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useful tool that can be applied for the needs of corporate risk management in the area of the assessment of a firm …’s bankruptcy risk. Using two variants of the division of the research sample into the training and testing sets, it turned out that … variables is necessary for possibly building the most efficient tool for the early warning signs of bankruptcy risk. …
Persistent link: https://www.econbiz.de/10012404180
. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and …This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …
Persistent link: https://www.econbiz.de/10011545172
The primary purpose of the paper is to enable deeper insight into the measurement of economic forecast accuracy. The …
Persistent link: https://www.econbiz.de/10012813241
In this study, we try to examine whether the forecast errors obtained by the ANN models affect the breakout of financial crises. Additionally, we try to investigate how much the asymmetric information and forecast errors are reflected on the output values. In our study, we used the exchange rate...
Persistent link: https://www.econbiz.de/10011545129
Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk …, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio … risk measures are vulnerable to larger skewness and kurtosis of the asset returns. Moreover, the traditional assumption of …
Persistent link: https://www.econbiz.de/10013471488
companies that are at risk of bankruptcy using the DEA method. The originality is the selection of key inputs and outputs to the …
Persistent link: https://www.econbiz.de/10012587360
calculus is based on various types of economic parameters, which are subject to frequent changes and high risk. A risk …
Persistent link: https://www.econbiz.de/10012415456
can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a …
Persistent link: https://www.econbiz.de/10012795821
exponential pattern of the general hyperbolic absolute risk aversion (HARA) utility function that satisfies their respective … study is the construction and development of an optimal compensation agency model for risk management, which is derived by … considering the effect of risk aversion utility on revenue. The proposed model can provide a fair and feasible approach within the …
Persistent link: https://www.econbiz.de/10012485062
entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …
Persistent link: https://www.econbiz.de/10013475240