John A Morrison's Page

Bunea-Bontaş, Cristina Aurora, Petre, Mihaela Cosmina and Culiţă, Gica (2009):

Abstract

The starting point for risk management and hedging lies in understanding a corporation’s exposure to different risks. Hedging is vital for corporate risk management, involving reducing the exposure of the company to particular risks. Hedge effectiveness testing permits firms to assess if they match the timing of the gains and losses of hedged items and their hedging derivatives. In principle, a hedge is hig… Continue

Charles A.E. Goodhart Dimitri Tsomocos
12 November 2009

Liquidity and default are inseparable. Liquidity problems fuel defaults and vice versa. This column discusses the shortcomings of current regulatory proposals to address liquidity and default. It says that regulators must address “systemic markets”, not just systemic institutions, and need informative measures of financial stability.

http://www.voxeu.org/index.php?q=node/4189

Dr. Maximilian J. B. Hall
Professor of Banking and Financial Regulation,
Department of Economics,
Loughborough University

ABSTRACT
Since the enactment of the new Banking Act in February 2009, with a new 'Special
Resolution Regime' at its heart, the debate about how to reform the UK's financial
regulatory and supervisory framework has intensified. A major catalyst for this was the
publication of Lord Turner's 'Review' in March 2009, which was followed by the
Government's White Paper on financial… Continue

by Antonio Castagna of Iason ltd.,
Fabio Mercurio of Bloomberg & Iason ltd., and
Paola Mosconi of Iason ltd.

June 1, 2009

Abstract: We extend the model presented in Bonollo et al. [3] by introducing a multi-scenario framework that allows for a richer and more realistic specification, including non-static (stochastic) probabilities of default and losses given default. Though more complex from a computational point of view, the model with scenarios is still tractable analytically, yielding r… Continue

by Stephen Morris of Princeton University, and
Hyun Song Shin of Princeton University

September 2009

Abstract: We describe and contrast three different measures of an institution's credit risk. "Insolvency risk" is the conditional probability of default due to deterioration of asset quality if there is no run by short term creditors. "Total credit risk" is the unconditional probability of default, either because of a (short term) creditor run or (long run) asset insolvency. "Illiquidity risk"… Continue