Wir untersuchen den Querschnitt von über 1200 Kryptowährungen, gesammelt von 350 Handelsplätzen, in der Zeitspanne von Januar 2014 bis Juni 2020. Im speziellen untersuchen wir, ob weit verbreitete Charakteristika, wie Beta (Fama/MacBeth (1973)), Size (Banz (1981)) oder Momentum...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

The paper examines the return pattern of the Indian stock market and proposes a model for long term investors by maximizing and minimizing the risk. The rolling compounded annual growth rate (CAGR) of the flagship S&P BSE SENSEX index as well as CNX Nifty index is calculated over various...

We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counter-parties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network architecture to endogenously emerge as a...

Typically smaller and less developed than their better-known emerging market (EM) counterparts, frontier market (FM) countries offer attractive long-term growth and diversification potential. However, investors must balance these possible rewards against a host of risks and challenges endemic to...

We investigate the risk and return relationships of stocks, bonds and T-bills over the past six decades in Canada (1958 to 2017) and provide insights on some conventional folklore on a myriad of risk and return issues including investment duration. We also investigate the impact of NAFTA and the...

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...

Political uncertainty drives markets. Among macroeconomic forces, it is one of the fewfactors that systematically affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We employ static and conditional factormodels using data in...

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...