Common ownership and fire-sale channels
Holdings overlap between funds is combined with the relationship between flows and performance to trace how redemptions in one group of funds lower prices for every holder of the same assets.
GRA · Asset Management Nexus
مالی فضاییجایی که سرمایه به مخاطره، مواجهه و گذار برمی‌خورد
Financial economics for asset management
Financial economics and macro-finance explain how asset prices, fund flows and institutions transmit shocks between portfolios and the real economy. In asset management they frame why common exposures matter, how risk premia respond to climate and policy, and how fund behaviour feeds back into the prices of what funds hold.
01فهرست مطالب
Financial economics for asset management in five parts.
02درخواست
What financial economics and macro-finance does here.
Financial economics and macro-finance study how asset prices, credit and financial institutions interact with the real economy. They explain how shocks are amplified or absorbed through balance sheets and markets. In capital markets and investment, climate and hazards and biodiversity and nature, financial economics traces how physical, health or cyber shocks transmit to credit, sovereign debt and markets. It informs macroprudential policy and the pricing of risk. The canonical description is on STEM Commons.
Pricing of transition risk
Asset pricing models test whether returns compensate for carbon intensity or transition exposure, and whether repricing follows policy announcements, with the identifying assumptions stated beside each test.
Non-bank intermediation and stability
Balance sheets of funds, insurers and pension schemes are linked to bank and dealer balance sheets to show where leverage and liquidity demands concentrate in a market-wide stress.
03پایش
Econometric model.
The screen a team would use to follow this method: its measures, states and decisions. Names are examples and values are illustrative.
Econometric model
Asset management · Financial economics for asset · Run R-8979
Estimates stableGRA · Asset Management Nexus
Estimates
robust standard errors
| ریسک فعال | 0.38 | 0.16 | [−0.2, 0.9] | خیر |
| Top 10 holdings weight | 0.46 | 0.13 | [0.0, 0.4] | بله |
| Days to liquidate 90 pct | 0.28 | 0.15 | [−0.2, 0.7] | بله |
| Portfolio temperature alignment | 0.39 | 0.17 | [−0.2, 0.8] | خیر |
Method card
- روش
- اقتصاد مالی و مالیهٔ کلان
- نمونه
- 7093 obs
- طراحی
- panel, fixed effects
- برچسب
- مدل‌سازی‌شده
Residuals by group
04داده
What the method consumes.
Datasets and records used by financial economics and macro-finance on this platform, with the role each plays and the label its values carry. Sources are listed in the source register.
| داده | نقش | برچسب |
|---|---|---|
| Fund holdings and flow statistics | Common exposures and investor behaviour | گزارش‌شده |
| Market prices, yields and spreads | Asset pricing and repricing | مشاهده‌شده |
| Financial accounts and flow of funds | Sector balance sheets | آمارهای منتشرشده |
| Corporate emissions and disclosures | Climate risk characteristics of issuers | برآوردشده |
05مواجهه، زیان و سرمایه
What financial economics for asset management means for exposure, loss and capital.
نماهای مواجهه، زیان، سناریو و سرمایه که یک مدیر ریسک، ناظر یا وزارت دارایی می‌پرسد، همراه با چارچوب‌هایی که بر پایهٔ آن‌ها گزارش می‌دهد. ساختارها از رویهٔ نظارتی و اکچوئری پیروی می‌کنند. مقادیر توضیحی است: هرگز قیمت، رتبه یا توصیه نیست.
مسیرهای سناریو
How financial economics for asset management could be stressed under the scenario families central banks and supervisors use.
| خانوادهٔ سناریو | ریسک گذار | ریسک فیزیکی | آزمون تنش چه می‌پرسد |
|---|---|---|---|
| منظم | سیاست زودهنگام و تدریجی | پایین‌تر | آیا دفتر وام می‌تواند بازقیمت‌گذاری پیوسته را جذب کند؟ |
| بی‌نظم | سیاست دیرهنگام و ناگهانی | کم تا متوسط | در بازقیمت‌گذاری ناگهانی و مهاجرت اعتباری چه چیزی فرو می‌پاشد؟ |
| جهان گلخانه‌ای داغ | سیاست محدود | زیاد و رو به افزایش | زیان‌های فیزیکی در وثیقه و بیمه کجا متمرکز می‌شود؟ |
سناریوهای اقلیمی NGFS · شبکهٔ سبزسازی نظام مالیIFRS S2 افشاهای مرتبط با اقلیم · ISSBتوصیه‌های TCFD · هیئت ثبات مالی TCFDاصول مدیریت مؤثر ریسک‌های مالی مرتبط با اقلیم · کمیتهٔ بازل برای نظارت بانکی
06اعتبارسنجی
How results are checked.
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
| بررسی | How it is done |
|---|---|
| Episode back-testing | Channels are tested against known stress episodes in money market and bond funds before they are used in scenarios |
| Alternative specifications | Results are compared across factor models, samples and definitions, and the sensitivity is reported |
| Reconciliation with supervisory aggregates | Estimates built from public holdings are reconciled with ESMA, SEC and central bank aggregates where they exist |
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
07فرایند
نحوهٔ اجرای فرایند.
