Search Results - subject_exact:"Marktrisiko"

What if ether goes to zero? : how market risk becomes infrastructure risk in crypto

Biancotti, Claudia - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562270

Risk Propagation in the European Banking System : Amplification Effect from NBFIs and Market Risks

Valderrama, Laura - 2026

This paper applies network analysis to examine the impact of non-bank financial institutions (NBFIs) and financial market stress on contagion risk within the interbank network. Using network-based simulations on euro area banks’ supervisory data, we find that banks’ strong capital and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612591

Riesgo de crédito gestionado por medio de un modelo de espacio-estado aplicado a un portafolio soberano

Tapia V., Pablo; Vargas P., Diego - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591169

From nature shocks to financial stability : incorporating nature physical risks - in particular water-related risks - into banks' credit risk models and insurers' market risk models

Gallet, Sébastien; Prodani, Julja; Rang, Kitty - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632814

Vanadium : Rohstoffrisikobewertung

Damm, Sophie - 2026 - Datenstand: November 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650844

Mangan : Rohstoffrisikobewertung

Osbahr, Inga - 2026 - Datenstand: Oktober 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650847

Crisis facilities as a source of public information

Ergun, Lerby - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373063

The impact of nature restoration law on equity behavior : how biodiversity risk affects market risk

Capelli, Paolo; Gai, Lorenzo; Ielasi, Federica; Taddei, … - 2025

This study examines the market reaction to the approval of the Nature Restoration Law, a key component of the EU Biodiversity Strategy, and its implications for biodiversity-related financial risks. Using an event study methodology, we analyze the equity price movements of companies listed in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358879

Time-varying risk aversion and capital structure : an overlooked effect

Grau-Vera, David; Rubio, Gonzalo; Sogorb-Mira, Francisco - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463219

Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464246

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Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2025

Book / Working Paper

Précisions importantes sur le backtesting comparatif de la VaR

Hassani, Samir Saissi - 2022

Book / Working Paper

Measuring the impact of transition risk on financial markets : a joint VaR-ES approach

Garcia-Jorcano, Laura; Sanchis-Marco, Lidia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464743

Monte Carlo-based VaR estimation and backtesting under Basel III

Cheng, Yueming - 2025

Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based model calibrated to historical portfolio volatility, and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448974

Market risk of securities held by Italian banks and insurance companies

Bianchi, Michele Leonardo; Pallante, Federica - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408587

Forecasting Value-at-Risk for cryptocurrencies

Michaelides, Michael; Poudyal, Niraj - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457737

Are parametric models still useful to measure the market risk of bank securities holdings?

Bianchi, Michele Leonardo; Del Vecchio, Leonardo; … - 2025

This paper estimates the daily market risk of Italian bank securities portfolios under different model assumptions, using granular data on all banks and exposures from 2008 to 2023. Market risk is measured via value-at-risk and expected shortfall, estimated with three approaches: (1)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015552932

The European tango between market risk and credit risk : a non-linear approach

Almeida, Dora; Ferreira, Paulo; Dionísio, Andreia … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015553636

Improved option-implied estimates of relative risk aversion and market risk premium

Sullivana, Conall O; Post, Thierry - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556639

Market returns dormant in options panels

Chang, Yoosoon; Choi, Youngmin; Kim, Soohun; Park, Joon Y. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606630

Measuring ESG risks in multi-asset portfolios : decomposing VaRESG into CVaRESG

Capelli, Paolo; Ielasi, Federica; Russo, Angeloantonio - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015061195

The impact of risk management on banks' profitability : a South African perspective

Razermera, Tsitohaina; Brijlal, Pradeep; Jwara, Nomthandazo - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014631859

Visible hands : how gig companies shape workers' exposure to market risk

Maffie, Michael David - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014483626

Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio

Cotticelli, Stefano; Savelli, Nino - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014519979

The market risk premium in Australia : forward-looking evidence from the options market

Aspris, Angelo; Félez-Viñas, Ester; Foley, Sean; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015165212

Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies

Wang, Ruting; Potì, Valerio; Härdle, Wolfgang - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015050808

Market risk SREP methodology

2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015322343

Option implied dividends and the market risk premium

Aspris, Angelo; Malloch, Hamish; Svec, Jiri - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015271573

Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors

Duc Vo Hong; Hung Le‑Phuc Nguyen - 2024

Global economic downturns and multiple extreme events threaten Vietnam's economy, leading to a surge in stock market risk and signifcant spillovers. This study investigates market risk spillovers and explores the asymmetric efects of macroeco‑ nomic indicators on market risk across 24 sectors...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014540590

Good risk measures, bad statistical assumptions, ugly risk forecasts

Michaelides, Michael; Poudyal, Niraj - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014543997

Exceedance-based backtesting of expected shortfall

Liakhovchenko, Andrii; Celov, Dmitrij - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664899

Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014232280

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Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - 2023

Book / Working Paper

Using Skewed Exponential Power Mixture for VaR and CVaR Forecasts to Comply with Market Risk Regulation

Hassani, Samir Saissi; Dionne, Georges - 2023

Book / Working Paper

Market Risk Modeling with Option-Implied Covariances and Score-Driven Dynamics

Piña, Marco; Hererra, Rodrigo - 2023

In this paper we make use of option-implied volatilities to build a time-varying implied correlation matrix. Then, we use this matrix to estimate jointly both the covariance matrix of the returns and the implied covariance matrix dynamics. Finally, we do a backtest and show that the proposed...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014257464

