In all investment decisions it is important to determine the degree of uncertainty associated with the valuation of a company. We propose an original and robust methodology to company valuation which replaces the traditional point estimate of the conventional Discounted Cash Flow (DCF) with a...

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long-term dependence" and the "catastrophe propensity"...

First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...

The last financial crisis sheds dramatically light on the instability threatened by systemic risk. In this regard no common view appears to exist on the definition, the measurement and real impact on financial system. This paper aims to analyze the relation between systemic risk and portfolio...

This paper studies a basket of risk statistics that are widely used to measure investment performance. Those risk statistics were used to rank the performance of the assets. The dependent information was removed from the set of risk measures that were used in the test. The risk statistics were...

The World Economic Forum (WEF) has been producing reports since 2006 based on what are perceived by respondents to their survey as the major risks facing the world. This paper extends the work of Evans et al (2017) that analysed the WEF 2014 risks and considers the WEF Global Risks over the...

This paper focuses on the effects of the Fed's monetary policy on stock and bond returns co-movement and their implications to risk-based asset allocation. Using a regime-switching model that controls for the economic effects of monetary policy we identify three co-movement regimes. We document...

This paper answers two research questions: what is the appropriate modeling tool for NPL study? and whether the NPL rates in Thailand show improving or deteriorating trend? NPL is of interests to management decision makers because it serves as an indicator for assessing risk in commercial loans....

In this paper we develop a novel valuation model and methodology to value a pharmaceutical R&D project based on real options approach. The real options approach enables the possibility of optimally abandon the project before completion whenever the investment cost turns out to be larger than the...