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Decloure, N.; Zhong, M. - 2007

We show that the newly developed exchange-traded world equity index funds, or iShares, trade at economically …. Moreover, iShares price returns exhibit excessive volatility relative to their NAV returns. These findings suggest a limit of … arbitrage in the international iShares market where iShares can be created and redeemed at will and premiums that exceed the …

Persistent link: https://www.econbiz.de/10009448124

Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility

Yu, Jung-Suk - 2006

There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

Persistent link: https://www.econbiz.de/10009468629

Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis

Volosenkina, Viktorija - 2010

In this paper dependence between credit default swap (CDS) values and stock price movements of the largest European banking groups is examined and effectiveness of the usage of CDS contracts as a tool to hedge exposure to the price movements of the underlying stock during the pre-crisis and...

Persistent link: https://www.econbiz.de/10009478570

High frequency data aggregation and Value-at-Risk

Pranckevičiūtė, Milda - 2011

Value-at-risk (VaR) model as a tool to estimate market risk is considered in the thesis. It is a statistical model defined as the maximum future loss due to likely changes in the value of financial assets portfolio during a certain period with a certain probability. A new definition of the...

Persistent link: https://www.econbiz.de/10009478835

Aukšto dažnio duomenų agregavimas ir vertės pokyčio rizika

Pranckevičiūtė, Milda - 2011

Disertacijoje nagrinėjamas vertės pokyčio rizikos modelis. Tai toks statistinis modelis, kurį taikant su tam tikra tikimybe įvertinamas didžiausias galimas nustatyto laikotarpio nuostolis, kredito įstaigos patiriamas dėl neigiamų taikomos finansinės priemonės vertės pokyčių....

Persistent link: https://www.econbiz.de/10009478836

Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations

Chen, Qian - 2011

Forecasting financial risk and risk measurement methods have been of increasing interest for financial market regulators and financial institutions in the past two decades. While the parametric and semi-parametric models have been widely reviewed in the academic literature, the non-parametric...

Persistent link: https://www.econbiz.de/10009480085

The subprime mortgage crisis : asset securitization and interbank lending / M.P. Mulaudzi

Mulaudzi, Mmboniseni Phanuel - 2009

Subprime residential mortgage loan securitization and its associated risks have been a major topic of discussion since the onset of the subprime mortgage crisis (SMC) in 2007. In this regard, the thesis addresses the issues of subprime residential mortgage loan (RML) securitization in discrete-,...

Persistent link: https://www.econbiz.de/10009480657

Cross-Border-Leasing als Instrument der Kommunalfinanzierung. Eine finanzwirtschaftliche Analyse unter besonderer Ber??cksichtigung der Risiken

Ginsbach, Stefanie - 2007

Die Dissertation mit dem Thema ???Cross-Border-Leasing als Instrument der Kommunalfinanzierung ??? Eine finanzwirtschaftliche Analyse unter besonderer Ber??cksichtigung der Risiken ??? befasst sich am Beispiel des prim??r steuerinduzierten, grenz??berschreitenden Cross-Border-Leasings (CBL) mit...

Persistent link: https://www.econbiz.de/10009481274

Market Risk Quantifications: Historical Simulation Approach on the Malaysian Stock Exchange

Ahmad Baharul Ulum, Zatul Karamah Binti - 2013

This paper presents the evaluation of market risk quantifications using Value-at-Risk (VaR) approach on historical data of selected stocks traded in the first board of the Malaysian stock exchange. The data sample covers from the period ranging from year 2008 until 2012 while the holding periods...

Persistent link: https://www.econbiz.de/10011315664

RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE

LEE, Ming-Chang - 2015

In order to achieve commercial banks liquidity, safety and profitability objective requirements, loan portfolio risk analysis based optimization decisions are rational allocation of assets. Â The risk analysis and asset allocation are the key technology of banking and risk management. Â The...

Persistent link: https://www.econbiz.de/10011316251