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Energy portfolio risk management using time-varying copula methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni; Ghorbel, Ahmed; Khoufi, Walid - In: American journal of finance and accounting 5 (2018) 4, pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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Measurement of operational risk regulatory capital in the banking sector : developed countries versus emerging markets
Hassanein, Medhat; Bouaddi, Mohammed; Karim, Talha - In: The journal of operational risk 16 (2021) 1, pp. 12-43
Persistent link: https://www.econbiz.de/10013168027
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Dependency between risks and the insurer's economic capital : a copula-based GARCH model
Shim, Jeungbo; Lee, Seung-Hwan - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011671161
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Alternative capital requirement for insurers : possibilities and issues
Zariņa, Ilze; Voronova, Irina; Pettere, Gaida - In: International journal of economics and business … 21 (2021) 1, pp. 41-61
Persistent link: https://www.econbiz.de/10012508726
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Can cryptocurrencies be a safe haven : a tail risk perspective analysis
Feng, Wenjun; Yiming, Wang; Zhang, Zhengjun - In: Applied economics 50 (2018) 44, pp. 4745-4762
Persistent link: https://www.econbiz.de/10012061627
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The risk premium of gold
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
bond markets, and investigate the role of gold as a hedge and safe haven asset from an ex-ante point of view. The results … show that gold is not expected to serve as hedge and safe haven for the bond and stock markets, but it is so realized ex …-post. Further, we find that gold is neither expected to be an inflation hedge nor is it realized. …
Persistent link: https://www.econbiz.de/10011751138
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Are gold, USD, and Bitcoin hedge or safe haven against stock? : the implication for risk management
Sharma, Udayan; Karmakar, Madhusudan - In: Review of financial economics : RFE 41 (2023) 1, pp. 43-64
Persistent link: https://www.econbiz.de/10014278639
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Paths and indices of maximal tail dependence
Furman, Edward; Su, Jianxi; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 661-678
Persistent link: https://www.econbiz.de/10011397592
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A directional multivariate value at risk
Torres, Raúl; Lillo, Rosa E.; Laniado, Henry - In: Insurance / Mathematics & economics 65 (2015), pp. 111-123
Persistent link: https://www.econbiz.de/10011422886