which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …

Systemic risk is a very important but very complex notion in banking and how to measure it adequately is challenging …. We introduce a new framework for measuring systemic risk by using a risk-adjusted balance sheet approach. The measure … models credit risk of banks as a put option on bank assets, a tradition that originated with Merton. We conceive of an …

-GARCH model allows us to identify, for the two periods, various forms of day of the week effects in returns and volatility … affect the stock markets seasonality. In this paper we investigate the presence of the day of the week effects in returns and … volatility for 32 indexes from advanced and emerging markets. We analyze this seasonality for two periods of time: a relative …

This paper investigates the volatility and correlations of stock returns of some crisis-hit countries such as, US … following two issues: Firstly, to measure the extent of volatility of the stock indices under study and also the correlation of … declines, since these stock markets are commonly exposed to systematic risk(beta). An increasing integration and stronger co …

volatility of prices and returns. At the same time, the leverage has also got a role at both levels: the capital structure of the … quarter by maximizing the value of Sharpe ratio. We analyze the return, the volatility and the Value at Risk (VaR) based on … return, volatility and value at risk (VaR). The high leverage is indicative of having a big role in making worse the …

leverage in affecting the returns and the firm‘s share price volatility in relation to an Islamic finance perspective (IFP … theory, that a portfolio with a higher capital structure has higher volatility and lower returns compared to a portfolio with … significant correlations between capital structure and both returns and volatility, but not necessarily with high debt to assets …

the level of market volatility. Particularly important are the growing share of the links between hedge funds and other … analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study … was calculated the impact of the hedge fund market development measured in assets, leverage, the price volatility in …

The results of return equation exhibit the existence of a positive relationship between return and risk, which … indicates the high risk and explains the dynamics of shareholders behavior, especially on Saturday and Tuesday, where utmost … reduce the return volatility of TASI. From the EGARCH-M models, it is reflected through the leverage effect that negative …

compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to … estimate constant optimal hedge ratios and the dynamic hedging ratios, respectively. Data of the SSFs listed on the London …, conventional OLS method, and dynamic hedging) the dynamic hedging performs the best and that naïve hedge is the worst. …

.e., the hedging effectiveness of currency futures markets. In particular, the present work demonstrates that the futures … markets for British pounds, German marks, and Japanese Yen have been as effective as hedging devices as have some of the long …