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Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets

Devjak, Srečko; Grum, Andraž - In: Prague Economic Papers 2006 (2006) 4, pp. 364-373

Due to the capital decree legislated by the Bank of Slovenia, Slovenian commercial banks can apply internal models for …

Persistent link: https://www.econbiz.de/10005036506

Portfolio Diversification under Local and Moderate Deviations from Power Laws.

Walden, Johan; Ibragimov, Rustam - 2008

Economics

Persistent link: https://www.econbiz.de/10009431952

Modeling dependency: application to currency

Aw, Ee Ling Grace - 2011

The primary purpose of this dissertation is to investigate the behavior of the elements of the foreign exchange market, the largest financial market in the world. Whilst the market itself is not new, the concept of currency as an alternative asset, is. Apart from growing awareness of the...

Persistent link: https://www.econbiz.de/10009434892

Risk management in the German electricity market : the case of power-trading utility companies

Wittenberg, Stefan - 2010

Modern societies are facing energy and environmental challenges. In a framework of climate change, escalating global energy consumption, declining fossil sources and uncertainties regarding future supply, one key question of the 21st century is how to secure a clean and efficient power...

Persistent link: https://www.econbiz.de/10009461027

The impact of the market risk of capital regulations on bank activities

Eksi, Emrah - 2006

market risk capital regulations on bank capitallevels and derivative activities is investigated. In addition, this study also … review concerning capital regulationsillustrates that in particular the impact of these regulations on bank capital levels … marketrisk. In order to evaluate these approaches, firstly differences on bank VaR practicesare investigated by employing a …

Persistent link: https://www.econbiz.de/10009461296

Portfolio optimization with risk constraints

Gandy, Ralf - 2005

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...

Persistent link: https://www.econbiz.de/10009462193

An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000

Brown, Richard; Sinclair, C. D.; Power, David; … - 2006

This paper seeks to characterize the distribution of extreme returns for US, UK and Japanese equity indices over the years 1963–2000. In particular, the suitability of the following distributions is investigated: Normal, Frechet, Gumbel, Weibull, Generalized Extreme Value (GEV), Generalized...

Persistent link: https://www.econbiz.de/10009463528

Treasury Management Model with Foreign Exchange Exposure

Volosov, K; Mitra, G; Spagnolo, F; Lucas, C A - 2005

In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates...

Persistent link: https://www.econbiz.de/10009465463

Financial Network Systemic Risk Contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2011

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define...

Persistent link: https://www.econbiz.de/10009467134

Four Essays on Measuring Financial Risks

Chiriac, Roxana-Mihaela - 2010

Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...

Persistent link: https://www.econbiz.de/10009471737