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Establishing national carbon emission prices for China

Chang, Chia-Lin; Mai, Te-Ke; McAleer, Michael - 2018 - Revised: March 2018

is essential to create a procedure for establishing a national carbon emissions price. The regional markets are pioneers …

Persistent link: https://www.econbiz.de/10011813377

Enhancing regional resilience for energy price shocks : efficient gas use and upstream decarbonization

Nijs, Sacha J. den; Thissen, Mark - 2024

resilience. A new spatial revealed cost competition model based on the input-output price model is used and calibrated to multi … regions are resilient to global coal price increases, whereas they are vulnerable to gas price shocks. The transition towards … using less gas in production, by efficiency improvements or electrification, can reduce these gas price vulnerabilities …

Persistent link: https://www.econbiz.de/10015073344

Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013

Persistent link: https://www.econbiz.de/10009756308

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...

Persistent link: https://www.econbiz.de/10011431503

On bubbles in cryptocurrency prices

Oordt, Maarten R. C. van - 2024

cryptocurrency because they expect its price to appreciate merely due to future investment inflows. Investors who participate in a … issuance (e.g., that burn transaction fees) may generate positive aggregate cash flows to investors even if their price path …

Persistent link: https://www.econbiz.de/10014634056

The emerging autonomy-stability choice for stablecoins

Oordt, Maarten R. C. van - 2022

Lawmakers have called for better stablecoin regulation, but authorities tend to have little control over the global operators of distributed ledgers that process stablecoin transactions. This chapter illustrates how peg deviations may occur when the issuer of a fiat-backed stablecoin loses its...

Persistent link: https://www.econbiz.de/10012887902

Forecasting volatility with Copula-based time series models

Sokolinskiy, Oleg; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10009720755

Has the Basel accord improved risk management during the global financial crisis?

McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2013

Persistent link: https://www.econbiz.de/10009724104

Choosing expected shortfall over VaR in Basel III using stochastic dominance

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015

Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of...

Persistent link: https://www.econbiz.de/10011431395

A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...

Persistent link: https://www.econbiz.de/10010532611