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. …

paradox, risk aversion and other well-known fundamental problems. For a long time, this opinion was a barrier to proper …

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …

enabling investigation at different return intervals. For some portfolios, the relative risk positions indicated by systematic … timescales. The beta risk is priced in the up and down markets and the co-kurtosis is not. Co-skewness does not appear to be …

extended to include market risk measurements for n countries. Exploiting a selection matrix based on the cash accounting … return-risk attribution accounting framework is applied to monthly return data of Hong Kong, Indonesia, Japan, Malaysia, the … of the Asian currency crisis of July - December 1997. The USA and Germany are included as alternative low risk strategic …