Similar Search Results

Pricing multi-event-triggered catastrophe bonds based on a copula-POT model

Tang, Yifan; Wen, Conghua; Ling, Chengxiu; Zhang, Yuqing - In: Risks : open access journal 11 (2023) 8, pp. 1-19

The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an...

Persistent link: https://www.econbiz.de/10014370493

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...

Persistent link: https://www.econbiz.de/10011866456

Empirical testing of models of autoregressive conditional heteroscedasticity used for prediction of the volatility of Bulgarian investment funds

Petrova, Mariana; Todorov, Teodor - In: Risks : open access journal 11 (2023) 11, pp. 1-30

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 … models GARCH, EGARCH, GARCH-M and TGARCH with specification (1.1). The research covers the net balance sheet value of forty … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …

Persistent link: https://www.econbiz.de/10014436423

Internet, noise trading and commodity prices

Peri, Massimo; Vandone, Daniela; Baldi, Lucia - 2012

Persistent link: https://www.econbiz.de/10011759934

Asymmetric return and volatility transmission in conventional and Islamic equities

Umar, Zaghum; Suleman, Tahir - In: Risks : open access journal 5 (2017) 2, pp. 1-18

This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion...

Persistent link: https://www.econbiz.de/10011643393

European gasoline markets : price transmission asymmetries in mean and variance

Torrado, María; Escribano, Álvaro - 2020

Persistent link: https://www.econbiz.de/10012158754

Discovering intraday tail dependence patterns via a full-range tail dependence copula

Hua, Lei - In: Risks : open access journal 11 (2023) 11, pp. 1-17

In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a rally thereafter. We also introduce a...

Persistent link: https://www.econbiz.de/10014436379

On the diversification effect in solvency II for extremely dependent risks

Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22

In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...

Persistent link: https://www.econbiz.de/10014370410

Risk modeling and management : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009771092