With the majority of large UK and many US banks collapsing or being forced to raise capital over the 2007-9 period, blaming bankers may be satisfying but is patently insufficient; Basel II and Federal oversight frameworks also deserve criticism. We propose that the current methodological void at...

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...

Commodity price shocks are shown to cause shifts in both the quantity and timing of risk in natural resource assets. We provide evidence that static risk measures understate the periodicity of price risk implicit in depleting assets. Risk measurement is demonstrated to be asset specific and to...

It has become fashionable to blame global banking failures on the unfettered growth in 'hard to value and hard to sell' level 3 banking assets. With the majority of large UK and many US banks collapsing or forced to raise capital over the 2007-9 period, blaming bankers may be satisfying but is...

Russia's capability of meeting Europe's oil and gas (Oamp;G) demand has coincided with the Duma's stated objective of consolidating political control over strategic assets. Our sector study of strategic asset acquisitions by Russian Oamp;G companies for the period 2000-2006 analyses the relative...

Economic capital models are potentially powerful tools for enterprise risk management (ERM), and for the supervisory review process (Pillar 2) of the Basel II and Solvency II regulatory capital frameworks. We argue that, to fulfill this potential, economic capital models need to be fully...