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A universal stress scenario approach for capitalising non-modellable risk factors under the FRTB

Aichele, Martin; Crotti, Marco Giovanni; Rehle, Benedikt - 2021

EU legislators mandated the European Banking Authority to propose a stress scenario methodology for capitalising non … this paper, we present the foundations of such a methodology. By design, it is universally applicable to all kinds of risk … parameters in the methodology, we use a set of skewed generalised 't' (SGT) distributions as a generic tool for describing a wide …

Persistent link: https://www.econbiz.de/10014564969

The EU regulatory framework for market risk and prudent valuation: Are the rules too procyclical? Evidence from the COVID-19 pandemic and the 2022 global energy crisis

Boivin, Stéphane; Crotti, Marco Giovanni; Malikkidou, Despo - 2023

The 2020 COVID-19 pandemic crisis and the 2022 global energy crisis consecutive to Russia's aggression against Ukraine have been unprecedented in several aspects. In the European Union (EU), national governments, as well as European bodies put in place several relief measures to support the EU...

Persistent link: https://www.econbiz.de/10014565189

Stages of the ongoing global financial crisis: Is there a wandering asset-price bubble?

Orlowski, Lucjan T. - 2008

This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns with contagion effects on other financial...

Persistent link: https://www.econbiz.de/10011430817

Are range based models good enough? Evidence from seven stock markets

Dockery, Everton; Efentakis, Miltiadis; Al-Faryan, … - In: Risk Governance and Control: Financial Markets & … 8 (2018) 2, pp. 7-40

We study the performance of range-based models over varying market conditions and compare their performance against a set of alterative risk measurement models, including the more widely used techniques in practice for measuring the Value-at-Risk (VaR) of seven financial market indices. In...

Persistent link: https://www.econbiz.de/10012309474

Market risk and financial performance of non-financial companies listed on the Moroccan Stock Exchange

Kassi, Diby François; Rathnayake, Dilesha Nawadali; … - In: Risks 7 (2019) 1, pp. 1-29

This study examines the effect of market risk on the financial performance of 31 non-financial companies listed on the Casablanca Stock Exchange (CSE) over the period 2000-2016. We utilized three alternative variables to assess financial performance, namely, the return on assets, the return on...

Persistent link: https://www.econbiz.de/10013200438

High frequency price change spillovers in bitcoin markets

Giudici, Paolo; Pagnottoni, Paolo - In: Risks 7 (2019) 4, pp. 1-18

The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...

Persistent link: https://www.econbiz.de/10013200529

Market risk analysis of energy in vietnam

McAleer, Michael - In: Risks 7 (2019) 4, pp. 1-13

The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services, food, and telecommunications, targeted for...

Persistent link: https://www.econbiz.de/10013200530

A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model

Russo, Emilio - In: Risks 8 (2020) 1, pp. 1-22

This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...

Persistent link: https://www.econbiz.de/10013200544

The dynamics of the S&P 500 under a crisis context: Insights from a three-regime switching model

Cerboni Baiardi, Lorenzo; Costabile, Massimo; de … - In: Risks 8 (2020) 3, pp. 1-15

This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...

Persistent link: https://www.econbiz.de/10013200604

Does working capital management influence operating and market risk of firms?

Akbar, Ahsan; Akbar, Minhas; Nazir, Marina; Poulova, Petra - In: Risks 9 (2021) 11, pp. 1-20

Extant empirical studies have predominantly focused on the nexus between working capital management (WCM) and corporate profitability. While there is a dearth of literature on the nexus between WCM and a firm's risk, the present study examines Pakistani-listed firms coming from 12 diverse...

Persistent link: https://www.econbiz.de/10013200863