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Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"
Forsyth, Peter A.; Vetzal, Kenneth R. - In: Applied mathematical finance 29 (2022) 5, pp. 402-438
Persistent link: https://www.econbiz.de/10014323484
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Risk management for sustainable sovereign debt financing
Zenios, Stauros Andrea; Consiglio, Andrea; … - In: Operations research 69 (2021) 3, pp. 755-773
Persistent link: https://www.econbiz.de/10012546866
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From me to you : measuring connectedness between Eurozone financial institutions
Foglia, Matteo; Angelini, Eliana - In: Research in international business and finance 54 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012549855
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Foreign vulnerabilities, domestic risks : the global drivers of GDP-at-Risk
Lloyd, Simon; Manuel, Ed; Panchev, Konstantin - 2021
Persistent link: https://www.econbiz.de/10012795156
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Exposure to catastrophe risk and use of reinsurance : an empirical evaluation for the U.S.
Drexler, Alejandro; Rosen, Richard Joseph - In: The Geneva papers on risk and insurance - issues and … 47 (2022) 1, pp. 103-124
Persistent link: https://www.econbiz.de/10012797129
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Measuring the risk of Chinese Fintech industry : evidence from the stock index
Yao, Yinhong; Li, Jianping; Sun, Xiaolei - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805037
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Macroeconomic and financial risks : a tale of mean and volatility
Caldara, Dario; Scotti, Chiara; Zhong, Molin - 2021
Persistent link: https://www.econbiz.de/10012700481
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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
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Procyclicality control in risk-based margin models
Wong, Lauren W.; Zhang, Yang - In: Journal of risk 23 (2021) 5, pp. 79-102
Persistent link: https://www.econbiz.de/10012630871
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Bank liquidity creation and systemic risk
Davydov, Denis; Vähämaa, Sami; Yasar, Sara - In: Journal of banking & finance 123 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012662384