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Asset liability management and interest rate risk in Solvency II : an empirical study

Herold, Wolfgang; Wirth, Martin - In: Asset-liability management with ultra-low interest …, (pp. 71-85). 2015

Persistent link: https://www.econbiz.de/10011302884

A liquidation risk adjustment for value at risk and expected shortfall

Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10011889543

Redemptions and asset liquidations in corporate bond funds

Dötz, Niko; Weth, Mark - 2019

Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back … to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship … and the liquidity management of funds in the presence of net redemptions. We highlight the response of fund liquidity …

Persistent link: https://www.econbiz.de/10012268205

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

A probabilistically constrained extension of the integrated portfolio investment model

Ondra, Matthias; Hilscher, Christoph - In: Energy reports 6 (2020) 1, pp. 261-266

In recent years, new methods concerning risk mitigation techniques in energy planning strategies have become popular. Delarue et al. introduced the integrated portfolio investment model to account for supply-demand constraints. This paper proposes a model which is suitable to the energy...

Persistent link: https://www.econbiz.de/10012176935

Effect of the time to maturity on the risk of the covered call strategy

Dziawgo, Ewa - In: Eurasian economic perspectives : proceedings of the …, (pp. 67-75). 2020

This chapter illustrates the selected issues connected with the covered call strategy: the strategy design, the impact of certain variables (the price of the underlying asset and time to expiration (maturity) on the performance of the values of the ratios delta, gamma, vega, theta, and rho....

Persistent link: https://www.econbiz.de/10012793374

ESG default risk mitigation effect : a time-sectorial analysis

Palmieri, Egidio; Geretto, Enrico Fioravante; Polato, … - In: New Challenges for the Banking Industry : Searching for …, (pp. 79-98). 2023

Persistent link: https://www.econbiz.de/10014322459

Commercial real estate, distress and financial resolution : portfolio lending versus securitization

Downs, David H.; Xu, Pisun - In: The journal of real estate finance and economics 51 (2015) 2, pp. 254-287

Persistent link: https://www.econbiz.de/10011475087

Regulating risky assets liquidity

Rieu-Foucault, Anne-Marie - In: Revue d'économie politique 128 (2018) 5, pp. 883-914

Persistent link: https://www.econbiz.de/10012266626

Shock amplification in an interconnected financial system of banks and investment funds

Sydow, Matthias; Schilte, Aurore; Covi, Giovanni; … - In: Journal of financial stability 71 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10014533535

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