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Multi-period mean expected-shortfall strategies : "cut your losses and ride your gains"

Forsyth, Peter; Vetzal, Kenneth R. - In: Applied mathematical finance 29 (2022) 5, pp. 402-438

Persistent link: https://www.econbiz.de/10014323484

Contagion and tail risk in complex financial networks

Abduraimova, Kumushoy - In: Journal of banking & finance 143 (2022), pp. 1-27

Persistent link: https://www.econbiz.de/10013530779

Bounding the Impact of Hazard Interdependence on Climate Risk

Hain, Linda Isabella; Kölbel, Julian; Leippold, Markus - 2023

The severity of extreme weather events is increasing due to climate change, giving rise to physical climate risk. However, physical climate risk is not only driven by the severity of individual hazards, but also by the interdependence of those hazards. This paper establishes bounds for the...

Persistent link: https://www.econbiz.de/10014355193

Are fund managers incentivised to ignore stock market jumps?

Chondrogiannis, Ilias; Freeman, Mark; Vivian, Andrew - In: The European journal of finance 29 (2023) 15, pp. 1793-1823

Persistent link: https://www.econbiz.de/10014388504

Credit valuation adjustment tail risk and the impact of wrong way trades

Skoglund, Jimmy; Vestal, Doug; Chen, Wei - In: Journal of risk management in financial institutions 6 (2012/13) 3, pp. 280-310

Persistent link: https://www.econbiz.de/10010197071

Discussion of "CEO compensation and corporate risk-taking : evidence from a natural experiment"

Armstrong, Christopher - In: Journal of accounting & economics 56 (2013) 2/3, pp. 102-111

Persistent link: https://www.econbiz.de/10010243023

CEO compensation and corporate risk : evidence from a natural experiment

Gormley, Todd A.; Matsa, David A.; Milbourn, Todd - In: Journal of accounting & economics 56 (2013) 2/3, pp. 79-101

Persistent link: https://www.econbiz.de/10010243025

Risk and return in hedge funds and funds-of-Hedge funds : a cross-sectional approach

Lee, Hee Soo - In: Australasian accounting business and finance journal : AABF 6 (2012) 3, pp. 43-64

Persistent link: https://www.econbiz.de/10010244265

Financial crisis and extreme market risks : evidence from Europe

Orłowski, Lucjan T. - In: Review of financial economics : RFE 21 (2012) 3, pp. 120-130

Persistent link: https://www.econbiz.de/10009703032

A comparison of the original and revised Basel market risk frameworks for regulating bank capital

Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 249-268

Persistent link: https://www.econbiz.de/10009708765