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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
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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
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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
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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/10010717488
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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
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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
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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
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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
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Risk exposure and corporate financial policy on the Ghana Stock Exchange
Bokpin, Godfred A.; Aboagye, Anthony Q.Q.; Osei, Kofi A. - In: Journal of Risk Finance 11 (2010) May, pp. 323-332
Purpose – The purpose of this paper is to examine the extent to which corporate managers alter their capital structure in response to risk exposures on the Ghana Stock Exchange (GSE). Design/methodology/approach – A panel data covering the period from 2002 to 2007 was employed under the...
Persistent link: https://www.econbiz.de/10010610637
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Solvency analysis and demographic risk measures
Coppola, Mariarosaria; Lorenzo, Emilia Di; Orlando, Albina - In: Journal of Risk Finance 11 (2011) August, pp. 252-269
Purpose – The demographic risk is the risk due to the uncertainty in the demographic scenario assumptions by which life insurance products are designed and valued. The uncertainty lies both in the accidental (insurance risk) and systematic (longevity risk) deviations of the number of deaths...
Persistent link: https://www.econbiz.de/10010610674