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Global risk factor theory and risk scenario generation based on the Rogov-causality test of time series time-warped longest common subsequence
Rogov, Mikhail - In: Financial econometrics and empirical market microstructure, (pp. 263-278). 2015
Persistent link: https://www.econbiz.de/10011326620
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Does risk culture affect banks' volatility? : the case of the G-SIBs
Coluccia, Daniela; Fontana, Stefano; Graziano, Elvira Anna - In: Corporate ownership & control : international … 15 (2017/2018) 1, pp. 33-43
Persistent link: https://www.econbiz.de/10011892948
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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
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How relevant is volatility forecasting for financial risk management?
Christoffersen, Peter F.; Diebold, Francis X. - 1998
Persistent link: https://www.econbiz.de/10001350963
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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
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Bailouts, the Incentive to Manage Risk, and Financial Crises
Panageas, Stavros - 2010
A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the...
Persistent link: https://www.econbiz.de/10013152555
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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
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Bailouts, the Incentive to Manage Risk, and Financial Crises
Panageas, Stavros - 2009
A firm's termination leads to bankruptcy costs. This may create an incentive for outside stakeholders or the firm's debtholders to bail out the firm as bankruptcy looms. Because of this implicit guarantee, firm shareholders have an incentive to increase volatility in order to exploit the...
Persistent link: https://www.econbiz.de/10012463592
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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
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Joint logistics and financial services by a 3PL firm : effects of risk preference and demand volatility
Wang, Fan; Yang, Xiao; Zhuo, Xiaopo; Xiong, Minghua - In: Transportation research / E : an international journal 130 (2019), pp. 312-328
Persistent link: https://www.econbiz.de/10012117895