performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …

We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against … counterparts and relevant risky debt portfolios. In sum, the risk-return characteristics of Islamic equities (especially in … securities in international financial markets and have important implications for portfolio risk management—especially in extreme …

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

the tourism industry, are two of the most important industries in the world today in terms of employment and generating …

This paper develops a new risk meter specifically for China - FRM@China - to detect systemic financial risk as well as … the most popular financial risk measure, FRM@China has less noise. It also emitted a risk signature much earlier than the … allow both the assessment of risk transfer between different sectors in which FIs operate and the prediction of systemic …

This paper examines the relationship between systemic risk measures across 546 financial institutions in major … conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a … improvement in the systemic risk measurement. The results provide evidence in favour of risk measurement improvements by …

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in … better risk measurement by accounting for oil returns in the risk functions. The estimated spread between the standard CoVaR … indicates that the drop in oil prices has a longer effect on risk and requires more time to be discounted by the financial …