Purpose – The purpose of this paper is to examine the risk management practices of life assurance firms and non-life insurance firms. Design/methodology/approach – Through a comparative case study methodology, the study assesses the state of risk management in both life assurance companies...

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

This paper examines the effect of risk on bank performance in Ghana. A panel data analysis of 18 banks over the period 1997-2008 is used in the study. The results show that lower risk levels lead to an increase in bank performance. In addition, the results show that when ownership interacts with...

Purpose – This paper reports on the foreign exchange risk-management practices among Ghanaian firms involved in international trade. The study focuses on how Ghanaian firms manage their foreign exchange risk and the problems involved in managing exchange rate exposure. It also seeks to...

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...

We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that...

Purpose – The purpose of this study is to examine the relationship between regulation of non-bank financial institutions and their risk-taking behaviours in Ghana. Design/methodology/approach – The analysis is performed using data derived from the Bank of Ghana Database during a five-year...

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that...

Purpose – This paper aims to evaluate the effect of risk on the financial policy of emerging market firms. Design/methodology/approach – Using data from 34 emerging markets during a 17-year period, 1990-2006, a panel data model is employed for the analysis. Findings – The results of this...