Narrow search
Showing 1 - 10 of 2,341
Cover Image
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
Cover Image
Long- and short-run dynamics between South African hedge funds and the equity market
Santangelo, Michele; Botha, Ilse; Strydom, Nicolaas - In: The journal of wealth management : JWM 24 (2021) 2, pp. 129-151
Persistent link: https://www.econbiz.de/10012613525
Cover Image
Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation
Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20
In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...
Persistent link: https://www.econbiz.de/10012127555
Cover Image
Extreme value theory in emerging markets
Anđeli´c, Goran; Milosev, Ivana; Đakovi´c, Vladimir - In: Economic annals 55 (2010) 185, pp. 63-105
Persistent link: https://www.econbiz.de/10008857149
Cover Image
Corporate treasury market price risk management : a practical approach for strategic decision-making
Al Janabi, Mazin A. M. - In: Journal of corporate treasury management : the official … 3 (2009/10) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10003923840
Cover Image
Extreme value theory in emerging markets : evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija; Karadžić, Vesna - In: Economic annals 60 (2015) 206, pp. 87-116
Persistent link: https://www.econbiz.de/10011421685
Cover Image
Downside risk in emerging markets
Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 49 (2013) 3, pp. 65-83
Persistent link: https://www.econbiz.de/10010200844
Cover Image
On the appraisal of LVaR throughout the close-out period : an investment management outlook from recent global financial crisis
Janabi, Mazin A. M. al - In: International journal of management practice : IJMP 6 (2013) 3, pp. 248-285
Persistent link: https://www.econbiz.de/10009790987
Cover Image
Predictive ability of value-at-risk methods : evidence from the Karachi Stock Exchange-100 index
Iqbal, Javed; Azher, Sara; Ijaz, Ayesha - 2010
Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan's emerging...
Persistent link: https://www.econbiz.de/10011524092
Cover Image
The new hybrid value at risk approach based on the extreme value theory
Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring market risk in the emerging markets. It is...
Persistent link: https://www.econbiz.de/10011503775