Over recent years, study on risk management has been prompted by the Basel committee for regular banking supervisory …. There are however limitations of some widely-used risk management methods that either calculate risk measures under the … fast method, GHICA, which overcomes the limitations in multivariate risk analysis. The idea is to first retrieve …

gaussianity assumption is rejected due to the occurrence of a numberof level and volatility outliers. To improve the fitness of … returns and volatility dynamics of this price showing that a standard ARMA-GARCHframework is not adequate and that the … increases in volume increase volatility even in the absence of changes in what recentliterature considers as market fundamentals …

The trade-off theory on capital structure is tested by modelling the capital structure target asthe solution to a … maximization problem. This solution maps asset volatility and loss givendefault to optimal leverage. By applying nonlinear … determinants. In contrast, theframework applied here allows for a direct test: results confirm the trade-off theory for smalland …

interest rates are low and the risk of disruptions in the global financial system are negligible. We also document that capital …

This paper finds out that the risk exposure of a trader subject to a VaR limit is always lower than that of an …

This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility …

computationally cheap and extremely accurate — most notably in the tail, which is crucial for risk calculations. A simulation study …