This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …

This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …

This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …

explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the … downside market risk associated with investments in precious metals, and to design optimal risk management strategies. We …-parametric Filtered Historical Simulation approach. Different risk management strategies are suggested, and the best approach for …

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … banks could be tempted to use models that underpredict risk, and hence lead to low capital charges. In order to avoid this … excessive violations, thereby suggesting the current penalty structure is not severe enough to control risk management. In …

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is … the expansion of financial derivatives. The purpose of this special issue on “Risk Management and Financial Derivatives … contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional …

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk …. This paper is concerned with market risk management and monitoring under the Basel II Accord, and presents Ten Commandments … for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic …

papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes …

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and … higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this …