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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014431441
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Quantitative methods in economics and finance
Kliestik, Tomas (ed.); Valaskova, Katarina (ed.);  … - 2021
The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...
Persistent link: https://www.econbiz.de/10012586709
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Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014518798
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Eigenmittelunterlegung des Aktienkursrisikos : ein Modellvergleich im Rahmen der Schweizer Vorschriften
Staas, Carsten - 2001
Persistent link: https://www.econbiz.de/10001565579
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The impact of asset price bubbles on liquidity risk measures from a financial institutions perspective
Jacobs, Michael <Jr.> - In: International journal of bonds and derivatives 2 (2016) 2, pp. 152-182
Persistent link: https://www.econbiz.de/10011587544
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When the US stock market becomes extreme?
Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225
real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …
Persistent link: https://www.econbiz.de/10010399734
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Asymptotic dependence modelling of the BRICS stock markets
Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32
With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...
Persistent link: https://www.econbiz.de/10013368365
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The effect of credit risk, market risk, and liquidity risk on financial performance indicators of the listed banks on Tehran Stock Exchange
Abdellahi, Sayed Amin; Mashkani, Abolfazl Jannati; … - In: American journal of finance and accounting 5 (2017) 1, pp. 20-30
Persistent link: https://www.econbiz.de/10011834000