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Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013

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

GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies

Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - 2013

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

Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - 2013

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

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25

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

Corporate financial distress of industry level listings in Vietnam

McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-17

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