Search Results

2959 items match your search criteria. Click here for tips on how to optimize your results.
New search Refine search
Sorted by date

Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation

Date: 01/12/2021 Author(s): L. Merlo; Lea Petrella; Valentina Raponi Document type: Article in Journal (refereed) In this paper, we propose a multivariate quantile regression framework to forecast Value at Risk (VaR) and Expected Shortfall (ES) of multiple financial assets simultaneously, extending Taylor (2019). We generalize the Multivariate Asymmetric Laplace (MAL) joint quantile regression of Petrella and Raponi (2019) to a time-varying setting, which allows ... More information

Sequence risk

Date: 01/10/2021 Author(s): Javier Estrada Document type: Article in Journal (refereed) Financial planners are keenly aware of, and routinely warn clients about, sequence risk; that is, the possibility of facing a sequence of low returns early in retirement that may force retirees to scale down significantly the plans they had made. This really is a scary scenario, but one that the evidence here shows that retirees are not very likely ... More information

Debiasing the measurement of conditional conservatism

Date: 01/09/2021 Author(s): Marc Badia; Miguel Duro; Fernando Peñalva; Stephen Ryan Document type: Article in Journal (refereed) Basu’s [1997] measurement of conditional conservatism as the asymmetric timeliness of earnings underlies hundreds of studies. However, many subsequent studies cast doubt on the extent to which Basu’s measure captures conditional conservatism versus statistical biases or alternative constructs (collectively, “biases”), thereby questioning the validity ... More information

Holaluz: conectar personas a la energía verde

Date: 01/09/2021 Author(s): Edi Soler Document type: Case Holaluz era, en 2013, la primera comercializadora de energía eléctrica online de España. Enfocada exclusivamente a clientes domésticos, los tres socios fundadores habían puesto en marcha un ambicioso plan de negocio con el que pretendían alcanzar 100.000 clientes en 3 años, aprovechando la liberalización del mercado eléctrico que, teóricamente, debía ... More information

Taxonomía medioambiental y productos financieros verdes. Finanzas para una nueva Europa

Date: 01/09/2021 Author(s): Philip Muller; Joan Fontrodona Document type: Study and Monograph El presente cuaderno analiza las dos primeras acciones del Plan de Acción europeo en finanzas sostenibles del 2018: la creación de una taxonomía medioambiental europea y de una etiqueta para productos financieros sostenibles o "verdes". En la taxonomía medioambiental europea y en el sistema de etiquetado verde para productos financieros se entremezclan ... More information

The Personal Finances of Rogelio Arnau

Date: 01/09/2021 Author(s): Miguel Antón Document type: Case Rogelio Guerra loses his job at 57 because of COVID. Will his savings and compensation be enough to maintain his family in the future? We discuss if it is enough, and if he should invest in the stock market or bond market, and with which horizon. More information

Applying Responsible Ownership to Advance SDGs and the ESG Framework, Resulting in the Issuance of Green Bonds

Date: 01/07/2021 Author(s): G. E. Jonsdottir; Throstur Olaf Sigurjonsson; Ahmad Rahnema Alavi; Jordan Mitchell Document type: Article in Journal (refereed) This study aimed to contribute to the strand of literature encompassing governance, sustainability, and stakeholder theory by addressing an inchoate element of responsible ownership: collective action by different stakeholders. Our study’s originality rests on the introduction of an ownership strategy as a governance mechanism for collective action ... More information

Big Bank Experiments With Artificial Intelligence - Teaching Note

Date: 01/07/2021 Author(s): Javier Zamora; Isaac Sastre Boquet Document type: Teaching Note Florence Smith, CEO of Millennials Bank, was heading towards the board meeting where the directors of Big Bank (owner of Millennials Bank) where going to review the results of the newly created Millennials Bank, a digital branch of the main bank which targets the millennial generation. This initiative also serves as a pilot on how to make the bank ... More information

The International Airline Group Rights Issue

Date: 01/06/2021 Author(s): Nuno Fernandes Document type: Case This case is about the IAG capital increase, in the aftermath of the COVID-19 crisis. COVID-19 had totally changed the airline sector, and worldwide all airlines were in despair. IAG was badly in need of additional capital. International Airlines Group (IAG), the owner of airlines such as Iberia and British Airways, had announced a capital increase, ... More information

Managing to target (II)

Date: 01/06/2021 Author(s): Javier Estrada Document type: Conference presentation All individuals need to determine a withdrawal policy for their retirement. This decision needs to balance the goal of funding a desired lifestyle (and perhaps leaving a bequest) with the goal of not running out of money too early, which is best done by outlining a financial plan. When the returns of his portfolio differ from those expected in the ... More information
PAGE 1 of 296
Go to page