Islamic banks differ significantly in that they typically mobilise funds in the form of Profit Sharing Investments Accounts that are remunerated on the basis of sharing the actual returns on assets financed by the investment funds, with the Investment Account Holders. In theory, the profits are...

The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR),...

The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR),...

The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR),...

Our objective consists to study a specific risk called the displaced commercial risk (DCR) that results from the management of PSIA funds.This risk is peculiar to Islamic banks and is considered as a new risk in the banking risk literature. Our aim is to identify and assess the DCR. We develop...

The main challenge by the study of systemic risk is the measurement of contagion that enables the impact of external movement in one market on other markets. One of the main tools that has been proposed for this purpose is the risk measure ∆CoVaR of Adrian and Brunnermeier (2011). This study...