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Crypto portfolio optimization through lens of tail risk and variance measures

Tomić, Bojan; Žiković, Saša; Jovanović, Lorena - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 40 (2022) 2, pp. 297-312

Persistent link: https://www.econbiz.de/10013538925

Risk models with dependence between claim occurrences and severities for Atlantic hurricanes

Boudreault, Mathieu; Cossette, Hélène; Marceau, Étienne - In: Insurance / Mathematics & economics 54 (2014), pp. 123-132

Persistent link: https://www.econbiz.de/10010259659

The Value of Risk : Measuring the Service Output of U.S. Commercial Banks

Basu, Susanto; Inklaar, Robert; Wang, J. Christina - 2021

of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find …

Persistent link: https://www.econbiz.de/10013224418

The Value of Risk : Measuring the Service Output of U.S. Commercial Banks

Basu, Susanto - 2008

of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find …

Persistent link: https://www.econbiz.de/10012464032

A comprehensive analysis of the effects of risk measures on bank efficiency

Sun, Lei; Chang, Tzu-pu - In: Studies on contemporary China, (pp. 43-64). 2018

Persistent link: https://www.econbiz.de/10011956932

Impact of foreign institutional investments on domestic stock market : an evidence from Indian stock market

Dhade, Aruna; Kulshreshth, Risha - In: Paradigm : the journal of Institute of Management Technology 11 (2007) 1, pp. 57-66

Persistent link: https://www.econbiz.de/10003629895

An extreme value approach to estimating volatility and value at risk

Bali, Turan G. - In: The journal of business : B 76 (2003) 1, pp. 83-108

Persistent link: https://www.econbiz.de/10001743598

Dealer capacity and U.S. treasury market functionality

Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023 - Revised October 2023

We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet...

Persistent link: https://www.econbiz.de/10014393396

Dealer capacity and US treasury market functionality

Duffie, Darrell; Fleming, Michael J.; Keane, Frank; … - 2023

Persistent link: https://www.econbiz.de/10014414405

Implications of expanding bank powers into securities activities : Section 20 subsidiaries

Geyfman, Victoria - 2005

Persistent link: https://www.econbiz.de/10003384489

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