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An Analytical VaR Approach for Credit Portfolio with Liquidity Horizon and Portfolio Rebalancing
Huang, Haohan - 2014
We provide an analytical VaR approach for the credit portfolio with liquidity horizon and the constant level of risk. Given any time horizon, a two period credit portfolio loss model is derived and, at the end of the first period, the portfolio is rebalanced to ensure a constant level risk of...
Persistent link: https://www.econbiz.de/10013053930
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The impact of US financial uncertainty shocks on emerging market economies : an international credit channel
Choi, Sangyup - In: Open economies review 29 (2018) 1, pp. 89-118
Persistent link: https://www.econbiz.de/10012039082
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Transmission of shocks across global real estate and equity markets : an examination of the 2007-2008 housing crisis
Yunus, Nafeesa - In: Applied economics 50 (2018) 36, pp. 3899-3922
Persistent link: https://www.econbiz.de/10012060163
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Stock returns, mutual fund flows and spillover shocks
Narayan, Paresh Kumar; Narayan, Seema; Prabheesh, K. P. - In: Pacific-Basin finance journal 29 (2014), pp. 146-162
Persistent link: https://www.econbiz.de/10010493980
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Risk aversion, financial stress and their non-linear impact on exchange rates
Adam, Tomáš; Benecká, Soňa; Matěju°, Jakub - 2014
Persistent link: https://www.econbiz.de/10010417727
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Macro-financial linkages in Egypt : a panel analysis of economic shocks and loan portfolio quality
Love, Inessa; Turk Ariss, Rima - In: Journal of international financial markets, … 28 (2014), pp. 158-181
Persistent link: https://www.econbiz.de/10010411569
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Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets
Hammoudeh, Shawkat M.; Yuan, Yuan; McAleer, Michael - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 829-842
Persistent link: https://www.econbiz.de/10003873635
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Effects of macroeconomic shocks to the qualtity of the aggregate loan portfolio
Babouček, Ivan; Jančar, Martin - 2005
Persistent link: https://www.econbiz.de/10003070782
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Shock and volatility spillovers among equity sectors of the gulf Arab stock markets
Hammoudeh, Shawkat M. (contributor); Yuan, Yuan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003780792
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Climate risk and investment in equities in Europe : a panel SVAR approach
Cipollini, Andrea; Parla, Fabio - 2023
Persistent link: https://www.econbiz.de/10014336780