Purpose – The purpose of this paper is to provide an insight of Islamic securitization based on sukuk structures. Design/methodology/approach – Descriptive, analytical, and comparative analyses are used to discuss the risk-sharing behaviour in Islamic securitization through different...

This paper aims to determine if during the recent European financial crisis European markets are efficient in the weak form, as well to introduce an approach to properly predict daily risk of portfolios composed by these market assets, considering their dependence structure. We use daily data...

In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through Pair Copula Construction. We use daily data from indices which represent telecommunications, energy, industrials, consumer, financial, basic materials and real estate sectors in...

Purpose – The purpose of this paper is to assess key issues in measurement and management of operational risk in Malaysian Islamic banks. Design/methodology/approach – Descriptive, analytical, and comparative analyses are used to discuss the issues of operational risk in Islamic bank through...

This paper proposes an approach based on copula families to determine shape and magnitude of non-linear serial and cross-interdependence between returns and volatilities of financial assets. It is evident the predominance of the student’s t copula in returns relationships. Association in tails...