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Risk profiles for re-profiling sovereign debt
Consiglio, Andrea; Zenios, Stavros - In: Journal of Risk Finance 16 (2015), pp. 2-26
Purpose –This paper aims to use a risk management approach for re-profiling of sovereign debt. It develops profiles that trade off expected cost of financing alternative debt structures against their risk. The risk profiles are particularly informative for countries facing sovereign debt...
Persistent link: https://www.econbiz.de/10011118395
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A general framework for constructing bank risk data sets
Zhu, Xiaoqian; Lu, Wei; Wu, Dengsheng; Li, Jianping - In: Journal of risk 21 (2018/2019) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10011980291
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Loss given default estimation : a two-stage model with classification tree-based boosting and support vector logistic regression
Tanoue, Yuta; Yamashita, Satoshi - In: Journal of risk 21 (2018/2019) 4, pp. 19-37
Persistent link: https://www.econbiz.de/10012059863
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Could holding multiple safe havens improve diversification in a portfolio? : the extended skew-t vine copula approach
Chang, Meng-Shiuh; Yuan, Jing; Xu, Jing - In: Journal of risk 21 (2018/2019) 4, pp. 61-91
Persistent link: https://www.econbiz.de/10012059925
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Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
Deaton, Brian D. - In: Journal of risk 19 (2016) 1, pp. 43-61
Persistent link: https://www.econbiz.de/10011579769
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Analytical method for computing stressed value-at-risk with conditional value-at-risk
Hong, KiHoon - In: Journal of risk 19 (2016/2017) 3, pp. 85-106
Persistent link: https://www.econbiz.de/10011689731
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Does higher-frequency data always help to predict longer-horizon volatility?
Charoenwong, Ben; Feng, Guanhao - In: Journal of risk 19 (2017) 5, pp. 55-75
Persistent link: https://www.econbiz.de/10011747111
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How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Riccetti, Luca - In: Journal of risk 19 (2016/2017) 4, pp. 79-102
Persistent link: https://www.econbiz.de/10011710254
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Risk management for private equity funds
Buchner, Axel - In: Journal of risk 19 (2017) 6, pp. 1-32
Persistent link: https://www.econbiz.de/10011799119