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. …

financial risk based on asset classes only is ready for a epistemological change. Currently, the definition of financial risk … suffers from three major deficiencies: (1) financial risk is insufficiently measured by the conventional second - order … moments; (2) financial risk is assumed to be stable and all distribution moments are assumed to be time-invariant; and (3 …

Indian corporate firms over the period 1994-2000. We explain the differences in the dividend payout behavior of the firms … with the help of firm’s financial structure, investments opportunities, dividend history, earnings trend, and the ownership …

dividend taxes will stimulate the economy. …

strategic incentives for either government or regulated entities. Consideration of both exogenous risk (uncontrollable) and … endogenous risk (concerns about policy credibility) suggests that permits should be auctioned several years in advance of use … all risk to be pooled and managed as efficiently as possible within the private sector. For endogenous risk, it creates a …

A family of credit risk models is proposed to capture three salient features of Latin American (LA) Sovereign Bond … risk premia. Evidence in favor of LM is uncovered and the extent of Default Risk Contagion in these markets during the … high and the magnitude of the risk premia for investing in these bond markets is substantial. Our suggested family of …

In the literature, little role is attributed to the country risk conditional volatility in the determination of the … country’s sovereign bonds, raising its country risk levels, is the switch of the expected macroeconomic fundamentals … Brazilian country risk conditional volatility, with special emphasis on Markov switching regimes. Results indicate that the high …