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The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - 2005

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …

Persistent link: https://www.econbiz.de/10010295895

Contingent reserves management: An applied framework

Caballero, Ricardo; Panageas, Stavros - 2005

One of the most serious problems that a central bank in an emerging market economy can face is the sudden reversal of capital inflows. Hoarding international reserves can be used to smooth the impact of such reversals, but these reserves are seldom sufficient and always expensive to hold. In...

Persistent link: https://www.econbiz.de/10010280879

The Greek equity market in European equity portfolios

Vortelinos, Dimitrios I. - In: Economic modelling 49 (2015), pp. 144-153

Persistent link: https://www.econbiz.de/10011439510

Do BRIC countries' equity markets co-move in long run?

Amanjot Singh; Kaur, Parneet - In: Theoretical economics letters 6 (2016) 2, pp. 119-130

Persistent link: https://www.econbiz.de/10011545444

Dynamic asset allocation

Madhogarhia, Pawan K.; Lam, Marco - In: The journal of asset management 16 (2015) 5, pp. 293-302

Persistent link: https://www.econbiz.de/10011416515

Innovative currency risk management : the new life of the monetary model

Dupuy, Philippe; Adjriou, Abdelak - In: The journal of asset management 16 (2015) 6, pp. 374-385

Persistent link: https://www.econbiz.de/10011416625

Knowledge creation and application in technology collaboration portfolio : two cases in China

Liu, Yang; Ying, Ying; Fagerlin, Wen Pan - In: Chinese management studies : CMS 9 (2015) 4, pp. 571-588

Persistent link: https://www.econbiz.de/10011507827

To overcome the challenges thrown by govalisation by benchmarking with a special reference to banking sector : a case study

Garg, Ajay K.; Sandhu, Parneet K. - In: International journal of process management and … 5 (2015) 3, pp. 280-297

Persistent link: https://www.econbiz.de/10011525583

Relationship between major developed equity markets and major : frontier equity markets of world

Baig, Muhammad Mansoor; Bilal, Muhammad; Aslam, Waheed - In: Acta Universitatis Danubius / Oeconomica 12 (2016) 1, pp. 182-196

Persistent link: https://www.econbiz.de/10011527086

Long-term strategic asset allocation : an out-of-sample evaluation

Diris, Bart; Palm, Franz C.; Schotman, Peter C. - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2185-2202

Persistent link: https://www.econbiz.de/10011372433

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