In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...

The recurrent economic and financial crises expose the state, enterprises, and households to a range of financial risks and negative financial consequences. As a result, governments are seeking the most efficient measures of legal regulation and other measures ensuring financial security in...

A retiree with a savings account balance, but without a pension, is confronted with an important investment decision that has to satisfy two conflicting objectives. Without a pension, the function of the savings is to provide post-employment income to the retiree. At the same time, most retirees...

Basel III regulation intent is to increase the resiliency of banks through effective risk management practices that can reduce significant idiosyncratic operational losses. A systemic risk event that leads to significant losses in a bank holding company (BHC) can expose them to become insolvent...

In this study, we explore the emerging derisking phenomenon by identifying and analysing the main factors that are affected by, and the implications of, the derisking process by focusing on the key drivers and implications of derisking specific to Malta. To do this, we carried out 32 interviews...

China and the international monetary system need each other. The international monetary system is strained, with crisis just around the corner, yet reform is not on anyone's agenda. Meanwhile China, deeply invested in the current system, faces narrowing options as trading partners question its...

We examine the global legal entity identifier (LEI) system for the identification of participants in financial markets. Semi-structured interviews with data professionals revealed the many ways in which the LEI can improve both business process efficiency, and counterparty and credit risk...

Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models...

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...