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Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of...

Persistent link: https://www.econbiz.de/10013201035

Make the best from comparing conventional and Islamic asset classes: A design of an all-seasons combined portfolio

Foglie, Andrea Delle; Pola, Gianni - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-17

This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus, this paper tests the performance of a...

Persistent link: https://www.econbiz.de/10013201168

Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Walther, Thomas - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find...

Persistent link: https://www.econbiz.de/10012611007

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of Risk and Financial Management 6 (2013) 1, pp. 6-30

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...

Persistent link: https://www.econbiz.de/10011843238

EU stock markets vs. Germany, UK and US: Analysis of dynamic comovements using time-varying DCCA correlation coefficients

Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-23

For this paper, we dynamically analysed the comovements between three major stock markets-Germany, the UK, and the US-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were...

Persistent link: https://www.econbiz.de/10012611320

Crypto-coins and credit risk: Modelling and forecasting their probability of death

Fantazzini, Dean - In: Journal of Risk and Financial Management 15 (2022) 7, pp. 1-34

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice; alternative forecasting...

Persistent link: https://www.econbiz.de/10014332505

Bankruptcy prediction with the use of data envelopment analysis: An empirical study of Slovak businesses

Štefko, Róbert; Horváthová, Jarmila; Mokrišová, … - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-15

compared with the Logit model to determine the reliability of the DEA method. Also, an optimal cut-off point for the ADD model … and Logit model was determined. The main conclusion is that the DEA method is a suitable alternative for predicting the … failure of the analysed sample of businesses. In contrast to the Logit model, its results are independent of any assumptions …

Persistent link: https://www.econbiz.de/10012611423

A bibliometric analysis of machine learning econometrics in asset pricing

Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17

Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...

Persistent link: https://www.econbiz.de/10014332691

Explainable AI for credit assessment in banks

de Lange, Petter Eilif; Melsom, Borger; Vennerød, … - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-23

Banks' credit scoring models are required by financial authorities to be explainable. This paper proposes an explainable artificial intelligence (XAI) model for predicting credit default on a unique dataset of unsecured consumer loans provided by a Norwegian bank. We combined a LightGBM model...

Persistent link: https://www.econbiz.de/10014332712

Predicting volatility based on interval regression models

Qu, Hui; He, Mengying - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-21

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more informative price interval data and building interval regression models for volatility forecasting. To characterize the heterogeneity of the market and the nonlinearity of...

Persistent link: https://www.econbiz.de/10014332720

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