Purpose – Aims to investigate the accuracy of parametric, nonparametric, and semiparametric methods in predicting the one‐day‐ahead value‐at‐risk (VaR) measure in three types of markets (stock exchanges, commodities, and exchange rates), both for long and short trading positions....

Purpose – The purpose of this paper is to describe a generalization of the familiar two‐sample t ‐test for equality of means to the case where the sample values are to be given unequal weights. This is a natural situation in financial risk modeling when some samples are considered more...

Purpose – Derivatives are important risk management tools widely used by financial institutions, including insurers. Insurers rely on derivatives for managing actuarial, market, credit as well as liquidity risks. There is lack of knowledge and publication about the recent use of derivatives by...

Purpose – To develop a new theory of portfolio and risk based on incremental entropy and Markowitz's theory. Design/methodology/approach – Replacing arithmetic, the mean return adopted by M.H. Markowitz, with geometric mean return as a criterion for assessing a portfolio, one gets...

Purpose – To: evaluate Prospect Theory and Cumulative Prospect Theory as functional models of decision making and risk within various contexts; compare and analyze risk models and decision‐making models; evaluate models of stock risk developed by Robert Engle and related models; establish...

Purpose – To: evaluate Prospect Theory and Cumulative Prospect Theory as functional models of decision making and risk within various contexts; compare and analyze risk models and decision‐making models; evaluate models of stock risk developed by Robert Engle and related models; establish...

Purpose – To study the effect of Knightian uncertainty – as opposed to statistical estimation error – in the evaluation of value‐at‐risk (VaR) of financial investments. To develop methods for augmenting existing VaR estimates to account for Knightian uncertainty....

Managing risk and making decisions presents an increasing challenge to doctors as they are encouraged to adopt a partnership approach with patients to dealing with risk, within a “risk society” constructed around individuality, uncertainty, blame and responsibility. In‐depth interviews,...

In an evolving business environment characterised by globalisation and a challenging competitive paradigm, it is imperative for strategic management processes to focus on the financial perspectives of value and risk in intellectual capital to create sustainability in long‐term value. This...

This exploratory study investigates perceptions of two groups of NHS staff, of a range of risks, topical and relevant to accident and emergency (A&E). Literature suggests that the effectiveness of a risk management strategy is lessened if staff exposed to risk, and managers, have different...