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Year of publication
Subject
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Market risk 562 Marktrisiko 520 market risk 354 Risk management 210 Risikomanagement 209 Risikomaß 161 Risk measure 160 Portfolio-Management 148 Portfolio selection 147 Risiko 140 Theorie 137 Theory 136 Risk 135 Credit risk 134 Kreditrisiko 118 risk management 102 Volatility 100 Volatilität 97 credit risk 88 Estimation 80 Schätzung 80 Welt 79 Bank risk 78 Bankrisiko 78 World 76 Basler Akkord 74 Basel Accord 73 insurance companies 73 Risk premium 68 Risikoprämie 67 legal framework 64 CAPM 63 life insurance 62 pension funds 59 ARCH model 58 ARCH-Modell 58 Market Risk 54 capital requirements 54 supervisory authorities 54 USA 53
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Online availability
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Free 463 Undetermined 182
Type of publication
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Article 522 Book / Working Paper 502 Journal 3 Other 1
Type of publication (narrower categories)
All
Article in journal 338 Aufsatz in Zeitschrift 338 Graue Literatur 107 Non-commercial literature 107 Working Paper 107 Arbeitspapier 82 Aufsatz im Buch 60 Book section 60 Hochschulschrift 45 Thesis 39 Collection of articles of several authors 31 Sammelwerk 31 Aufsatzsammlung 18 Article 14 Dissertation u.a. Prüfungsschriften 11 Handbook 7 Handbuch 7 Konferenzschrift 7 Bibliografie enthalten 5 Bibliography included 5 Case study 5 Fallstudie 5 Lehrbuch 4 Textbook 4 Amtsdruckschrift 3 Collection of articles written by one author 3 Conference proceedings 3 Glossar enthalten 3 Glossary included 3 Government document 3 Sammlung 3 Guidebook 2 Ratgeber 2 Amtliche Publikation 1 Bibliografie 1 Conference paper 1 Congress Report 1 Interview 1 Konferenzbeitrag 1 Mehrbändiges Werk 1
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Language
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English 639 Undetermined 233 German 129 Spanish 9 Polish 7 French 4 Czech 3 Norwegian 1 Portuguese 1 Romanian 1 Slovenian 1
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Author
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Bartram, Söhnke M. 14 Stulz, René M. 14 Brown, Gregory W. 12 Fernandez, Pablo 11 Dowd, Kevin 10 McAleer, Michael 9 Diebold, Francis X. 8 Aguirreamalloa, Javier 7 Bask, Mikael 7 Carpenter, Jennifer N. 7 Lu, Fangzhou 7 Allen, David E. 6 Batten, Jonathan A. 6 Bernales, Alejandro 6 Campisi, Giovanni 6 Chlebus, Marcin 6 Cortazar, Gonzalo 6 Muzzioli, Silvia 6 Orlowski, Lucjan T. 6 Piazolo, Daniel 6 Romeike, Frank 6 Beuermann, Diether W. 5 Dionne, Georges 5 Drenovak, Mikica 5 Fernández Acín, Isabel 5 Fernández, Pablo 5 Jelic, Ranko 5 Powell, Robert 5 Singh, Abhay Kumar 5 Stein, Michael 5 Stoyanov, Stoyan V. 5 Szilágyi, Péter G. 5 Varotto, Simone 5 Wagner, Niklas F. 5 Wehn, Carsten 5 Yılmaz, Kamil 5 Alexander, Carol 4 Avendaño, Luis Corres 4 Cremers, Heinz 4 Fricke, Jens 4
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Institution
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International Monetary Fund (IMF) 103 International Monetary Fund 80 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 10 Basel Committee on Banking Supervision 4 HAL 4 National Bureau of Economic Research 4 EconWPA 3 Banca d'Italia 2 Banco de la Republica de Colombia 2 C.E.P.R. Discussion Papers 2 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 2 Department of Economics, University of Pennsylvania 2 Facultatea de Finante şi Banci, Universitatea Spiru Haret 2 Frankfurt School of Finance and Management 2 Henley Business School, University of Reading 2 School of Economics and Finance, Business School 2 Springer-Verlag GmbH 2 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 2 Verlag Dr. Kovač 2 Verlag Fritz Knapp GmbH 2 Victoria Business School, Victoria University of Wellington 2 Agricultural Economics Society - AES 1 BANCO DE LA REPÚBLICA 1 Banca Monte dei Paschi di Siena 1 Bank-Verlag GmbH 1 Banka e Shqipërisë 1 Bundesbank Symposium Bankenaufsicht im Dialog <20., 2016, Frankfurt am Main> 1 Bundesbank Symposium Bankenaufsicht im Dialog <2017, Frankfurt am Main> 1 CASE-Center for Social and Economic Research 1 Conference of the Bank of Albania and the South East European Studies at Oxford <2017, Tirana> 1 Conference on Asset-Liability Management with Ultra-Low Interest Rates <2015, Wien> 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Department of Agricultural, Food and Resource Economics, Michigan State University 1 Dipartimento di Economia e Management, Università degli Studi di Trento 1 ESSEC Business School 1 Economics Department, Fordham University 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Edward Elgar Publishing 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1
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Published in...
