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Modeling and simulating cross country banking contagion risks

Zedda, Stefano; Spinace-Casale, Antonella - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive … data from the BIS and IMF, the possible outcome of domestic crises and how contagion spreads over countries. Results allow … affect each other country by contagion, signaling the importance of financial interdependence between some neighboring …

Persistent link: https://www.econbiz.de/10012626421

Forecasting volatility : evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

The purpose of this paper is to evaluate the forecasting performance of linear and non-linear generalized autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy for the Tadawul All Share Index (TASI) and the Tadawul...

Persistent link: https://www.econbiz.de/10011960525

Quantile risk-return trade-off

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

Volatility spillovers among developed and developing countries : the global foreign exchange markets

Mohammed, Walid Abass - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-30

-2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi …

Persistent link: https://www.econbiz.de/10012605811

The determinants of credit risk : an evidence from ASEAN and GCC Islamic banks

Faridah Najuna Misman; Bhatti, Muhammad Ishaq - In: Journal of risk and financial management : JRFM 13 (2020) 5/89, pp. 1-22

In less than a decade, the Islamic Banking (IB) industry has become an essential part of the global financial system. During the last ten years, the IB industry has witnessed changes in economic conditions and proved to be resilient during the periods of financial crisis. This paper aims to...

Persistent link: https://www.econbiz.de/10012304690

Has "too big to fail" been solved? : a longitudinal analysis of major U.S. banks

Thosar, Satish; Schwandt, Bradley - In: Journal of risk and financial management : JRFM 12 (2019) 1/24, pp. 1-14

In the wake of the global financial crisis that erupted in 2008, there has been extensive commentary and regulatory focus on the 'Too Big to Fail' issue. In this paper, we survey the proposed solutions and regulatory initiatives that have been undertaken. We conduct a longitudinal analysis of...

Persistent link: https://www.econbiz.de/10012022346

Empirical estimation of intraday yield curves on the Italian interbank credit market e-MID

Demertzidis, Anastasios; Jeleskovic, Vahidin - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-23

This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include...

Persistent link: https://www.econbiz.de/10012534603

International capital flows and speculation

Hayward, Rob; Gregoriou, Andros - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12

In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause...

Persistent link: https://www.econbiz.de/10012533969

Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index

Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

Persistent link: https://www.econbiz.de/10014284076

A mean-variance diagnosis of the financial crisis : international diversification and safe havens

Eptas, Alexander; Leger, Lawrence A. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 97-117

We use mean-variance analysis with short selling constraints to diagnose the effects of the recent global financial crisis by evaluating the potential benefits of international diversification in the search for ‘safe havens’. We use stock index data for a sample of developed,...

Persistent link: https://www.econbiz.de/10011556006

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