Purpose – This paper aims to examine the relationship between the conditional variance of the factors from the Fama–French three-factor model and macroeconomic risk, where macroeconomic risk is proxied by the conditional variance for a default risk premium and real gross domestic product...

Purpose – Proposes to investigate the current practices of credit risk management by the largest US-based financial institutions. Owing to the increasing variety in the types of counterparties and the ever-expanding variety in the forms of obligations, credit risk management has jumped to the...

Purpose -This paper aims to evaluate the risk-adjusted performance of US-based international equity funds using objective statistical measures grounded in modern portfolio theory, and to present the results in a manner which is easily understood by the average investor....

Purpose – Aims to examine the currency impact on return, risk and market correlations from the perspective of both dollar and non-dollar-based investments. Design/methodolgy/approach - Monthly data on six stock index series and exchange rates from Financial Times Sources are used, covering the...

Purpose – Tracker funds offer an attractive balance between risk and return, by providing the profit of the index, with the reduced risk associated with the broad market cover. An effectively designed tracker fund will achieve best tracking of the index with minimal running and trading costs....

Purpose – The purpose of this paper is to provide a scenario-based risk measure for a portfolio of European-style derivative securities over a fixed time horizon under the regime switching Black-Scholes economy. Design/methodology/approach – The risk measure is constructed by using the...

Purpose – Aims to examine the currency impact on return, risk and market correlations from the perspective of both dollar and non‐dollar‐based investments. Design/methodology/approach – Monthly data on six stock index series and exchange rates from Financial Times Sources are used,...

Purpose – Proposes to investigate the current practices of credit risk management by the largest US‐based financial institutions. Owing to the increasing variety in the types of counterparties and the ever‐expanding variety in the forms of obligations, credit risk management has jumped to...

Purpose – Tracker funds offer an attractive balance between risk and return, by providing the profit of the index, with the reduced risk associated with the broad market cover. An effectively designed tracker fund will achieve best tracking of the index with minimal running and trading costs....

Purpose – This paper aims to examine the relationship between the conditional variance of the factors from the Fama–French three‐factor model and macroeconomic risk, where macroeconomic risk is proxied by the conditional variance for a default risk premium and real gross domestic product...