In this paper we propose the GHADA risk management model that is based on the generalizedhyperbolic (GH) distribution and on a nonparametric adaptive methodology. Comparedto the normal distribution...

We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied...

Much has been written in the press about the current global credit crisis and the consequences on the real economy. We want to take a step back and take stock of what we think should be the lessons learnt from an investment practicioner's point of view in order to avoid repeating the same...

This paper argues that the level of financial services provision determines the riskmanagement strategies among the poor. The paper estimates the determinants of thehousehold’s use of one, two or all three types of microfinancial services applying orderedprobit models and additionally probit...

We study the extremal dependence of market and liquidity risk, the former beingmeasured through the market return and the latter being measured throughthe relative bid-ask spread. We apply a non-parametrical approach to measurebivariate exceedance probabilities and the respective dependence...