Exploring the market risk profiles of US and European stock insurers

Grochola, Nicolaus; Browne, Mark Joseph; Gründl, Helmut; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014427194

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Exploring the Market Risk Profiles of U.S. and European Stock Insurers

Grochola, Nicolaus; Browne, Mark Joseph; Gründl, Helmut; … - 2023

Book / Working Paper

Model-Free Market Risk Hedging Using Crowding Networks

Zlotnikov, Vadim; Liu, Jiayu; Halperin, Igor; He, Fei; … - 2023

Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund holdings, which is used to compute crowding scores for stocks. These scores are used to construct costless long-short...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014350047

Impact of political risk on emerging market risk premiums and risk adjusted returns

Sonenshine, Ralph; Aboulhosn, Aya - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606266

Show one more version 1

Impact of Political Risk on Emerging Market Risk Premiums and Risk Adjusted Returns

Sonenshine, Ralph - 2023

Book / Working Paper

Market Risk Premium and Otm Options : A Revisit of the Black-Scholes-Merton Model

Liu, David - 2023

In this research, we summarize the results of implementing market risk premium into the option valuation formulas of the Black-Scholes-Merton model for the out-of-money (OTM) options. Especially, empirical studies are conducted using the 50ETF options which are obtained from Shanghai Stock...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014353847

Survey : Market Risk Premium and Risk-Free Rate used for 80 countries in 2023

Fernandez, Pablo; García de la Garza, Diego; Fernandez … - 2023

This paper contains the statistics of a survey about the Risk-Free Rate (RF) and the Market Risk Premium (MRP) used in 2023 for 80 countries. We got answers for 102 countries, but we only report the results for 80 countries with more than 6 answers.The paper also contains the links to previous...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014355281

The fundamental review of the trading book : implications for portfolio and risk management in the banking sector

McCullagh, Orla; Cummins, Mark; Killian, Sheila - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014436097

Enhancing sustainable finance through green hydrogen equity investments : a multifaceted risk-return analysis

Kampe, Cristina - 2023

Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs). Despite the nascent nature of research on...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014446604

The effects of climate change-related risks on banks : a literature review

Bandt, Olivier de; Kuntz, Laura-Chloé; Pankratz, Nora; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014448399

The quantum harmonic oscillator expected shortfall model

Markovic, Vladimir M.; Radivojevic, Nikola; Ivanovic, … - 2023

This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014450737

Dynamic factor copula-based modeling for market risk optimization with an application to the real industry in China

Chen, Zhenlong; Zhou, Jialian; Hao, Xiaozhen - 2023

As finance returns to its fundamental purpose of serving the real economy, its connections with various industries are strengthening. Accurately depicting the interdependence among these industries and mitigating financial risks has become increasingly critical. The dependence among China's real...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014506777

Sensitivities-based method and expected shortfall for market risk under FRTB : its impact on options risk capital

Grajales, Carlos Alexander; Hurtado, Santiago Medina - 2023

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach - This paper first suggests an algorithm for implementing the FRTB...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014339255

Decoupling VaR and regulatory capital : an examination of practitioners' experience of market risk regulation

McCullagh, Orla; Cummins, Mark; Killian, Sheila - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014326959

Beta Coefficient as a Measure of Market Risk in Assessing Investment Attractiveness

Lukina, Yulia - 2023

The activity of any participant in the stock market (from a private non-professional investor to investment companies) is associated with a certain level of risk. An effective mechanism in the context of leveling investment risks can be an assessment of the investment attractiveness of stock...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014254255

Market Risk Premium Expectation : Combining Option Theory with Traditional Predictors

Liu, Hong; Lu, Yueliang (Jacques); Xu, Weike; Zhou, Guofu - 2023

The market risk premium is central in finance, and has been analyzed by numerous studies in the time-series predictability literature and by growing studies in the options literature. In this paper, we provide a novel link between the two literatures. Theoretically, we derive a lower bound on...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014255136

Aggregated Risks : Mutual Fund Disclosures & Market Risks

Smelcer, Susan; Tucker, Anne M.; Xia, Yusen - 2023

Scholars have roundly criticized disclosure as a regulatory regime over the past decade for good reason. Disclosures—whether describing the terms of a loan or the risks of investing—purport to inform consumers. But who actually reads disclosures? We argue that mutual fund disclosures are...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014255428

Analysis of crypto-assets, blockchain investor protection, and U.S. market risks using the mlogit classifier model

Kasztelnik, Karina - 2023

We present insights into novel and complex issues regarding cryptocurrency activities, the related investor protection, and blockchain market risks. Crypto digital assets embody global economic ambition with their significant growth and creativity levels. This study employs a novel research...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014430369

The determinants of stock-bond return correlations

Sarwar, Ghulam - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014375403

The EU regulatory framework for market risk and prudent valuation : are the rules too procyclical? : evidence from the COVID-19 pandemic and the 2022 global energy crisis

Boivin, Stéphane; Crotti, Marco Giovanni; Malikkidou, Despo - 2023

The 2020 COVID-19 pandemic crisis and the 2022 global energy crisis consecutive to Russia's aggression against Ukraine have been unprecedented in several aspects. In the European Union (EU), national governments, as well as European bodies put in place several relief measures to support the EU...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014362822

Option Implied Dividends and the Market Risk Premium

Malloch, Hamish; Aspris, Angelo; Svec, Jiri - 2023

We propose a new method for computing a lower bound to the expected future dividend component of the market risk premium from observed option prices. We find that our estimate of future dividend yields has similar characteristics to future realized dividend yields, exhibits significant...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014358778