Random walk and Rank: Difference between pages

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1.
1. ''Credit risk - insolvency.''


In relation to traded asset prices, a situation in which the price change in successive time periods is uncorrelated with previous time periods. 
Priority ordering of payouts in a insolvency.
In other words, the correlation coefficient between successive periods' price movements is zero.


Ranking is particularly important when there are insufficient assets to satisfy all claims.


Therefore:


(i) Future price changes cannot be predicted from the historical price record.  
2. ''Bank regulation - liquidity.''


(ii) Assuming constant volatility in all relevant periods, the relevant measure of the standard deviation of the market price increases with the square root of the relative time period. For example the 9-month standard deviation would be expected to be three times ( = square root of 9) times as great as the one-month standard deviation.
The ordering of liquidity quality of assets, for regulatory liquidity quality.




2.
3. ''Other evaluations.''


A similar pattern of change over time in any other data series.  
Any other systematic ordering by quality or importance.




== See also ==
== See also ==
* [[Correlation coefficient]]
* [[An introduction to equity capital]]
* [[Efficient market hypothesis]]
* [[Credit rating]]
* [[Fundamental analysis]]
* [[Credit risk]]
* [[Mean reversion]]
* [[Greenium]]
* [[Technical analysis]]
* [[Hierarchy]]
* [[Trend]]
* [[Insolvency]]
* [[Volatility]]
* [[Level 1B liquid assets]]
* [[Volatility smile]]
* [[Net promoter score]]
* [[Obligation]]
* [[Order]]
* [[Pari passu]]
* [[Pari passu clause]]
* [[Ranking]]
* [[Ratings]]
* [[Seniority]]
* [[Subordination]]
* [[Unsecured creditor]]
 
[[Category:Accounting,_tax_and_regulation]]
[[Category:The_business_context]]
[[Category:Corporate_finance]]
[[Category:Investment]]
[[Category:Long_term_funding]]
[[Category:Identify_and_assess_risks]]
[[Category:Manage_risks]]
[[Category:Risk_frameworks]]
[[Category:Risk_reporting]]
[[Category:Financial_products_and_markets]]

Revision as of 20:48, 23 July 2022

1. Credit risk - insolvency.

Priority ordering of payouts in a insolvency.

Ranking is particularly important when there are insufficient assets to satisfy all claims.


2. Bank regulation - liquidity.

The ordering of liquidity quality of assets, for regulatory liquidity quality.


3. Other evaluations.

Any other systematic ordering by quality or importance.


See also

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