Showing 41 - 50 of 84
Purpose – To: evaluate Prospect Theory and Cumulative Prospect Theory as functional models of decision making and risk within various contexts; compare and analyze risk models and decision-making models; evaluate models of stock risk developed by Robert Engle and related models; establish...
Persistent link: https://www.econbiz.de/10005002436
Purpose – This paper aims to investigate how effectively the value at risk (VaR) estimated using the student-t distribution captures the market risk. Design/methodology/approach – Two alternative VaR models, VaR-t and VaR-x models, are presented and compared with the benchmark model (VaR-n...
Persistent link: https://www.econbiz.de/10005002445
Purpose – The aim of this paper is to fill a gap in the foreign-exchange trading risk-management literature and particularly from the perspective of emerging and illiquid markets, such as in the context of the Moroccan foreign-exchange market. Design/methodology/approach – This paper,...
Persistent link: https://www.econbiz.de/10005002446
Purpose – This article aims to examine the state of risk management in agriculture and power sector of India, evaluate the effectiveness of weather derivatives as alternative risk management tools and basic framework required to implement them. Design/methodology/approach – Applications of...
Persistent link: https://www.econbiz.de/10005002451
Purpose – The development of alternative investment has not yet been accompanied by genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors. To fill the gap, in 2004 EDHEC launched an international...
Persistent link: https://www.econbiz.de/10005002452
Purpose – Interest rate risk immunization is one of the key concerns for fixed income portfolio management. In recent years, the affluence of new risk measures has emphasized the importance of comparing them with the classic approaches. As a result, one question arises: what is the relation...
Persistent link: https://www.econbiz.de/10005002453
Purpose – To consider why the law of large numbers does not play a more significant role in determining an insurer's financial leverage. Design/methodology/approach – Insurer-group data show that there is little relationship between an insurer's premium volume and its overall leverage (i.e....
Persistent link: https://www.econbiz.de/10005002454
Purpose – For publicly traded firms, calculating the cost of capital is predicated typically on information from the financial markets. Small businesses do not have the necessary market-based information. As an alternative to traditional proxy approaches, this paper argues for a multi-criteria...
Persistent link: https://www.econbiz.de/10005002457
Purpose – Demonstrates the feasibility of, and introduces a practical approach to enhancing, reinsurance efficiency using index-based instruments. Design/methodology/approach – First reviews the general mathematical framework of reinsurance optimization. Next, illustrates how index-based...
Persistent link: https://www.econbiz.de/10005002466
Purpose – The objective of this paper is to assess the degree to which Islamic banks in Brunei Darussalam use risk management practices (RMPs) and techniques in dealing with different types of risk. Design/methodology/approach – The researcher developed a questionnaire which covers six...
Persistent link: https://www.econbiz.de/10005081138