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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...
Persistent link: https://www.econbiz.de/10011303812
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Thinly traded securities and risk management
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - In: Estudios de economía 41 (2014) 1, pp. 5-48
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...
Persistent link: https://www.econbiz.de/10010385821
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Risk diversification : a study of persistence with a filtered correlation-network approach
Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10011374578
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Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting; Sun, Edward W.; Yu, Min-Teh - In: Computational economics 52 (2018) 2, pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
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Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
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Stock profiling using time-frequency-varying systematic risk measure
Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29
This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...
Persistent link: https://www.econbiz.de/10014289044
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A primer on bond portfolio value at risk
Smith, Donald J. - In: Advances in financial education : journal of the … 7 (2009) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10003893949
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Delta-Normal value at risk using exponential duration with convexity for measuring government bond risk
Maruddani, Di Asih I; Abdurakhman Abdurakhman - In: DLSU business & economics review 31 (2021) 1, pp. 72-80
Persistent link: https://www.econbiz.de/10013472258
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Assessing the market risk on the government debt of Kazakhstan and Bulgaria in conditions of turbulence
Em, Olga; Georgiev, Georgi; Radukanov, Sergey; Petrova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-18
. The duration method was used in the calculation of Delta normal bond VaR and CVaR. It was found that with the same credit …–two indicators measuring linearly the sensitivity of bond prices to changes in market interest rates (Weighted average Macaulay … variants (SR Undiversified VaR, SR Diversified VaR, and SR Diversified CVaR). When evaluating the bond portfolio VaR and CVaR …
Persistent link: https://www.econbiz.de/10013359115
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Risk exposure in ESG-driven portfolios : a wavelet study within the tail-concerned insurance sector
Jareño, Francisco; Esparcia, Carlos; Fantini, Giulia - In: Finance research letters 67 (2024) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10015062482