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What problem is post-crisis QE trying to solve?

Atkinson, Paul E.; Blundell-Wignall, Adrian - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-17

What problem the Fed and other central banks are solving by printing money and letting interest rates fall to zero is the focus of this paper. This activity does not appear to affect nominal GDP or inflation prior to COVID, and yet central bank liabilities have continued to rise. This suggests...

Persistent link: https://www.econbiz.de/10013201344

Variance swap replication: Discrete or continuous?

Le Floc'h, Fabien - In: Journal of Risk and Financial Management 11 (2018) 1, pp. 1-15

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

Persistent link: https://www.econbiz.de/10012610999

Computational finance

Stentoft, Lars - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-4

The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...

Persistent link: https://www.econbiz.de/10012611375

Issues in Islamic derivatives and proposals for reforms in the OTC market in Indonesia

Setiawan, Romi Adetio - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-16

This paper aims to propose reforms to develop the Islamic derivatives transactions in Indonesia's over-the-counter (OTC …) market. It is argued that the use of derivatives instruments is considered non-sharia compliant by the National Sharia Board … of derivatives contracts. Standard doctrinal and comparative approaches are employed in this discursive qualitative …

Persistent link: https://www.econbiz.de/10014332423

Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 118-189

total risk. Third, we estimate and compare alternative established frameworks for risk aggregation (including copula models … implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS …

Persistent link: https://www.econbiz.de/10010699159

Cryptocurrencies, diversification and the COVID-19 pandemic

Allen, David E. - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-25

) and non-parametric copula estimates are applied. The results across this range of measures are consistent. The metrics …

Persistent link: https://www.econbiz.de/10013201406

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the … investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of … 'boom' or 'bust'. Bivariate copula modelling has a rich variety of copulas that may be chosen to represent the modelled …

Persistent link: https://www.econbiz.de/10013201407

Copulas and portfolios in the electric vehicle sector

Stenšin, Andrej; Bloznelis, Daumantas - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-20

distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of …

Persistent link: https://www.econbiz.de/10013201435

Modeling the dependence structure of share prices among three Chinese city banks

Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18

copula models. We use the normal, Student's t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate … show the dynamic dependence structures among three city banks using time-varying copula. …

Persistent link: https://www.econbiz.de/10012611072

Conditional dependence between oil prices and exchange rates in BRICS countries: An application of the copula-GARCH model

He, Yijin; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-25

countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil …

Persistent link: https://www.econbiz.de/10012611099