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A risk hedging strategy under the nonparallel-shift yield curve

Gong, Pu; He, Xubiao - In: Physica A: Statistical Mechanics and its Applications 354 (2005) C, pp. 450-462

Under the assumption of the movement of rigid, a nonparallel-shift model in the term structure of interest rates is developed by introducing Fisher & Weil duration which is a well-known concept in the area of interest risk management. This paper has studied the hedge and replication for...

Persistent link: https://www.econbiz.de/10010588517

Dynamics of a financial market index after a crash

Lillo, Fabrizio; Mantegna, Rosario N - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 125-134

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally...

Persistent link: https://www.econbiz.de/10010589340

Statistical models for operational risk management

Cornalba, Chiara; Giudici, Paolo - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 166-172

The Basel Committee on Banking Supervision has released, in the last few years, recommendations for the correct determination of the risks to which a banking organization is subject. This concerns, in particular, operational risks, which are all those management events that may determine...

Persistent link: https://www.econbiz.de/10010589936

On the closed form solutions for non-extensive Value at Risk

Stavroyiannis, S.; Makris, I.; Nikolaidis, V. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3536-3542

We examine possible closed form solutions for the cumulative distribution function for systems where the probability density function can be adequately described by the generalized non-extensive statistics framework. Application to financial time series as a possible Value at Risk technique...

Persistent link: https://www.econbiz.de/10010590466

Portfolio management under sudden changes in volatility and heterogeneous investment horizons

Fernandez, Viviana; Lucey, Brian M. - In: Physica A: Statistical Mechanics and its Applications 375 (2007) 2, pp. 612-624

We analyze the implications for portfolio management of accounting for conditional heteroskedasticity and sudden changes in volatility, based on a sample of weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992–2005. To...

Persistent link: https://www.econbiz.de/10010590736

A dynamical model for forecasting operational losses

Bardoscia, M.; Bellotti, R. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 8, pp. 2641-2655

Risk (VaR) is proposed. The equation of motion takes into account the interactions among different bank’s processes, the … spontaneous generation of losses via a noise term and the efforts made by the bank to avoid their occurrence. Since the model is … very general, it can be tailored on the internal organizational structure of a specific bank by estimating some of its …

Persistent link: https://www.econbiz.de/10011059202

Analysis of Japanese banks’ historical tree diagram

Ueno, Hiromichi; Mizuno, Takayuki; Takayasu, Misako - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 164-168

, we analyze the historical network of banks from 1868 to 2006. Firstly, we define a bank every year by a particle and draw …

Persistent link: https://www.econbiz.de/10011059357