Topic
Valuation risk
About: Valuation risk is a research topic. Over the lifetime, 42 publications have been published within this topic receiving 594 citations.
Papers
MSCI1
TL;DR: In this paper, the authors provide a link between ESG information and the valuation and performance of companies, by examining three transmission channels within a standard discounted cash flow model, which they call the cash-flow channel, the idiosyncratic risk channel, and valuation channel.
Abstract: Many studies have focused on the relationship between companies with strong environmental, social, and governance (ESG) characteristics and corporate financial performance. However, these have often struggled to show that positive correlations—when produced—can in fact explain the behavior. The authors of this article provide a link between ESG information and the valuation and performance of companies, by examining three transmission channels within a standard discounted cash flow model—which they call the cash-flow channel, the idiosyncratic risk channel, and the valuation channel. They tested each of these transmission channels using Morgan Stanley Capital International ESG Ratings data and financial variables. This showed that companies’ ESG information was transmitted to their valuation and performance, both through their systematic risk profile (lower costs of capital and higher valuations) and their idiosyncratic risk profile (higher profitability and lower exposures to tail risk). The research suggests that changes in a company’s ESG characteristics may be a useful financial indicator. ESG ratings may also be suitable for integration into policy benchmarks and financial analyses. TOPICS: ESG investing, security analysis and valuation, risk management
446 citations
Patent•
27 Oct 2010
TL;DR: In this article, an automated loan risk assessment system and method is described, which is adapted to receive information about a loan or an insurance application requesting insurance to cover the same, and calculates a risk score for the loan based on a plurality of risk factors including at least two of a fraud risk factor, a credit risk factor and a property valuation risk factor.
Abstract: An automated loan risk assessment system and method are described. The system is adapted to receive information about a loan or an insurance application requesting insurance to cover same. The system calculates a risk score for the loan based on a plurality of risk factors including at least two of a fraud risk factor, a credit risk factor and a property valuation risk factor. The risk score can be used by a loan service provider in deciding whether or not to fund or insure the loan.
157 citations
TL;DR: This paper propose a simple theory of asset pricing in which demand shocks play a central role, which gives rise to valuation risk that allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.
Abstract: Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing, which underlies virtually all modern asset-pricing puzzles, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.
50 citations
TL;DR: This article examined all 10-K filings from 2018, well before any knowledge of the current pandemic, and found that less than 21% of the filings contain any reference to pandemic-related terms.
Abstract: Public companies in the United States are required to file annual reports (Form 10-K) that, among other things, disclose the risk factors that might negatively affect the price of their stock. The risk of a pandemic was well known before the current crisis and we now know the impact for shareholders is, for almost all companies, significant and negative. To what extent did managers forewarn their shareholders of this valuation risk? We examine all 10-K filings from 2018, well before any knowledge of the current pandemic, and find that less than 21% of the filings contain any reference to pandemic-related terms. Given management’s presumably deep understanding of their business and general awareness that, for at least the past decade, pandemics have been identified as a significant global risk, it seems that this number should have been higher.
47 citations
Book•
3 Mar 2009
Abstract: Foreword. About the Editor. Acknowledgments. About the Contributors. PART ONE: Operational Risk Measurement: Qualitative Approaches. CHAPTER 1: Modeling Operational Risk Based on Multiple Experts' Opinions ( Jean-Philippe Peters and Georges Hubner ). CHAPTER 2: Consistent Quantitative Operational Risk Measurement ( Andreas A. Jobst ). CHAPTER 3: Operational Risk Based on Complementary Loss Evaluations ( Andrea Giacomelli and Loriana Pelizzon ). CHAPTER 4: Can Operational Risk Models Deal with Unprecedented Large Banking Losses? ( Duc Pham-Hi ). CHAPTER 5: Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based Services ( Magali Dubosson and Emmanuel Fragniere ). CHAPTER 6: Operational Risk and Stock Market Returns: Evidence from Turkey ( M. Nihat Solako&glu and K. Ahmet Kose ). PART TWO: Operational Risk Measurement: Quantitative Approaches. CHAPTER 7: Integrating Op Risk into Total VaR ( Niklas Wagner and Thomas Wenger ). CHAPTER 8: Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach ( Marco Bee and Giuseppe Espa ). CHAPTER 9: One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk ( Maria Dolores Martinez Miranda, Jens Perch Nielsen, and Stefan A. Sperlich ). CHAPTER 10: Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models ( Omar Rachedi and Dean Fantazzini ). CHAPTER 11: First-Order Approximations to Operational Risk: Dependence and Consequences ( Klaus Bocker and Claudia Kluppelberg ). PART THREE: Operational Risk Management and Mitigation. CHAPTER 12: Integrating "Management" into "OpRisk Management" ( Wilhelm K. Kross ). CHAPTER 13: Operational Risk Management: An Emergent Industry ( Kimberly D. Krawiec ). CHAPTER 14: OpRisk Insurance as a Net Value Generator ( Wilhelm K. Kross and Werner Gleissner ). CHAPTER 15: Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? ( Simona Cosma, Giampaolo Gabbi, and Gianfausto Salvadori ). CHAPTER 16: Simple Measures for Operational Risk Reduction? An Assessment of Implications and Drawbacks ( Silke N. Brandts and Nicole Branger ). PART FOUR: Issues in Operational Risk Regulation and the Fund Industry. CHAPTER 17: Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems ( John L. Simpson, John Evans, and Jennifer Westaway ). CHAPTER 18: Operational Risk Disclosure in Financial Services Firms ( Guy Ford, Maike Sundmacher, Nigel Finch, and Tyrone M. Carlin ). CHAPTER 19: Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators ( Daniela Russo and Pietro Stecconi ). CHAPTER 20: Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime ( Carolyn Vernita Currie ). CHAPTER 21: Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood River ( Keith H. Black ). CHAPTER 22: A Risk of Ruin Approach for Evaluating Commodity Trading Advisors ( Greg N. Gregoriou and Fabrice Douglas Rouah ). CHAPTER 23: Identifying and Mitigating Valuation Risk in Hedge Fund Investments ( Meredith A. Jones ). Index.
46 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 3 |
| 2020 | 3 |
| 2019 | 4 |
| 2018 | 5 |
| 2017 | 4 |
| 2016 | 2 |