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Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures
Chang, Chia-lin; Jiménez-Martín, Juan-Ángel; … - In: Managerial Finance 37 (2011) October, pp. 1088-1106
Purpose – The Basel II Accord requires that banks and other authorized deposit-taking institutions (ADIs) communicate …
Persistent link: https://www.econbiz.de/10010675799
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Evaluating the efficiency of Vietnam banks using data envelopment analysis
Do Thi Thanh Nhan; Pho, Kim-Hung; Anh, Dang Thi Van; … - In: Annals of financial economics 16 (2021) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012657666
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Estimating implied recovery rates from the term structure of CDS spreads
Jaskowski, Marcin; McAleer, Michael - Institute of Economic Research, Kyoto University - 2012
Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...
Persistent link: https://www.econbiz.de/10011255398
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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013
Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...
Persistent link: https://www.econbiz.de/10011256955
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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
McAleer, Michael; Jaskowski, Marcin - Facultad de Ciencias Económicas y Empresariales, … - 2012
Credit risk models should reect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...
Persistent link: https://www.econbiz.de/10010778686
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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
Jaskowski, Marcin; McAleer, Michael - 2013
Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...
Persistent link: https://www.econbiz.de/10010326422
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Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of dimensionality" whereas DCC does not. This is a...
Persistent link: https://www.econbiz.de/10005115640
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Estimating implied recovery rates from the term structure of CDS spreads
Jaskowski, Marcin; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724144
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Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
Caporin, Massimiliano - 2009
Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal quot;curse of dimensionalityquot; whereas DCC does not. This is a...
Persistent link: https://www.econbiz.de/10012719393
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A Tourism Financial Conditions Index
Chang, Chia-Lin; McAleer, Michael; Hsu, Hsu, H-K. - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial...
Persistent link: https://www.econbiz.de/10011149265