We investigate different methods for computing value-at-risk for nonlinear portfolios by applying them to portfolio compositions containing various option structures. Surprisingly, even for optioned portfolios, the results from relatively crude approximations such as the delta-normal method do...

Purpose - This research aims to analyse the variables related to the purchase intention of COVID-19 rapid tests in Monterrey, Mexico's metropolitan area. Design/methodology/approach - The chosen method was probit regression. The results show that purchase intention depends on the consumer's...

We study the extremal dependence of market and liquidity risk, the former beingmeasured through the market return and the latter being measured throughthe relative bid-ask spread. We apply a non-parametrical approach to measurebivariate exceedance probabilities and the respective dependence...

We study the extremal dependence of market and liquidity risk, the former being measured through the market value and the latter being measured through the relative bid-ask spread. We apply a non-parametrical approach to measure bivariate exceedance probabilities and the respective dependence...

Purpose - This research aims to analyse the variables related to the purchase intention of COVID-19 rapid tests in Monterrey, Mexico's metropolitan area. Design/methodology/approach - The chosen method was probit regression. The results show that purchase intention depends on the consumer's...