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IMF Staff Country Reports 76 IMF Working Papers 24 Journal of risk 15 Risiko-Manager 12 MPRA Paper 10 Journal of risk management in financial institutions 8 Risks 7 Risks : open access journal 7 The journal of real estate research 7 The professional risk managers' guide to financial instruments 7 Journal of banking & finance 6 Working paper / National Bureau of Economic Research, Inc. 6 Corporate finance / Biz 5 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 5 DEMB working paper series 5 Energy economics 5 International Journal of Financial Services Management 5 Journal of risk and financial management : JRFM 5 Schriftenreihe Finanzmanagement 5 Working papers / IESE Business School, University of Navarra 5 Applied Econometrics 4 Applied economics 4 Diskussionsbeiträge zur Bankbetriebslehre 4 Europäische Hochschulschriften / 5 4 Fisher College of Business working paper series 4 Frankfurt School - Working Paper Series 4 International journal of economics and finance 4 Managerial Finance 4 NBER working paper series 4 Post-Print / HAL 4 Reihe: Finanzierung, Kapitalmarkt und Banken 4 The VaR implementation handbook 4 The journal of risk and insurance : the journal of the American Risk and Insurance Association 4 The journal of risk model validation 4 Theoretical and Applied Economics 4 Working Paper 4 Working papers 4 Accounting and finance : journal of the Accounting Association of Australia and New Zealand 3 Bankrisikomanagement : Mindestanforderungen, Instrumente und Strategien für Banken 3 Econometric Institute research papers 3
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Source
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ECONIS (ZBW) 681 RePEc 273 EconStor 40 USB Cologne (EcoSocSci) 23 BASE 11
Showing 1 - 50 of 1,028
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Evaluating market risk from leveraged derivative exposures
Jukonis, Audrius - 2022
Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...
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Persistent link: https://ebtypo.dmz1.zbw/10013367613
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Does working capital management influence operating and market risk of firms?
Akbar, Ahsan; Akbar, Minhas; Nazir, Marina; Poulova, Petra - In: Risks : open access journal 9 (2021) 11, pp. 1-20
Extant empirical studies have predominantly focused on the nexus between working capital management (WCM) and corporate profitability. While there is a dearth of literature on the nexus between WCM and a firm's risk, the present study examines Pakistani-listed firms coming from 12 diverse...
Persistent link: https://ebtypo.dmz1.zbw/10012704044
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Market risk : exponential weighting in the value-at-risk calculation
Broll, Udo; Förster, Andreas - 2020
When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...
Persistent link: https://ebtypo.dmz1.zbw/10012285469
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Pensjonsreformen og individuell risiko
Reiakvam, Lisa Kristine; Solheim, Haakon; Vatne, Bjørn … - 2022
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Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi - 2022
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The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia : an international perspective
Nieto Domenech, Belen; Rubio, Gonzalo - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-29
Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the...
