This paper proposes a two-regime threshold model for the conditional distribution of stock returns in which returns follow a distinct skewed Student t distribution within each regime: the model allows capturing time variation in the conditional distribution of returns, as well as higher order...

This study derives the quantiles of the standardized generalized t (GT) in terms of a nonlinear equation which contains a regularized incomplete beta function. Then the quantiles are evaluated by utilizing Secant numerical approach to solve this nonlinear equation. Subsequently, the exponential...

We propose a possibilistic portfolio model with VaR constraint and risk-free investment based on the possibilistic mean and variance, while assuming that the expected rate of returns is a fuzzy number. The model shows more clearly that, in the financial market affected by several...

Operational risk is increasingly being recognised as a significant area of risk and regulation, yet there exists relatively little research on it. In this paper we show that operational risk represents a fundamental risk to option hedging and investigate it by proposing a new theoretical model....

The study examines applicability and performance of Value-at-Risk (VaR) models with respect to foreign exchange risk assessment within a managed float regime. Pakistani rupee offers an instructive case as it seems to manage its currency mainly against the US dollar, but to a lesser extent...

The current research on credit risk is primarily focused on modelling default probabilities. Recovery rates are often treated as an afterthought; they are modelled independently, in many cases they are even assumed to be constant. This despite their pronounced effect on the tail of the loss...

In the fast changing financial circumstances of nowadays, in avoiding the crisis of closing down, financial institutions are concerned about the efficiency and risk strictly in the meantime. Therefore, efficiency and risk management are goals for a financial institution administrator. Data...