Flow and price pressure estimation
Panel models relate fund flows to past returns, fees and market conditions, and test whether outflows predict price pressure in the assets those funds hold.
GRA · Asset Management Nexus
空间金融资本与危害、风险暴露和转型的交汇之处
资产管理计量经济学
Econometrics estimates relationships from market and fund data: how flows respond to performance, how prices respond to disclosure and votes, how ratings relate to outcomes. In asset management it supplies the empirical evidence behind each mechanism, and its main risks are confounding, selection and relationships that change under stress.
02申请
What econometrics does here.
Econometrics applies statistical methods to economic data to estimate relationships, test theories and forecast. It provides empirical evidence on how shocks and policies affect economic outcomes. In capital markets and investment, climate and hazards and biodiversity and nature, econometric evidence estimates how disasters, pandemics and financial shocks affect output, employment and prices. It informs the economic case for 风险削减. The canonical description is on STEM Commons.
Event studies of stewardship and disclosure
Abnormal returns and later company disclosures around votes, engagements and new reporting rules are estimated against matched controls, to separate the event from wider news.
Rating divergence analysis
Ratings from several providers are decomposed into differences of scope, weight and measurement to explain why they disagree about the same companies.
03风险暴露、损失与资本
What econometrics for asset management means for exposure, loss and capital.
风险官、监管者或财政部会要求的风险暴露、损失、情景和资本视图，以及它们据以报告的框架。结构遵循监管和精算实务。数值为说明性：绝非价格、评级或建议。
情景路径
How econometrics for asset management could be stressed under the scenario families central banks and supervisors use.
| 情景系列 | 转型风险 | 物理风险 | 压力测试问什么 |
|---|---|---|---|
| 有序 | 早期、渐进的政策 | 较低 | 账面能否承受持续的重新定价？ |
| 无序 | 迟缓而突然的政策 | 中低 | 在突然重新定价和信用迁移下，什么会出现问题？ |
| 温室世界 | 有限政策 | 高且上升 | 实体损失集中在抵押品和保险的哪些环节？ |
NGFS 气候情景 · 央行与监管机构绿色金融网络IFRS S2 气候相关披露 · ISSBTCFD 建议 · 金融稳定理事会 TCFD有效管理气候相关金融风险的原则 · 巴塞尔银行监管委员会
04数据
该方法使用的输入。
Datasets and records used by econometrics on this platform, with the role each plays and the label its values carry. Sources are listed in 来源登记册.
| 数据 | 角色 | 标签 |
|---|---|---|
| Fund flow and return panels | Investor behaviour estimation | 已报告 |
| Voting and engagement records | Stewardship event studies | 已报告 |
| Vendor ESG ratings | Divergence and outcome studies | 估算 |
| Market prices and returns | Abnormal return estimation | 观测 |
05流程
流程如何运行。
Process explorer · Process
Econometrics for asset management: PRISMA 2020 review reporting
10 steps·4 个阶段
流程
Econometrics for asset management: PRISMA 2020 review reporting
PRISMA 2020 是系统综述的报告指南；各步骤依循其核查清单，而非强制顺序，且没有任何 Nexus 文件采纳它。
01 Plan
- 01注册与协议记录 · 审查团队该指南要求说明注册信息、方案的获取方式以及任何修订。
- 02资格标准记录 · 审查团队该指南要求说明纳入与排除标准以及研究的分组方式。
02 查找与遴选
- 03检索：来源与策略步骤 · 审查团队该指南要求说明信息来源与完整的检索策略。它并不规定使用哪些来源。
- 04研究的遴选步骤 · 审查团队该指南要求说明如何判定研究符合纳入条件，包括有多少名审查人进行筛选。它并不规定审查人数量。
- 05流程图记录流程图显示检索到的记录数量、纳入的研究数量以及排除的理由。
03 分析
- 06数据收集步骤 · 审查团队该指南要求说明如何从报告中收集数据以及寻求了哪些数据项。
- 07偏倚风险步骤 · 审查团队该指南要求说明评估偏倚风险所使用的方法与工具。
- 08综合模型 · 审查团队该指南要求说明效应量指标与综合方法。它并不规定必须进行荟萃分析。
- 09证据的确定性步骤 · 审查团队该指南要求说明评估确定性所用的方法，并按结局报告结果。它并未指定分级量表。
04 报告
- 10审查报告记录该指南帮助作者报告开展综述的原因、所做的工作以及所得的发现。
报告Outline 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.
06验证
结果如何核查。
Models are assessed through specification tests, robustness checks and out-of-sample performance. Results are compared across datasets and methods.
| 核查 | 如何开展 |
|---|---|
| Identification review | Each causal claim names its identification strategy and the threats to it |
| Out-of-sample and sub-period tests | Relationships are tested on held-out periods, stress periods included |
| Robustness across data sources | Results are re-estimated on alternative vendors, samples and definitions |
Endogeneity, measurement error and structural change can bias estimates. Relationships may shift under extreme conditions.
08管理责任
由谁维护该方法。
经济发展 stewards econometrics for the Consortium and reviews how it is applied across platforms.
09已关联
本页在整个联合体中通向何处。
10问题
问题与解答。
What are the limits of econometrics in this field?
Endogeneity, measurement error and structural change can bias estimates. Relationships may shift under extreme conditions.
结果如何核查？
Models are assessed through specification tests, robustness checks and out-of-sample performance. Results are compared across datasets and methods.
本页面上的数值是真实的吗？
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.
该方法还应用于何处？
维持社会运转的各个 规范方法页面 列出应用该方法的每个平台。
报告贡献
从本页贡献证据。
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.
全球风险联盟（Global Risks Alliance）Asset Management Nexus金融与保险准备度情景与压力测试
- 电子邮件门户 GW-GRA从本页发送证据、更正、案例、方法、审查、翻译或概况投稿。它会带上本页标签送达，由负责的编辑接收。
- Zenodo开放存缴存缴并提交到社区用您的 ORCID iD 在 Zenodo 上发布您自己的记录，然后提交到那里的 Reports 社区。由策展人审核；DOI 仍归您所有。
- 报告全球风险联盟（Global Risks Alliance）查看所有贡献方式贡献类型、各自的评审方式、您获得的署名、许可协议，以及绝不接受的内容。
切勿发送个人数据、敏感基础设施细节或您无权分享的任何内容。贡献在使用前会经过审查；发送贡献不赋予署名权或编辑权，赞助也绝不能换取研究结论。
法律
法律文件。
本网站上的地图、数据和图表仅作为背景和一般信息展示。它们不是建议、预测或预警；信息的局限见免责声明和数据说明。