Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …

various frequencies, we define a \textit{quantile spectral} beta representation that characterizes asset's risk generally … market risk that captures dependence between extremely low market and asset returns. Second, extreme market volatility risk … as daily data. These results suggest that both frequency-specific tail market risk and extreme volatility risk are priced …

-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model …

assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset … the test. The test is applied to intraday financial data to determine whether the linear span of assets' systematic risk …

a decrease in bank equity risk. We show theoretically, that keeping less capital in excess of the minimum capital … requirement can outweigh the risk-reducing effect on equity of increased total capitalization. Empirically, we find that excess … capitalization is a significant determinant of equity risk, and can explain why bank equity risk has not become lower after the Great …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …