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Catastrophe effects on stock markets and catastrophe risk securitization

Yang, Charles C.; Wang, Mulong; Chen, Xiaoying - In: Journal of Risk Finance 9 (2008) May, pp. 232-243

Purpose – Conventional wisdom states that catastrophe risk securities show no or little correlation with stock and bond markets, and offer significant attractions to investors providing a good diversification of risks. This study examines the correlation between catastrophe risk securities and...

Persistent link: https://www.econbiz.de/10004987495

Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets

Haque, Mahfuzul; Kouki, Imen - In: Journal of Risk Finance 10 (2009) May, pp. 261-276

Purpose – The purpose of this paper is to examine the volatility effects on the returns for six developed market indices factoring in the unprecedented event of September 11, 2001, hereafter referred to as 9/11, in the USA. It also looks at the correlations between the indices and the risk...

Persistent link: https://www.econbiz.de/10004979811

EU Banking Directives: risk and wealth effects on the Greek financial sector

Pantos, Themis D. - In: Journal of Risk Finance 9 (2008) January, pp. 9-19

Purpose – The paper seeks to examine whether or not wealth effects and changes in the systematic risk associated with the return structure of the Greek commercial chartered banks, investment firms and insurance companies resulted from the passage of the European Union Banking Directives over...

Persistent link: https://www.econbiz.de/10004966287

Safety-first portfolio optimization after September 11, 2001

Haque, Mahfuzul; Varela, Oscar - In: Journal of Risk Finance 11 (2010) January, pp. 20-61

Purpose – The purpose of this paper is to apply safety-first portfolio principles in an environment where financial risk exists because of the probability of terrorist attacks, where the catastrophic events of September 11, 2001 (911) are the focal point of the analysis....

Persistent link: https://www.econbiz.de/10010610658

Safety-first portfolio optimization after September 11, 2001

Haque, Mahfuzul; Varela, Oscar - In: Journal of Risk Finance 11 (2010) January, pp. 20-61

Persistent link: https://www.econbiz.de/10010717488

Foreign-exchange trading risk management with value at risk: Case analysis of the Moroccan market

Janabi, Mazin A.M. Al - In: Journal of Risk Finance 7 (2006) May, pp. 273-291

trading positions. The approach is based on the renowned concept of value at risk (VaR) along with the innovation of a … control reports, in addition to the inception of a practical procedure for the calculation of optimum VaR limits structure … literature has examined the statistical and economic meaning of VaR models, this article provides real-world techniques and …

Persistent link: https://www.econbiz.de/10005002446

Long memory properties and asymmetric effects of emerging equity market: Evidence from Malaysia

Manap, Turkhan Ali Abdul; Kassim, Salina H. - In: Journal of Risk Finance 12 (2011) November, pp. 356-370

Purpose – The purpose of this paper is to examine the long memory property of equity returns and volatility of emerging equity market by focusing on the Malaysian equity market, namely the Kuala Lumpur Stock Exchange (KLSE). Design/methodology/approach – The study adopts the Fractionally...

Persistent link: https://www.econbiz.de/10010720087

Generating historically-based stress scenarios using parsimonious factorization

Bogin, Alexander; Doerner, William - In: Journal of Risk Finance 15 (2014), pp. 591-611

Purpose –This paper aims to describe a robust empirical approach to generating plausible historically based interest rate shocks, which can be applied to any market environment. These interest rate shocks can be readily linked to movements in other key risk factors, and used to measure market...

Persistent link: https://www.econbiz.de/10011082358

An evaluation of alternative scoring models in private banking

Abdou, Hussein A. - In: Journal of Risk Finance 10 (2009) January, pp. 38-53

Purpose – This paper aims to investigate the efficiency and effectiveness of alternative credit-scoring models for consumer loans in the banking sector. In particular, the focus is upon the financial risks associated with both the efficiency of alternative models in terms of correct...

Persistent link: https://www.econbiz.de/10004970226

Beta risk estimation of companies listed on the Ghana stock exchange

Asamoah, Gordon Newlove; Quartey-Papafio, Anthony - In: Journal of Risk Finance 12 (2011) May, pp. 195-207

Purpose – The purpose of this paper is to estimate the Beta Risk Coefficient of 32 listed companies (shares), which are included in the Ghana Stock Exchange (GSE All Share Index). Design/methodology/approach – This research investigated some of the issues that can affect beta estimates (the...

Persistent link: https://www.econbiz.de/10010815067