We introduce a new framework to integrate liquidity risk, funding risk and market risk, which goes beyond the simple bid-ask spread overlay to a VaR number. In our approach, we overlay a whole distribution of liquidity uncertainty to each future market-risk scenario. Then we allow for the...

The return dynamics of Argentina's main stock index, the SP Mer.Val., show a high level of volatility, signaling a higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the Argentinean capital markets lacks variety of hedging contracts....

A novel approach for stress-testing (portfolios of) financial assets is presented. The technique extends the parametric Entropy Pooling approach to skewed and thick-tailed markets. The technique rests on a copula-marginal decomposition for the entropy together with several approximation schemes...

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

Purpose - In a meta-study, we have bridged the gap between the pros and cons of a questionable finance-growth nexus. Design/methodology/approach - Over 20 fundamental characteristics that have influenced the debate over the last decades have been examined. The empirical evidence is based on 196...

Purpose - In a meta-study on the finance-growth nexus, we have bridged the gap between Schumpeterian authors and sympathizers of a questionable finance-growth nexus. Design/methodology/approach - Over 20 fundamental characteristics that have influenced the debate over the last decades have been...

This paper develops a model of the Chinese economy using a DSGE framework that accommodates a banking sector and money. The model is used to shed light on the period of the recent period of financial crisis. It differs from other applications in the use of indirect inference to estimate and test...

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...

Arbitrage pricing model (APT) is one of the models that describe risk of investment on the capital market. The model has been widely used in the developed economies. The paper presents an application of the APT model on the Polish capital market, in particular on the stock investment funds. The...

Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second...