This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework: Basel II, the 2010 version of Basel III and the 2013 version of Basel III. For this purpose, Cantelli's inequality is used to compute theoretical...

COP21 implementation should lead to a decline in the future demand for fossil fuels. One key implication for investors is how to manage this risk. We construct a monthly stock and oil market integration index and demonstrate that oil investors can offset adverse oil price risk by holding...

The COVID-19 pandemic raised the question whether gold and sovereign bonds are a safe haven during epidemics. To this end, this study employs a DCC-GARCH model to analyze the conditional correlations between daily returns of S&P 500 and MSCI Emerging Markets Index with gold and the major...