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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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A look back at the 2008 financial crisis : the disconnect between credit and market risks
Obi, Pat; Choi, Jeong-gil; Sil, Shomir - In: Finance a úvěr 60 (2010) 5, pp. 400-413
Persistent link: https://www.econbiz.de/10009009407
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10009310942
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A bibliometric study of financial risk literature : a historic approach
Chiang, Chun-hao; Yang, Jian-min - In: Applied economics 44 (2012) 22/24, pp. 2827-2839
Persistent link: https://www.econbiz.de/10009616454
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Optimising a mining portfolio using CVaR
Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011
Persistent link: https://www.econbiz.de/10009410472
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Risk management in emerging markets : issues, framework, and modeling
Boubaker, Sabri (ed.); Buchanan, Bonnie (ed.);  … - 2016 - First edition
Persistent link: https://www.econbiz.de/10011520743
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Unique risks of Islamic modes of finance : systemic, credit and market risks
Kayed, Rasem N.; Mohammed, Kassim M. - In: Journal of Islamic economics, banking and finance 5 (2009) 3, pp. 9-34
Persistent link: https://www.econbiz.de/10008936071
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Risk Management in Emerging Markets : Issues, Framework, and Modeling
Boubaker, Sabri - 2016
This book addresses three main dimensions of risk management in emerging markets: 1) the effectiveness of risk management practices; 2) current issues and challenges in risk assessment and modelling in emerging market countries; 3) the responses of emerging markets to the recent financial crises...
Persistent link: https://www.econbiz.de/10012682525
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Capital constraints, counterparty risk, and deviations from covered interest rate parity
Coffey, Niall; Hrung, Warren B.; Sarkar, Asani - 2009 - Rev.
Federal Reserve to foreign central banks via reciprocal currency arrangements (swap lines) reduced CIP deviations. In … particular, the announcement on October 13, 2008, that the swap lines would become unlimited reduced CIP deviations substantially … ; counterparty credit risk ; central bank currency swap lines ; financial crisis ; foreign exchange …
Persistent link: https://www.econbiz.de/10003947651
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Asset securitizations and credit default swaps
Zhang, John Ziyang - In: Financial markets, institutions & instruments 23 (2014) 4, pp. 211-243
Persistent link: https://www.econbiz.de/10010516103