Holistic principle for risk aggregation and capital allocation
Sign Up to like & getrecommendations! Published in 2021 at "Annals of Operations Research"
DOI: 10.1007/s10479-021-03987-4
Abstract: Risk aggregation and capital allocation are of paramount importance in business, as they play critical roles in pricing, risk management, project financing, performance management, regulatory supervision, etc. The state-of-the-art practice often includes two steps: (i)… read more here.
Keywords: capital; aggregation capital; risk; risk aggregation ... See more keywords
Government financial institutions and capital allocation efficiency in Japan
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2020.105854
Abstract: Abstract This paper uses the industry-level panel data from 1975–2005 and estimates Wurgler's η, the elasticity of industry investment to value-added, for each of Japan's 47 prefectures. We find that Wurgler's η varies considerably across… read more here.
Keywords: government financial; capital; financial institutions; government ... See more keywords
Risk sharing, efficiency of capital allocation, and the connection between banks and the real economy
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Corporate Finance"
DOI: 10.1016/j.jcorpfin.2019.101538
Abstract: Abstract We propose a measure of the extent to which a financial institution is connected to the real economy. The Share of Core Assets (SCA) is a measure of the composition of assets – namely,… read more here.
Keywords: risk sharing; capital allocation; real economy; efficiency capital ... See more keywords
Financial Structure and Capital Allocation Efficiency: An Empirical Analysis of China from 2005–2018
Sign Up to like & getrecommendations! Published in 2021 at "Applied Economics"
DOI: 10.1080/00036846.2021.1877256
Abstract: ABSTRACT In this study, we explore the relationship between financial structure and the efficiency of capital allocation to determine a scientific and effective approach to transform and upgrade China’s financial sector. Using China’s provincial data… read more here.
Keywords: capital allocation; efficiency; allocation efficiency; financial structure ... See more keywords
Internal control effectiveness, supply chain management efficiency and capital allocation efficiency: evidence from the COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2024 at "International Journal of Productivity and Performance Management"
DOI: 10.1108/ijppm-05-2024-0338
Abstract: PurposeThe present study aims to investigate the impact of internal control effectiveness on supply chain management efficiency (SCME) and capital allocation efficiency for companies listed in the Tehran Stock Exchange (TSE). In addition, it investigates… read more here.
Keywords: allocation efficiency; efficiency; internal control; allocation ... See more keywords
Managerial incentives for risk-taking and internal capital allocation
Sign Up to like & getrecommendations! Published in 2017 at "Australian Journal of Management"
DOI: 10.1177/0312896216652181
Abstract: In this study, we show that the option-like structure of equity-based compensation encourages managerial risk-taking and provide new evidence on the way in which CEO’s risk-taking could manifest itself in a multi-segment firm. Our results… read more here.
Keywords: capital allocation; risk; risk taking; managerial incentives ... See more keywords
Optimal capital allocation with copulas
Sign Up to like & getrecommendations! Published in 2017 at "Hacettepe Journal of Mathematics and Statistics"
DOI: 10.15672/hjms.20174620776
Abstract: In this paper, we investigate optimal capital allocation problems for a portfolio consisting of different lines of risks linked by a Farlie-Gumbel- Morgenstern copula, modelling the dependence between them. Based on the Tail Mean-Variance principle,… read more here.
Keywords: allocation copulas; capital allocation; capital; optimal capital ... See more keywords
Covariance Principle for Capital Allocation: A Time-Varying Approach
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DOI: 10.3390/math9162005
Abstract: The covariance allocation principle is one of the most widely used capital allocation principles in practice. Risks change over time, so capital risk allocations should be time-dependent. In this paper, we propose a dynamic covariance… read more here.
Keywords: capital allocation; capital; time; approach ... See more keywords