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The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

correlation. …

Persistent link: https://www.econbiz.de/10010276410

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010305454

Modeling dependencies in finance using copulae

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …

Persistent link: https://www.econbiz.de/10010274147

Exposure-Based Cash-Flow-at-Risk for Value-Creating Risk Management under Macroeconomic Uncertainty

Andrén, Niclas; Jankensgård, Håkan; Oxelheim, Lars - 2010

A strategically minded CFO will realize that strategic corporate risk management is about finding the right balance between risk prevention and proactive value generation. Efficient risk and performance management requires adequate assessment of risk and risk exposures on the one hand and...

Persistent link: https://www.econbiz.de/10010320401

Impact of democratic/non-democratic regimes on foreign direct investment in Pakistan: Pre and post September 11, 2001 scenarios

Nawaz, Tahir; Khan, Masood Amjad; Shah, Muhammad Akbar Ali - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 67-82

regression, Box-Jenkins methodologies have been applied initially then GARCH-type models are used to counter the problems of auto-correlation … observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant …

Persistent link: https://www.econbiz.de/10011938300

A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation

Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. - 2011

A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...

Persistent link: https://www.econbiz.de/10010325702

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …-at-risk with a duration-based POT method, and extreme market risk and extreme value theory. …

Persistent link: https://www.econbiz.de/10010326135

Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008

applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …

Persistent link: https://www.econbiz.de/10011422185

Time series analysis for financial market meltdowns

Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Mitov, Ivan - 2010

There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...

Persistent link: https://www.econbiz.de/10010301728

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang Karl; Mungo, Julius - 2008

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10010274140