebalancing ◽

The Social ◽

Asset Class ◽

Primary Focus ◽

And Performance ◽

Connecting The Dots

Download Full-text

Economic Policy Uncertainty and Cryptocurrency Market as a Risk Management Avenue: A Systematic Review

Risks ◽

10.3390/risks9090163 ◽

2021 ◽

Vol 9 (9) ◽

pp. 163

Author(s):

Inzamam Ul Haq ◽

Apichit Maneengam ◽

Supat Chupradit ◽

Wanich Suksatan ◽

Chunhui Huo

Keyword(s):

Systematic Review ◽

Risk Management ◽

Economic Policy ◽

Risk Mitigation ◽

Empirical Literature ◽

Future Research ◽

Policy Uncertainty ◽

Stock Market Volatility ◽

Economic Policy Uncertainty ◽

Asset Class

Cryptocurrency literature is increasing rapidly nowadays. Particularly, the role of the cryptocurrency market as a risk management avenue has got the attention of researchers. However, it is an immature asset class and requires gaps in current literature for future research directions. This research provides a systematic review of the vast range empirical literature based on the cryptocurrency market as a risk management avenue against economic policy uncertainty (EPU). The review discovers that cryptocurrencies have mixed connectedness patterns with all national EPU therefore, the risk mitigation ability varies from country to country. The review finds that heterogeneous correlation patterns are due to the dependence of EPU on the policies and decisions usually taken by regulatory authorities of a particular country. Additionally, heterogeneous EPU requires heterogeneous solutions to deal with stock market volatility and economic policy uncertainty in different economies. Likewise, the divergent protocol and administration of currencies in the crypto market consequently vicissitudes the hedging and diversification performance against each economy. Many research lines can benefit investors, policymakers, fund managers, or portfolio managers. Therefore, the authors suggested future research avenues in terms of topics, data frequency, and methodologies.

Download Full-text