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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios

Amédée-Manesme, Charles-Olivier - 2012

This paper aims to show that the accuracy of real estate portfolio valuations and of real estate risk management can be improved through the simultaneous use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease contracts drawn up...

Persistent link: https://www.econbiz.de/10013105113

M&A and the simulation-based valuation of companies with an uncertain exit price and special rights

Gleißner, Werner; Wolfrum, Marco; Dorfleitner, Gregor - In: Credit and capital markets : Kredit und Kapital 57 (2024) 1/4, pp. 1-37

This article presents a new methodological approach to value private equity investments based on simulation. The valuation relies on 'imperfect replication'. This method does not presuppose the perfection of the capital market and is essentially built on measuring the risk. The approach turns...

Persistent link: https://www.econbiz.de/10015427557

Ryzyko struktury: Rys koncepcyjny

Staszkiewicz, Piotr W. - Volkswirtschaftliche Fakultät, … - 2010

The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was shown the risk profile of the group could be...

Persistent link: https://www.econbiz.de/10009325682

Systemic risk for financial institutions of major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: June 2017

conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a …

Persistent link: https://www.econbiz.de/10011662132

Systemic risk for financial institutions of major petroleum-based economies : the role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: November 5, 2017

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔCoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

Persistent link: https://www.econbiz.de/10012062097

How risky are the options? : a comparison with the underlying stock using MaxVaR as a risk measure

Patra, Saswat; Bhattacharyya, Malay - In: Risks : open access journal 8 (2020) 3/76, pp. 1-17

the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim … horizon. For a 30-day maturity option, we find that MaxVaR can be 40% higher than VaR at a 5% significance level. It … highlights the importance of MaxVaR as a risk measure and shows that the risk is vastly underestimated when VaR is used as the …

Persistent link: https://www.econbiz.de/10012293244

Insurance risk capital and risk aggregation : bivariate copula approach

Mejdoub, Hanène; Arab, Mounira Ben - In: International journal of computational economics and … 9 (2019) 3, pp. 202-218

Persistent link: https://www.econbiz.de/10012115324

An application of the IFM method for the risk assessment of financial instruments

Pons, Adrià; Cristobal-Fransi, Eduard; Vintrò, Carla; … - In: Computational economics 61 (2023) 1, pp. 295-315

Persistent link: https://www.econbiz.de/10014228427

Market risk of developed and emerging countries during the global financial crisis

Köksal, Bülent; Orhan, Mehmet - In: Emerging markets finance & trade : a journal of the … 49 (2013) 3, pp. 20-34

Persistent link: https://www.econbiz.de/10010200887