Process explorer · Process
Financial economics for asset management: PRISMA 2020 review reporting
10 steps·4 مرحله
فرایند
Financial economics for asset management: PRISMA 2020 review reporting
PRISMA 2020 is a reporting guideline for systematic reviews; the steps follow its checklist, not a mandated sequence, and no Nexus document adopts it.
01 Plan
- 01Registration and protocolRecord · The review teamThe guideline asks for registration details, access to the protocol and any amendments.
- 02Eligibility criteriaRecord · The review teamThe guideline asks for the inclusion and exclusion criteria and how studies were grouped.
02 Find and select
- 03Search: sources and strategiesStep · The review teamThe guideline asks for the information sources and the full search strategies. It does not fix which sources are used.
- 04Selection of studiesStep · The review teamThe guideline asks how studies were judged eligible, including how many reviewers screened. It does not fix the number of reviewers.
- 05Flow diagramسابقهThe flow diagram shows the number of records found, the number of studies included and the reasons for exclusion.
03 Analyse
- 06Data collectionStep · The review teamThe guideline asks how data were collected from reports and which data items were sought.
- 07Risk of biasStep · The review teamThe guideline asks for the methods and tools used to assess risk of bias.
- 08SynthesisModel · The review teamThe guideline asks for the effect measures and the synthesis methods. It does not prescribe meta-analysis.
- 09قطعیت شواهدStep · The review teamThe guideline asks for the methods used to assess certainty, and reports the result per outcome. It does not name a grading scale.
04 Report
- 10Review reportسابقهThe guideline helps authors report why the review was done, what they did and what they found.
گزارش‌هاOutline of an externally published reporting guideline, not a Nexus process and not a record of operation. PRISMA 2020 mainly covers reviews of intervention effects. No Nexus page names it. Every programme is at service level R0.
08Connections
Topics that rely on this method.
09تولیت
Who maintains the method.
ثبات مالی stewards financial economics and macro-finance for the Consortium and reviews how it is applied across platforms.
10متصل
جایی که این صفحه در سراسر کنسرسیوم به آن می‌رسد.
11پرسش‌ها
پرسش و پاسخ.
What are the limits of financial economics and macro-finance in this field?
Relationships estimated in calm periods may break down in stress. Hidden leverage and interconnections are often unobserved.
How are results checked?
Models are back-tested against historical market episodes and crises. Results are compared with supervisory data and alternative specifications.
Are the values on this page real?
The data names, roles and checks are real descriptions of practice. The canvas shows a design of the method’s use, not a run; no result is reported here.
Where else is this method applied?
رصدخانهٔ canonical method page lists every platform that applies it.
گزارش‌هامشارکت
از این صفحه شواهد مشارکت دهید.
Reports is the Consortium’s quarterly publication. What you know about this subject can become evidence, a case or a correction in the next edition, credited to you and published under CC BY 4.0 where it is your own work.
Global Risks AllianceAsset Management Nexusآمادگی مالی و بیمهسناریو و آزمون تنش
- ایمیلدروازهٔ GW-GRAاز همین صفحه ارسال کنیدشواهد، یک اصلاحیه، یک مورد، یک روش، یک داوری، یک ترجمه یا ورودی نمایه. با برچسب این صفحه می‌رسد تا ویراستار مسئول آن را دریافت کند.
- Zenodoسپردهٔ بازآن را واگذار کنید و به جامعه ارائه دهیدسابقهٔ خود را با شناسهٔ ORCID خود در Zenodo منتشر کنید و سپس آن را در همانجا به جامعهٔ Reports ارسال کنید. گزینشگران آن را داوری می‌کنند؛ DOI از آنِ شما میماند.
- گزارش‌هاGlobal Risks Allianceهمهٔ راههای مشارکت را ببینیدانواع مشارکت، نحوهٔ بررسی هر یک، اعتباری که دریافت میکنید، مجوز و آنچه هرگز پذیرفته نمیشود.
هرگز داده شخصی، جزئیات حساس زیرساخت یا چیزی را که حق اشتراکش را ندارید نفرستید. هر مشارکت پیش از استفاده داوری می‌شود؛ ارسال آن حق مؤلفی یا ویرایشی نمی‌دهد و حمایت مالی هرگز یافته‌ای را نمی‌خرد.
Asset Management Nexus
یک پرسش دربارهٔ مواجهه یا سرمایه را نزد اتحاد مطرح کنید.
اطلاعات و درخواست‌ها امروز باز است. هر درخواست یک شمارهٔ پیگیری می‌گیرد و گام بعدی را مشخص می‌کند؛ درخواست‌های عضویت، پرداخت‌ها، تخصیص رایانش و ثبت‌نام‌ها تنها زمانی باز می‌شوند که تیم، شرایط و ظرفیت داوری آن‌ها فراهم باشد.
حقوقی
اسناد حقوقی.
نقشه‌ها، داده‌ها و ارقام این سایت برای زمینه و اطلاعات عمومی نشان داده می‌شوند. توصیه، پیش‌بینی یا هشدار نیستند؛ حدود این اطلاعات در سلب مسئولیت‌ها و اعلامیه‌های داده بیان شده است.