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Quantitative methods in economics and finance

Kliestik, Tomas (ed.); Valaskova, Katarina (ed.); … - 2021

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Persistent link: https://www.econbiz.de/10012586709

Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10009748723

Idiosyncratic risk, systematic risk and stochastic volatility : an implementation of Merton's credit risk valuation

Gatfaoui, Hayette - In: Advances in risk management, (pp. 107-131). 2007

Persistent link: https://www.econbiz.de/10003401593

Sensitivity of stress testing metrics to estimation risk, account behaviour and volatility for credit defaults

Djeundje, Viani Biatat; Crook, Jonathan N. - In: Journal of the Operational Research Society 74 (2023) 7, pp. 1763-1774

Persistent link: https://www.econbiz.de/10014336309

How relevant is volatility forecasting for financial risk management?

Christoffersen, Peter F.; Diebold, Francis X. - 1998

Persistent link: https://www.econbiz.de/10001350963

From duration analysis to GARCH models : an approach to systematization of quantitative methods in risk measurement

Jajuga, Krzysztof - In: Economics and business review 2 (2016) 3, pp. 7-19

Persistent link: https://www.econbiz.de/10011634951

Equity and CDS sector indices : dynamic models and risk hedging

Caporin, Massimiliano - In: The North American journal of economics and finance : a … 25 (2013), pp. 261-275

Persistent link: https://www.econbiz.de/10009779255

Equity market information and credit risk signaling : a quantile cointegrating regression approach

Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59

Persistent link: https://www.econbiz.de/10011756467

Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014

Persistent link: https://www.econbiz.de/10011632160

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

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