Purpose – The purpose of this paper is to examine the risk management practices of life assurance firms and non-life insurance firms. Design/methodology/approach – Through a comparative case study methodology, the study assesses the state of risk management in both life assurance companies...

Although the projects are different from each other there are many common things that contribute to their success. Looked overall, the success of a project is the result of a multitude of factors. This person is considered the "engine" of the project. The man who makes the action set for the...

The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing possibilities of using this measure, the use of a new method has been proposed, namely, correcting various indicators of bank interest margins by using the Value at Risk...

This paper highlights the importance of Value-at-Risk (VaR) methodology in managing oil market risks of three international crude oil rates (Brent, OPEP and WTI). Comparing between the conventional VaR models proposed by the literature (non-parametric models, hybrid models and conditional and...

The risk management department usually imposes to asset managers a maximum value of the tracking error volatility (TEV), but it does not establish a rule on TEV to understand whether portfolio managers are active. Analytical methods are derived to understand whether the asset allocation is...

The cost of equity is important in valuing new investment opportunities and in evaluating the ongoing performance of existing business projects. This is especially true in the new economy biotechnology industry. The purpose of this paper is to calculate the cost of equity for the Canadian...

In this work, we use a time varying copula model to investigate the impact of the global financial crisis on dependence between US and each of six major stock markets and on risk management strategies. The model is implemented with an AR-GARCH-t for the marginal distribution and the extreme...

Producers continually need to determine how much of a particular product to produce. As market globalisation has changed their business, their demand uncertainty has become too big and too complex to manage. This study proposes a product's quantitative risk measurement and management model based...

This paper presents empirical evidence on the performance of a number of selected risk measurement models for measuring the value-at-risk in the South Korean stock market with regard to their ability to consistently furnish accurate estimated VaR risk measure during good and bad times. The...

Previous research has shown that firms identified as derivative users tend to be valued at a premium relative to non-users. In this paper I develop the hypothesis that the ‘derivative premium’ is higher in firms with centralized FX exposure management, compared to a decentralized approach in...