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Assessing probabilities of financial distress of banks in UAE

Zaki, Ehab; Bah, Rahim; Rao, Ananth - In: International Journal of Managerial Finance 7 (2011) June, pp. 304-320

about their financial distress because these financial institutions usually resolve financial distress within their own … organisations, which means that outsiders cannot explicitly observe distress. The purpose of the research is therefore to identify … the main drivers of financial institutions' financial distress. Design/methodology/approach – The paper estimates a …

Persistent link: https://www.econbiz.de/10010610529

Liquidity risk, credit risk, market risk and bank capital

Varotto, Simone - In: International Journal of Managerial Finance 7 (2011) April, pp. 134-152

Purpose – The purpose of this paper is to investigate the relationship between liquidity and credit risk, and employ the findings to estimate the Incremental Risk Charge (IRC), the new credit risk capital add-on introduced by the Basel Committee for banks' trading books. The IRC estimates are...

Persistent link: https://www.econbiz.de/10010610527

Financial flexibility and the impact of the global financial crisis: Evidence from France

Bancel, Franck; Mittoo, Usha R. - In: International Journal of Managerial Finance 7 (2011) April, pp. 179-216

Purpose – The purpose of this study is to gain some insights into how managers perceive and achieve financial flexibility and its value in coping with the 2008 global financial crisis. The study focuses on the following questions: What are the sources and measures of financial flexibility? Do...

Persistent link: https://www.econbiz.de/10010610531

Evaluation of Malaysian mutual funds in the maximum drawdown risk measure framework

Baghdadabad, Mohammad Reza Tavakoli; Glabadanidis, Paskalis - In: International Journal of Managerial Finance 9 (2013) June, pp. 247-270

Purpose – This paper aims to evaluate the risk-adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M-DRM) based on the modern portfolio theory. The purpose is to report the...

Persistent link: https://www.econbiz.de/10010814595

The use of GARCH models for the calculation of minimum capital risk requirements: International evidence

Floros, Christos - In: International Journal of Managerial Finance 3 (2007) October, pp. 360-371

Purpose – The paper seeks to explain volatility and risk (VaR) modelling using data from international financial markets, and particularly to evaluate the performance of minimum capital risk requirements (MCRR) estimates in an out-of-sample period using the bootstrapping approach....

Persistent link: https://www.econbiz.de/10004977781

Value-at-risk under extreme values: the relative performance in MENA emerging stock markets

Maghyereh, Aktham I.; Al-Zoubi, Haitham A. - In: International Journal of Managerial Finance 2 (2006) July, pp. 154-172

Purpose – The paper aims to investigate the relative performance of the most popular value-at-risk (VaR) estimates with an emphasis on the extreme value theory (EVT) methodology for seven Middle East and North Africa (MENA) countries. Design/methodology/approach – The paper calculates tails...

Persistent link: https://www.econbiz.de/10005002472

Effects of the method of payment and the mode of acquisition on performance and risk metrics

Dube, Sema; Glascock, John L. - In: International Journal of Managerial Finance 2 (2006) September, pp. 176-195

Purpose – The purpose of this research is to investigate post-acquisition differences in share and operating performance, and in risk characteristics, for acquirers who pay cash versus those who employ stock, as well as for acquirers who merge with targets as opposed to those who directly...

Persistent link: https://www.econbiz.de/10005002496

Intraday volatility forecasting from implied volatility

Byun, Suk Joon; Rhee, Dong Woo; Kim, Sol - In: International Journal of Managerial Finance 7 (2011) February, pp. 83-100

Purpose – The purpose of this paper is to examine whether the superiority of the implied volatility from a stochastic volatility model over the implied volatility from the Black and Scholes model on the forecasting performance of future realized volatility still holds when intraday data are...

Persistent link: https://www.econbiz.de/10009191083

Value‐at‐risk under extreme values: the relative performance in MENA emerging stock markets

Maghyereh, Aktham I.; Al‐Zoubi, Haitham A. - In: International Journal of Managerial Finance 2 (2006) 2, pp. 154-172

Purpose – The paper aims to investigate the relative performance of the most popular value‐at‐risk (VaR) estimates with an emphasis on the extreme value theory (EVT) methodology for seven Middle East and North Africa (MENA) countries. Design/methodology/approach – The paper calculates...

Persistent link: https://www.econbiz.de/10014785242

Effects of the method of payment and the mode of acquisition on performance and risk metrics

Dube, Sema; Glascock, John L. - In: International Journal of Managerial Finance 2 (2006) 3, pp. 176-195

Purpose – The purpose of this research is to investigate post‐acquisition differences in share and operating performance, and in risk characteristics, for acquirers who pay cash versus those who employ stock, as well as for acquirers who merge with targets as opposed to those who directly...

Persistent link: https://www.econbiz.de/10014785243