This paper investigates the reputational risk measurement in banking using a simple model that integrates random … effects and Logit models. The pricing theory is outlined to include risk determinant factors as well as negative news for … increase risk in Brazilian banks, particularly by creating rumors that may trigger bank runs or other reputational problems …

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 …

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 …

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 …