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The information in systemic risk rankings
Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015
risk ranking by relating it to credit default swap premia. …
Persistent link: https://www.econbiz.de/10010532581
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GFC-robust risk management under the Basel accord using extreme value methodologies
Jiménez-Martín, Juan-Ángel; McAleer, Michael; Pérez … - 2013
Persistent link: https://www.econbiz.de/10009765824
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A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics …
Persistent link: https://www.econbiz.de/10010532611
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Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed … Banking Supervision (2013, p. 3) noted that: "a number of weaknesses have been identified with using VaR for determining … regulatory capital requirements, including its inability to capture tail risk". The proposed reform costs and impact on bank …
Persistent link: https://www.econbiz.de/10011431395
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Factors influencing the composition of the urban transport system in the year 2030 : a panel analysis of experts' opinions
Gorter, Cees; Rienstra, Sytze A. - 1996
Persistent link: https://www.econbiz.de/10000952485
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Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns
Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
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Information flows around the globe : predicting opening gaps fom overnight foreign stock price patterns
Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009
Persistent link: https://www.econbiz.de/10003934266
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Realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013
Persistent link: https://www.econbiz.de/10009784942
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10010366935
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Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010
Persistent link: https://www.econbiz.de/10008771823