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Three processes reflecting persistence of volatility are initially formulated by evaluating three Lévy processes at a time change given by the integral of a mean-reverting square root process. The model for the mean-reverting time change is then generalized to include non-Gaussian models that...
Persistent link: https://www.econbiz.de/10010905341
Risk orientated disclosure is a focal issue of corporate communication. Many provisions have been implemented in the … mandatory risk reporting applying to companies leads to the question whether or how companies are compliant with these … regulations. Nevertheless, the answer implies another question: what is required to be disclosed? And what is risk? We have …
Persistent link: https://www.econbiz.de/10010905363
among firms, the empirical analyses underline the efficiency of the banking instrument as a risk-management tool. …
Persistent link: https://www.econbiz.de/10010706556
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bankruptcies. This article applies extreme value theory results to quantify the extreme downside risk of the S&P 500 stock index in …
Persistent link: https://www.econbiz.de/10010707866
, they are confronted with a relational risk. Nevertheless, little empirical work has been down on relational risk in … alliances. For this reason, this research is founded and constructed on two principal questions: what is relational risk? And … how is this risk to be managed? Design/methodology/approach – From a methodological point of view, neither one paradigm …
Persistent link: https://www.econbiz.de/10010707930
This paper examines seasoned equity offerings in France. Even though a rights offering is the primary flotation method, French companies are increasingly using the relatively expensive public offering method. We show that the market reaction to the announcement of seasoned equity issues is...
Persistent link: https://www.econbiz.de/10010708804
forward and tested an audit risk evaluation model based on fuzzy logic which allowed for a linguistic evaluation of the …
Persistent link: https://www.econbiz.de/10011071933
En 2011, 48% des risk managers prennent leurs fonctions dans le cadre d’une création de poste. La proportion de …. Ces chiffres sont la quantification d’un constat : les structures de « risk management » et de « développement durable …
Persistent link: https://www.econbiz.de/10011072456