Showing 1 - 10 of 52
single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking …
Persistent link: https://www.econbiz.de/10010326212
In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models...
Persistent link: https://www.econbiz.de/10010326321
estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the … how different risk management strategies performed during the 2008-09 global financial crisis. These issues are …
Persistent link: https://www.econbiz.de/10010326358
As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10012611071
Any critical analysis of the corporate financial distress of listed firms in international exchange would be incomplete without a serious dissection at the industry level, because of the different levels of risks concerned. This paper considers the financial distress of listed firms at the...
Persistent link: https://www.econbiz.de/10012611228
See the publication in <I>Mathematics and Computers in Simulation (MATCOM)</I> (2013). Volume 94(C), pages 223-237.<P> In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme...</p></i>
Persistent link: https://www.econbiz.de/10011256711
single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking …
Persistent link: https://www.econbiz.de/10011256871
estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the … how different risk management strategies performed during the 2008–09 global financial crisis. These issues are …
Persistent link: https://www.econbiz.de/10010730243
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily...
Persistent link: https://www.econbiz.de/10010732596
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul tourism, respectively. As it is well...
Persistent link: https://www.econbiz.de/10010732607