Persistent link: https://ebtypo.dmz1.zbw/10012813368
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Is the global carbon market integrated? : return and volatility connectedness in ETS systems
Lyu, Chenyan; Scholtens, Bert - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013367336
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Asymmetric semi-volatility spillover in a nonlinear model of interacting markets
Campisi, Giovanni; Muzzioli, Silvia - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013258691
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Forecasting returns in the US market through fuzzy rule-based classification systems
Muzzioli, Silvia; Campisi, Giovanni; De Baets, Bernard; … - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013258692
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Should risk-averse investors target the portfolios of socially responsible companies?
Valls Martínez, María del Carmen; Soriano Román, Rafael - In: Oeconomia Copernicana 13 (2022) 2, pp. 439-474
Persistent link: https://ebtypo.dmz1.zbw/10013347093
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Evaluating Market Risk from Leveraged Derivative Exposures
Jukonis, Audrius - 2022
Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...
Persistent link: https://ebtypo.dmz1.zbw/10013491644
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Macro Tail Risk and Market Risk Premium
Chen, Jian; Liao, Cunfei; Tang, Guohao - 2022
This paper proposes an aggregate index of macro tail risk and examines its role in asset pricing. We observe that a positive market risk premium compensated for the downside risk of macro fundamentals; a high tail risk predicts subsequent high returns. This predictability exists both in- and...
Persistent link: https://ebtypo.dmz1.zbw/10013491825
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Market Risk and Speculation Factors
Ghazi, Soroush; Schneider, Mark - 2022
We decompose the excess market return into speculation and non-speculation components. The former is negative and predicted by market sentiment. The latter is positive and not predicted by sentiment. The speculation component explains roughly 30% of the variation in the excess market return. In...
Persistent link: https://ebtypo.dmz1.zbw/10013492273
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The Effectiveness of Unconventional Monetary Policy on Risk Aversion and Uncertainty
Rompolis, Leonidas - 2022
This paper examines the impact of unconventional monetary policy of ECB measured by its balance sheet expansion on euro area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet shock decreases both risk aversion and uncertainty...
Persistent link: https://ebtypo.dmz1.zbw/10013492572
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Comparing market risk of indian balanced, small and mid cap and large cap funds
Biswas, Suparna; Dutta, Santanu - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 603-620
Persistent link: https://ebtypo.dmz1.zbw/10013475253
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Market risk, value-at-risk and exponential weighting
Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91
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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions
Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85
The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...
Persistent link: https://ebtypo.dmz1.zbw/10012302139
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Does working capital management influence operating and market risk of firms?
Akbar, Ahsan; Akbar, Minhas; Nazir, Marina; Poulova, Petra - In: Risks 9 (2021) 11, pp. 1-20
Extant empirical studies have predominantly focused on the nexus between working capital management (WCM) and corporate profitability. While there is a dearth of literature on the nexus between WCM and a firm's risk, the present study examines Pakistani-listed firms coming from 12 diverse...
Persistent link: https://ebtypo.dmz1.zbw/10013200863
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The effect of income smoothing and CSR disclosure on market performance
Meutia, Intan; Septiani, Devi; Adam, Mohamad - In: International Journal of Business and Economic Sciences … 14 (2021) 1, pp. 58-68
Purpose: The main aim of the study was to determine the effect of income smoothing and CSR disclosure whether it affects market performance which is divided into 3 aspects, namely market response (CAR), market risk (SD), market value (MVE) in manufacturing companies in Indonesia. This study uses...
Persistent link: https://ebtypo.dmz1.zbw/10012622995
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Minimum capital requirements for market risk: An overview and critical analysis of the standardized approaches under Basel III
Best, Stefan - 2021
Im Januar 2019 veröffentlichte der Baseler Ausschuss für Bankenaufsicht eine revidierte Fassung der Mindestanforderungen an Eigenkapital für Marktrisiken, die am 01.01.2023 in Kraft treten wird. Diese Arbeit beschäftigt sich mit dem auf Sensitivitäten basierenden Standardansatz und dem...
