Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order...

This paper proposes a method of calculating a Liquidity Adjusted Value-at-Risk (L-VaR) measure. The traditional approaches that have been implemented assume that the financial markets are perfect and hence an investor can either buy or sell any amount of stock without causing significant price...

This paper analyses the application of several volatility models to forecast daily Value-at-Risk (VaR) both for single assets and portfolios. We calculate the VaR number for 4 Greek stocks, 2 portfolios based on these securities and for Athens Stock Exchange General Index (ASE). We model VaR for...

We analyze the components of the bid-ask spread in the Athens Stock Exchange (ASE), which was recently characterized as a developed market. For 18 large and 13 medium capitalization stocks, we estimate the adverse selection and the order handling component of the spreads as well as the...

In this study, the properties and portfolio management implications of the value- weighted idiosyncratic volatility in 24 emerging markets are examined. The paper provides evidence against the view that the rise of idiosyncratic risk is a global phenomenon. Furthermore, specific and market risks...

The fluctuation of shipping freight rates (freight rate risk) is an important source of market risk for all participants in the freight markets including hedge funds, commodity and energy producers. We measure the freight rate risk by the Value-at-Risk (VaR) approach. A range of parametric and...

Factor portfolios created by dynamically weighting country indices generated significant global market adjusted returns over the last thirty years. The comparison between stock and country based factor portfolios suggests that country based value, size and momentum factor portfolios implemented...

In this paper, we assess the benefits from international factor diversification under a regime based portfolio construction framework that takes into account the dynamic changes in stock markets. We show that there are significant costs to investors who fail to (a) pursue an international...

The proposition that idiosyncratic volatility may matter in asset pricing is currently a topic of research and controversy. Using data from the UK market we examine the predictive ability of various measures of idiosyncratic risk and provide evidence which suggests that: (a) it is the...

The evidence on the inter-temporal relation between idiosyncratic risk and future stock returns is conflicting and confusing. We shed new light on the issue using a more flexible econometric approach based on [Hamilton, J.D. 1989. A new approach to the economic analysis of nonstationary time...