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Persistent link: https://www.econbiz.de/10012093430
Extreme price movements associated with market crashes and booms have catastrophic repercussions for all investors and it is necessary to make accurate predictions of the frequency and severity of these events. This paper investigates the extreme behaviour of equity market returns and quantifies...
Persistent link: https://www.econbiz.de/10005438061
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This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect investor wealth opportunities for low quantile and probability...
Persistent link: https://www.econbiz.de/10005452170
This paper empirically analyses risk in the euro relative to other currencies. Comparisons are made between a subperiod encompassing the final transitional stage to full monetary union with a subperiod prior to this. Stability in the face of speculative attack is examined using Extreme Value...
Persistent link: https://www.econbiz.de/10005470821
To mitigate potential contagion from future banking crises, the European Commission recently proposed a framework which would provide for the bail-in of bank creditors in the event of failure. In this study, we examine this framework retrospectively in the context of failed European banks during...
Persistent link: https://www.econbiz.de/10011116621
We test whether firm idiosyncratic risk is priced in a large cross-section of U.K. stocks. A distinguishing feature of our paper is that our tests allow for a conditional relationship between systematic risk (beta) and returns, i.e., conditional on whether the excess market return is positive or...
Persistent link: https://www.econbiz.de/10011191083
This paper investigates the relationship between sovereign and bank CDS spreads with reference to their ability to convey timely signals on the default risk of European sovereign countries and their banking systems. By using a sample of six major European economies, we find that sovereign and...
Persistent link: https://www.econbiz.de/10010906347
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail-specific metrics, for example, value at risk, to compare the hedging effectiveness of short and long hedgers. Comparisons are applied to a number of hedging strategies including OLS and...
Persistent link: https://www.econbiz.de/10010972079
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