Persistent link: https://ebtypo.dmz1.zbw/10013439919
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Income smoothing and firm value in a regulated market : the moderating effect of market risk
Abogun, Segun; Adigbole, Ezekiel Aiyenijo; Olorede, … - In: Asian journal of accounting research 6 (2021) 3, pp. 296-308
Persistent link: https://ebtypo.dmz1.zbw/10012614913
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Selected factors of internationalisation and their impact on the SME perception of the market risk
Virglerova, Zuzana; Ivanova, Eva; Dvorský, Ján; … - In: Oeconomia Copernicana 12 (2021) 4, pp. 1011-1032
Persistent link: https://ebtypo.dmz1.zbw/10012800987
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Delayed Creative Destruction : How Uncertainty Shapes Corporate Assets
Campello, Murillo; Kankanhalli, Gaurav; Kim, Hyunseob - National Bureau of Economic Research - 2021
We show how uncertainty shapes the asset allocation, composition, productivity, and value of capital-intensive firms. We do so using detailed, near-universal data on shipping firms' new orders, secondary-market transactions, and demolition of ships. Firms curtail both the acquisition and...
Persistent link: https://ebtypo.dmz1.zbw/10012585455
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Default risk of listed companies in the context of the threat to commodity markets in the times of COVID-19 pandemic
Szturo, Marek; Włodarczyk, Bogdan; Szydłowski, Konrad; … - In: European research studies 24 (2021) 1, pp. 53-68
Persistent link: https://ebtypo.dmz1.zbw/10012512680
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A universal stress scenario approach for capitalising non-modellable risk factors under the FRTB
Aichele, Martin; Crotti, Marco Giovanni; Rehle, Benedikt - 2021
EU legislators mandated the European Banking Authority to propose a stress scenario methodology for capitalising non-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In this paper, we present the foundations of such a...
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Persistent link: https://ebtypo.dmz1.zbw/10012594975
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The effect of income smoothing and CSR disclosure on market performance
Meutia, Intan; Septiani, Devi; Adam, Mohamad - In: International journal of business and economic sciences … 14 (2021) 1, pp. 58-68
Purpose: The main aim of the study was to determine the effect of income smoothing and CSR disclosure whether it affects market performance which is divided into 3 aspects, namely market response (CAR), market risk (SD), market value (MVE) in manufacturing companies in Indonesia. This study uses...
Persistent link: https://ebtypo.dmz1.zbw/10012604061
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012816709
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A comparison of machine learning methods for predicting stock returns in the US market
Muzzioli, Silvia; Campisi, Giovanni; De Baets, Bernard - 2021
Persistent link: https://ebtypo.dmz1.zbw/10013258722
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Minimum capital requirements for market risk : an overview and critical analysis of the standardized approaches under Basel III
Best, Stefan - 2021
Persistent link: https://ebtypo.dmz1.zbw/10013331111
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Delayed Creative Destruction : How Uncertainty Shapes Corporate Assets
Campello, Murillo; Kankanhalli, Gaurav; Kim, Hyunseob - 2021
We show how uncertainty shapes the asset allocation, composition, productivity, and value of capital-intensive firms. We do so using detailed, near-universal data on shipping firms' new orders, secondary-market transactions, and demolition of ships. Firms curtail both the acquisition and...
Persistent link: https://ebtypo.dmz1.zbw/10013220683
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The fundamental review of trading book: New standard approach and risk management impacts
Poretta, Pasqualina; Agnese, Paolo - In: Journal of risk management in financial institutions 14 (2020/21) 2, pp. 209-219
Persistent link: https://ebtypo.dmz1.zbw/10012613991
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://ebtypo.dmz1.zbw/10011674278
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Financial compass for Slovak enterprises: Modeling economic stability of agricultural entities
Valaskova, Katarina; Durana, Pavol; Adamko, Peter; … - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-16
The risk of corporate financial distress negatively affects the operation of the enterprise itself and can change the financial performance of all other partners that come into close or wider contact. To identify these risks, business entities use early warning systems, prediction models, which...
Persistent link: https://ebtypo.dmz1.zbw/10012611321
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A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model
Russo, Emilio - In: Risks 8 (2020) 1, pp. 1-22
This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...
Persistent link: https://ebtypo.dmz1.zbw/10013200544
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The dynamics of the S&P 500 under a crisis context: Insights from a three-regime switching model
Cerboni Baiardi, Lorenzo; Costabile, Massimo; de … - In: Risks 8 (2020) 3, pp. 1-15
This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...
