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Should risk-averse investors target the portfolios of socially responsible companies?
Valls Martínez, María del Carmen; Soriano Román, Rafael - In: Oeconomia Copernicana 13 (2022) 2, pp. 439-474
Persistent link: https://www.econbiz.de/10013347093
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Measuring dynamic market risk charge for market risks
Rahim, Norhana Abd.; Tafri, Fauziah Hanim - In: International journal of economics, finance and … 1 (2013) 3, pp. 175-180
Persistent link: https://www.econbiz.de/10010251805
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Risk model backtesting
Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011520321
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Comparison of market risk models with respect to suggested changes of Basel accord
Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274
Persistent link: https://www.econbiz.de/10010474360
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Assessing market risk of Indian index funds
Biswas, Suparna; Dutta, Santanu - In: Global business review 16 (2015) 3, pp. 511-523
Persistent link: https://www.econbiz.de/10011409306
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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions
Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85
The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...
Persistent link: https://www.econbiz.de/10012302139
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Volatility and market risk of the pork market in China
Pan, Wei-Fong - In: The empirical economics letters : a monthly … 15 (2016) 7, pp. 697-704
Persistent link: https://www.econbiz.de/10011655819
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011674278
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The effect of credit risk, market risk, and liquidity risk on financial performance indicators of the listed banks on Tehran Stock Exchange
Abdellahi, Sayed Amin; Mashkani, Abolfazl Jannati; … - In: American journal of finance and accounting 5 (2017) 1, pp. 20-30
Persistent link: https://www.econbiz.de/10011834000