We examine contemporaneous and dynamic relationship among equity fund flows, market returns, and market risk in China by applying structural vector autoregression (SVAR) and reduced-form VAR models using monthly and quarterly data over the period of 2005–2016. Results from the reduced-form VAR...

This paper proposes a set of models which can be used to estimate the market risk for a portfolio of crypto-currencies, and simultaneously to estimate also their credit risk using the Zero Price Probability (ZPP) model by Fantazzini et al (2008), which is a methodology to compute the...

Assessments of market risk for economic or regulatory capital typically involve calculating a portfolio's sensitivity to key risk factor movements. Historically, practitioners have focused on two classical sources of risk, adverse changes in interest rates and volatility. As stress testing has...

This paper contains the statistics of a survey about the Risk-Free Rate (RF) and the Market Risk Premium (MRP) used in 2019 for 69 countries. We got answers for 84 countries, but we only report the results for 69 countries with more than 8 answers.Due to “Quantitative Easing”, many...