We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A …

-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A …. Interestingly in our exchange rate example both structure and parameters vary dynamically. -- copula ; multivariate distribution …

frontier scores are more closely related to risk-taking behavior, managerial competence, and bank stock returns. Based on these …

different results: (a) the average trade potential index poorly represents the distribution of yearly trade potentials; (b) the …

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction … Liquidity Risk Revisited: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of … current relevance and interest in the ongoing state of Global Financial Markets wherein Liquidity Risk is playing a central …

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models … Guided Teams of Quants, Portfolio Managers and Managing Directors: Built Liquidity Risk Modeling System for Deployment by the … all liquidity risk models, methods, and measures.Led project management & scheduling and delivering high quality results …

endpoint of the speed distribution is estimated. The corresponding time can be interpreted as the estimated ultimate world …

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …