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An equilibrium-based measure of systemic risk
Ivanov, Katerina; Schulte, James; Tian, Weidong; Tseng, … - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-24
This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we...
Persistent link: https://www.econbiz.de/10012628273
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Time-varying risk and the relation between idiosyncratic risk and stock return
Fu, Chengbo - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-16
This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...
Persistent link: https://www.econbiz.de/10012628441
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The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia : an international perspective
Nieto Domenech, Belen; Rubio, Gonzalo - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-29
Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the...
Persistent link: https://www.econbiz.de/10012813368
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Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns
Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24
This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns …
Persistent link: https://www.econbiz.de/10012813880
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The role of economic uncertainty in UK stock returns
Gao, Jun; Zhu, Sheng; O'Sullivan, Niall; Sherman, Meadhbh - In: Journal of risk and financial management : JRFM 12 (2019) 1/5, pp. 1-16
We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks … of macroeconomic uncertainty compared to previous literature. In contrast to many earlier studies using conventional … principal component analysis to estimate economic uncertainty, we constructed new economic activity and inflation uncertainty …
Persistent link: https://www.econbiz.de/10011961689
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Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … factor interest rate model. It is shown how the whole methodology works in practice, with the implementation of the algorithm … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios …
Persistent link: https://www.econbiz.de/10011552973
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International diversification versus domestic diversification : mean-variance portfolio optimization and stochastic dominance approaches
Abid, Fathi; Leung, Pui-lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 45-66
This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO results imply that the domestic diversification...
Persistent link: https://www.econbiz.de/10011553184
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27
Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...
Persistent link: https://www.econbiz.de/10012872753
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Pricing product options and using them to complete markets for functions of two underlying asset prices
Madan, Dilip B.; Wang, King - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-19
Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...
Persistent link: https://www.econbiz.de/10012626539
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Dynamic conditional bias-adjusted carry cost rate futures hedge ratios
Leistikow, Dean; Tang, Yi; Zhang, Wei - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
-biased carry cost rate hedge ratio, where each is augmented in a different bias-mitigating way. The carry cost rate hedge ratio …
Persistent link: https://www.econbiz.de/10012813322