This paper examines the determinants of the rate of forced insolvency in New Zealand. The study incorporates two key … variety of economic experiences over the sample period (1988–2003). Second, we explain the total rate of forced insolvency in …

Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period … due to adverse market conditions with a particular level of confidence. Value-at-Risk has received considerable attention … from financial economists and financial practitioners for its use in risk reporting, in particular the risks of derivatives …

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under … results clearly state that market risk may be substantially underestimated by those models which assume Normality or, even … considering Non-Normality, neglect to model time- dependence. Moreover, VaR is an incomplete measure of market risk whenever the …

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading … issue for financial risk management in emerging markets. …

This paper characterizes optimal currency hedging in several models of downside risk. We consider, in turn, three … models of hedging: (i) a firm that chooses its hedging policy in the presence of bankruptcy costs; (ii) an all equity firm … contrary to conventional wisdom, we show that forwards dominate options as hedges of downside risk. …

value of $1 invested in the market when long-term investors wish to insure against downside risk on a year-to-year basis …. These results have implications regarding how risk-free debt is priced and about the economy’s capital structure. …

market timing skills of the portfolio manager. In this article we examine to what extent downside risk and the upside … relation between the risk preferences of the investor and the risk- adjusted performance measure. We conclude that it is … difficult to interpret differences in the outcomes of risk-adjusted performance measures exclusively as differences in …

, spatial heterogeneity and outliers are controlled for by using the appropriate maximum likelihood, generalized method of …