The correlation between a portfolio's equity and foreign exchange components plays a role in reducing foreign exchange exposure. Investors must account for this correlation when determining the extent of foreign exchange risk in emerging market equity portfolio investments. This study employs a...

This paper examines the practical implications of using high-frequency data in a fast and frugal manner. It recognises the continued widespread application of model free approaches within many trading and risk management functions. Our analysis of the relative characteristics of four model-free...

This paper addresses the primary contribution of prospect theory against the landscape of an individual's self-attributed risk propensity. Risk propensity is captured using the IPI psychometric questionnaire for a sample of 521 participants. Participants are also presented with probability-based...

In this article prediction markets are presented as an innovative technology that can facilitate effective risk communication. The application of prediction markets in this context is an opportunity to reconcile the disparate approaches currently discussed in the risk communication literature....

This study demonstrates that the basis of decision-making and risk selection in the London Political Risk Insurance (PRI) market is a combination of <italic>Art and Science</italic> with such factors as trust and reputation playing an important role. The study breaks new ground by uncovering and examining...

The impact of large-scale terrorist attacks has clear implications for financial market participants and corporate risk management. In this paper, that impact is measured in the intraday trading patterns of participants in the London stock market. A two-scale realized volatility (TSRV) estimator...

Close examination of the behaviour of participants in financial markets in the aftermath of terrorist attacks is a valuable line of enquiry. In this paper, we bring together insights from field of finance and politics. Specifically, we examine trading patterns on highly liquid insurance-type...

This paper presents a dynamic form of the Almost Ideal Demand System (AIDS). Three versions of the static AIDS model are employed to determine the preferred long-run equilibrium model and represents the short-run dynamics by an error correction mechanism. This estimation procedure is then...

The recent growth in interest in convertible bond arbitrage (CBA) has predominantly come from the hedge fund industry. Past empirical evidence has shown that a CBA strategy generates positive monthly abnormal risk-adjusted returns. However, these studies have focused on hedge fund returns which...