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Big banks, idiosyncratic volatility, and systemic risk

Fernholz, Ricardo T.; Koch, Christoffer - In: The American economic review 107 (2017) 5, pp. 603-607

Persistent link: https://www.econbiz.de/10011786211

The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies

McMillan, David G.; McMillan, Fiona J. - In: Journal of international financial markets, … 47 (2017), pp. 103-113

Persistent link: https://www.econbiz.de/10011892256

Risks in banks and its impact on volatility of market returns : an empirical approach

Singh, Prakash; Kumar, Sukriti - In: International journal of Indian culture and business … 17 (2018) 2, pp. 125-138

Persistent link: https://www.econbiz.de/10011960165

Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management

Tsuji, Chikashi - In: International review of financial analysis 70 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012318292

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - In: Applied economics 53 (2021) 55, pp. 6376-6397

Persistent link: https://www.econbiz.de/10012697913

Do the underlying portfolios matter? : a comparative study of equity-linked pay-at-maturity principal protected notes in Canada and the UK

Li, Yuanshun; Anderson, Scott; McGraw, Patricia A. - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-20

protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in … the UK and Canada between 2003 and 2015. We find that: (i) the underlying portfolio’s mean return decreases the note … holding cost; (ii) the underlying portfolio’s volatility increases the note return and decreases the note holding cost; (iii …

Persistent link: https://www.econbiz.de/10013471220