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Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

Persistent link: https://www.econbiz.de/10013380409

Best-arm identification using extreme value theory estimates of the CVaR

Troop, Dylan; Godin, Frédéric; Yu, Jia Yuan - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-15

We consider a risk-aware multi-armed bandit framework with the goal of avoiding catastrophic risk. Such a framework has multiple applications in financial risk management. We introduce a new conditional value-at-risk (CVaR) estimation procedure combining extreme value theory with automated...

Persistent link: https://www.econbiz.de/10013273036

Extreme values and financial risk

Chan, Stephen; Nadarajah, Saralees - In: Journal of risk and financial management : JRFM 13 (2020) 2/32, pp. 1-3

Persistent link: https://www.econbiz.de/10012173829

Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

Persistent link: https://www.econbiz.de/10012022043

Models for risk aggregation and sensitivity analysis : an application to bank economic capital

Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189

) on the same data-sets across banks, comparing absolute total risk measures (Value-at-Risk – VaR and proportional … diversification benefits-PDB), goodness-of-fit (GOF) of the model as data as well as the variability of the VaR estimate with respect … it is found to be more conservatism and stable than the other models. We observe that ECS produces 20% to 30% higher VaR …

Persistent link: https://www.econbiz.de/10011556126

Editorial note : review papers for Journal of Risk and Financial Management (JRFM)

McAleer, Michael - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-2

The Journal of Risk and Financial Management (JRFM) was inaugurated in 2008 and has continued publishing successfully with Volume 11 in 2018. Since the journal was established, JRFM has published in excess of 110 topical and interesting theoretical and empirical papers in financial economics,...

Persistent link: https://www.econbiz.de/10011855244

Political stability and bank flows: new evidence

Venâncio de Vasconcelos, Mafalda - In: Journal of risk and financial management : JRFM 13 (2020) 3/56, pp. 1-19

In this paper, we use a rich dataset of several countries to analyze how sound political measures affect cross-border bank flows. Furthermore, our work is the first to comprehensively examine various components of political stability on the aforementioned subject using a larger sample than...

Persistent link: https://www.econbiz.de/10012302409

Diversification can control probability of default or risk, but not both

Cadenas, Pedro; Gzyl, Henryk - In: Journal of risk and financial management : JRFM 14 (2021) 2/73, pp. 1-10

One of the controversies of diversification is that it may not be beneficial to banks, as it tends to increase systemic risk. Recent theoretical and empirical work have addressed this problem. We argue, from a theoretical perspective, that this controversy ultimately depends on how risk is...

Persistent link: https://www.econbiz.de/10012484095

VaR and CVaR implied in option prices

Barone-Adesi, Giovanni - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-6

VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option …

Persistent link: https://www.econbiz.de/10011544027

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...

Persistent link: https://www.econbiz.de/10012025262

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