The long and continuing coal-dominated energy structure in China makes it important to investigate the impact of coal price shocks on China’s financial markets. This study identifies whether volatilities in coal market may propagate between sectoral equity markets through the heterogeneous...

Calculating risk measures can be extremely time consuming for large portfolios. Monte Carlo and historical value at risk and expected shortfall calculations can require repricing 1,000s of positions 1,000s of times. This makes risk calculations extremely challenging when the pricing functions...