Similar Search Results

Sustainable profitability in volatile cyclical markets

Sarraf, Hanna - In: Journal of risk management in financial institutions 13 (2019/2020) 2, pp. 182-189

Persistent link: https://www.econbiz.de/10012250026

Climate change risk : the next frontier in banking risk management

Sarraf, Hanna - In: Journal of risk management in financial institutions 15 (2021/2022) 1, pp. 85-92

Persistent link: https://www.econbiz.de/10013189151

Should Vietnamese banks need more equity? : evidence on risk-return trade-off in dynamic models of banking

Van Dan Dang - In: Journal of risk and financial management : JRFM 12 (2019) 2/84, pp. 1-13

behaviour, aiming at investigating the impact of bank equity on the risk and return of Vietnamese commercial banks during the … period of 2006-2017. The study finds that increasing bank equity is not always the best strategy to be accompanied by …-linear relationship revealing that bank risk mitigates the effect of bank equity on profitability. Most estimations show strong robustness …

Persistent link: https://www.econbiz.de/10012022095

The risk measurement under the variance-gamma process with drift switching

Ivanov, Roman V. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-27

The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial...

Persistent link: https://www.econbiz.de/10012813564

Return based risk measures for non-normally distributed returns : an alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48

Developments in the world of finance have led the authors to assess the adequacy of using the normal distribution assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence, this paper attempts to analyse statistical...

Persistent link: https://www.econbiz.de/10012795821

Market risk calculation for private equity fund-of-funds

Henzler, Jörg; George, Constantine - In: Journal of risk management in financial institutions 11 (2017/2018) 4, pp. 328-360

Persistent link: https://www.econbiz.de/10011980279

Managing the riskiness of defined contribution pension funds in a fair-valuation context

Orlando, Albina; Politano, Massimiliano - In: Journal of risk management in financial institutions 3 (2009/10) 2, pp. 184-193

Persistent link: https://www.econbiz.de/10003963548

The role of models in economics and risk management

Rowe, David M. - In: Journal of risk management in financial institutions 7 (2014) 2, pp. 103-109

Persistent link: https://www.econbiz.de/10010359522

Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...

Persistent link: https://www.econbiz.de/10011545172

Predicting food-safety risk and determining cost-effective risk-reduction strategies

Nganje, William; Burbidge, Linda D.; Denkyirah, Elisha Kwaku - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-18

Food safety is a major risk for agribusiness firms. According to the Centers for Disease Control and Prevention (CDC), approximately 5000 people die annually, and 36,000 people are hospitalized as a result of foodborne outbreaks in the United States. Globally, the death estimate is about 42,000...

Persistent link: https://www.econbiz.de/10012628139