Persistent link: https://ebtypo.dmz1.zbw/10013200604
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Market risk: Exponential weighting in the value-at-risk calculation
Broll, Udo; Förster, Andreas - 2020
When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...
Persistent link: https://ebtypo.dmz1.zbw/10012289413
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"Up" and "Down" Levy Jumps and Market Risk Premia Implications from S&P500 Options
Carverhill, Andrew P. - 2020
We model the S&P500 index options dynamics using the CGMY distribution, with independent "up" and "down" return jumps, and diffusive jump intensities. Allowing the up and down parts to be separately parameterised accounts for the dynamic smirk effect, without correlation between returns and...
Persistent link: https://ebtypo.dmz1.zbw/10012837432
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From Smile Asymptotics to Market Risk Measures
Sturm, Stephan - 2020
The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex...
Persistent link: https://ebtypo.dmz1.zbw/10012857406
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Study and Analysis of Project Risk, Market Risk and Firm Risk
Kiradoo, Giriraj - 2020
This work aimed to study and analysis the various risk associated with different environment. The selected method consists of market risks and operating risks. The approach used in this paper is proved to be practical and useful in the decision-making process of capital budgeting and investment...
Persistent link: https://ebtypo.dmz1.zbw/10012841351
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Financial compass for Slovak enterprises : modeling economic stability of agricultural entities
Valaskova, Katarina; Durana, Pavol; Adamko, Peter; … - In: Journal of risk and financial management : JRFM 13 (2020) 5/92, pp. 1-16
The risk of corporate financial distress negatively affects the operation of the enterprise itself and can change the financial performance of all other partners that come into close or wider contact. To identify these risks, business entities use early warning systems, prediction models, which...
Persistent link: https://ebtypo.dmz1.zbw/10012304757
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Stress testing at the IMF
Adrian, Tobias; Morsink, James; Schumacher, Liliana - 2020
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The role of employees' empowerment on risk management : an application on Libyan banks
Elhusadi, Iman; Demirel, Yavuz - In: International Journal of Research in Business and … 9 (2020) 4, pp. 51-65
Persistent link: https://ebtypo.dmz1.zbw/10012266456
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A statistical measure of global equity market risk
Ahelegbey, Daniel Felix - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012321944
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The dynamics of the S&P 500 under a crisis context : insights from a three-regime switching model
Cerboni Baiardi, Lorenzo; Costabile, Massimo; Giovanni, … - In: Risks : open access journal 8 (2020) 3/71, pp. 1-15
This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...
Persistent link: https://ebtypo.dmz1.zbw/10012293127
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A new world post COVID-19 : lessons for business, the finance industry and policy makers
Billio, Monica (ed.); Varotto, Simone (ed.) - 2020 - 1st edition
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Does corporate governance affect bank risk management? : case study of Indonesian banks
Permatasari, Ika - In: International trade, politics and development 4 (2020) 2, pp. 127-139
Purpose The purpose of this study is to examine the relationship between corporate governance and risk management of Indonesian banks. Design/methodology/approach Implementation of good corporate governance is measured by good corporate governance composite rating, which is the result of bank's...
Persistent link: https://ebtypo.dmz1.zbw/10012391084
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Early warning signs of financial market turmoils
Bertschinger, Nils; Pfante, Oliver - In: Journal of risk and financial management : JRFM 13 (2020) 12/301, pp. 1-24
Volatility clustering and fat tails are prominently observed in financial markets. Here, we analyze the underlying mechanisms of three agent-based models explaining these stylized facts in terms of market instabilities and compare them on empirical grounds. To this end, we first develop a...
Persistent link: https://ebtypo.dmz1.zbw/10012392414
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Fundamentalists heterogeneity and the role of the sentiment indicator
Campisi, Giovanni; Muzzioli, Silvia - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012211252
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Investor sentiment and trading behavior
Campisi, Giovanni; Muzzioli, Silvia - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012211264
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A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model
Russo, Emilio - In: Risks : open access journal 8 (2020) 1/9, pp. 1-22
This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...
Persistent link: https://ebtypo.dmz1.zbw/10012204035
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