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Bubble value at risk : a countercyclical risk management approach

Wong, Max C. Y. - 2013 - Rev. ed (Online-Ausg.)

Introduces a powerful new approach to financial risk modeling with proven strategies for its real-world applications … The 2008 credit crisis did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most … the real world of crisis risk management. More importantly, he lays out a revolutionary new method of measuring risks …

Persistent link: https://www.econbiz.de/10012600477

Measuring 'State-level' Economic Policy Uncertainty

Elkamhi, Redouane - 2020

We develop 50 novel indices of State-level Economic Policy Uncertainty (SEPU) based on newspaper coverage frequency using 204 million state newspaper articles from January 1990 to December 2019. We assess the validity of our measures. Our SEPU indices vary counter-cyclically with respect to...

Persistent link: https://www.econbiz.de/10012822875

Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks : a Roll-Over Risk Approach

Backwell, Alex - 2020

Modelling the risk that a financial institution may not be able to roll over short-term borrowing at the market …

Persistent link: https://www.econbiz.de/10012849015

Long-Term Risk with Stochastic Interest Rates

Severino, Federico - 2019

-term interest rate risk and shed light on the impact of temporary and long-lasting interest rate shocks on security prices …

Persistent link: https://www.econbiz.de/10012900105

Do Salient Climatic Risks Affect Shareholder Voting?

Fich, Eliezer M.; Xu, Guosong - 2021

Shareholders in locations recently hit by hurricanes significantly increase their support for environmental proposals even if they never previously voted for similar initiatives. Our results show that changed beliefs about salient climate risks rather than firms’ fundamentals drive the...

Persistent link: https://www.econbiz.de/10013218152

What Affects Factor Loading Uncertainty and Expected Returns? The Role of Accounting Quality

Miao, Bin; Ni, Chenkai; Shi, Charles - 2021

Despite considerable research on the association between accounting quality and expected returns, much is yet to be learnt about specific underlying mechanisms. Motivated by recent advancements in theoretical work, this study empirically examines how firm-specific information quality affects...

Persistent link: https://www.econbiz.de/10013243567

The impact of tourism uncertainty on airline stock markets in Korea : a quantile regression approach

Jeon, Ji-Hong - In: Journal of business economics and management 22 (2021) 4, pp. 923-939

This study explores the impact of tourism uncertainty, including economic policy uncertainty (EPU) and travel crises arising from issues such as terrorism and disease outbreaks, on airline stock markets in Korea. Airline stock prices are particularly affected by tourism uncertainty. Using data...

Persistent link: https://www.econbiz.de/10013256415

Nonlinear spillover effect of US monetary policy uncertainty on China's systematic financial risks

Ouyang, Zhigang; Dou, Zhenjiang; Wei, Lei; Vasa, László - In: Journal of business economics and management 23 (2022) 2, pp. 364-381

major sudden risk events. Through the further research, it is found that this effect is mainly transmitted through short …

Persistent link: https://www.econbiz.de/10013258842

Determinants of the Nordic hedge fund performance

Kolisovas, Danielius; Giriūnienė, Gintarė; … - In: Journal of business economics and management 23 (2022) 2, pp. 426-450

Hedge funds have become an important part of the financial sector. The development of the hedge funds in the Nordic countries has been rather robust. Therefore, it is important to identify the determinants of the hedge fund performance and isolate the managerial performance, i.e., the Jensen's...

Persistent link: https://www.econbiz.de/10013259009

Corporate Debt Value under Transition Scenario Uncertainty

Le Guenedal, Théo; Tankov, Peter - 2022

We develop a structural model for pricing a defaultable bond issued by a companysubject to climate transition risk. We … assume that the magnitude of thetransition risk impacts depends on a transition scenario, which isinitially unknown but is …

Persistent link: https://www.econbiz.de/10013404706