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We study endogenous leverage in a general equilibrium model with incomplete markets. We prove that in any binary tree … different risk aversion. We find two main departures from VaR=0. First, both examples show that with enough heterogeneity among …
Persistent link: https://www.econbiz.de/10013125308
This study arrives at a unifying risk measure for each of risk aversion and risk seeking preferences, a unifying risk … uncertainty is more robust to investment decision making than modeling of evolution of asset risk …
Persistent link: https://www.econbiz.de/10013306996
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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 explore the systemic risk profile of Islamic equity Markets based on …The main challenge by the study of systemic risk is the measurement of contagion that enables the impact of external …
Persistent link: https://www.econbiz.de/10012930465
This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance …, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of …. However, although the ASEAN indexes have higher extreme risk, we find that a portfolio with these indexes has slightly lower …
Persistent link: https://www.econbiz.de/10014305873
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can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the … courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As … a result, the non-technical aspects of risk (such as explanations of various types of financial risk, the driving …
Persistent link: https://www.econbiz.de/10014375303
This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … method is based on dynamic enterprise risk matri- ces. The matrix describes the changes of corporate risk values over the …
Persistent link: https://www.econbiz.de/10010385650