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How a single-factor capm works in a multi-currency world

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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001  MAP20160023879
003  MAP
005  20160805113735.0
008  160804e20160101usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎922.114
100  ‎$0‎MAPA20110007997‎$a‎Thomson, Robert
24510‎$a‎How a single-factor capm works in a multi-currency world‎$c‎Rovert Thomson, Sule Sahin, Taryn Reddy
520  ‎$a‎In this paper, a single-factor multi-currency (SFM) capital-asset pricing model (SFM-CAPM) is developed. The advantage in using a single-factor model is that it does not treat currency risks as carrying different weight from investment risks; regardless of its source, risk is measured as variance, and weighted accordingly. The aim of this paper is primarily to give actuaries a way ahead in the use of the single-factor CAPM in a multi-currency world for the purposes of the stochastic modelling of the assets and liabilities of long-term financial institutions, such as pension funds, particularly for the purposes of liabilitydriven investments and market-consistent valuation, and the application of the model has been designed with that intention. However, it is envisaged that the model will also be of interest to other practitioners. The paper's major original contribution to the literature is its proof that, for a single-factor CAPM to work in a multi-currency world, there is a necessary condition. The theory is applied to two major currencies and two minor currencies, namely the US dollar, the UK pound, the South African rand and the Turkish lira
650 4‎$0‎MAPA20080543686‎$a‎Divisas
650 4‎$0‎MAPA20080579340‎$a‎Capital inversión
650 4‎$0‎MAPA20080627294‎$a‎Modelos de valoración económica
650 4‎$0‎MAPA20080604400‎$a‎Valoración financiera
650 4‎$0‎MAPA20080588816‎$a‎Activos financieros
650 4‎$0‎MAPA20080611248‎$a‎Inversiones financieras
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080604370‎$a‎Valoración de activos
650 4‎$0‎MAPA20080592578‎$a‎Política de precios
650 4‎$0‎MAPA20150020307‎$a‎Asignación de capital
7001 ‎$0‎MAPA20160009699‎$a‎Sahin, Sule
7001 ‎$0‎MAPA20160009705‎$a‎Reddy, Taryn
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/01/2016 Volumen 46 Número 1 - enero 2016 , p. 103-139