The statistical properties of various measures of risk were investigated with a view to explaining the reasons for lack of use in finance of risk measures other than the variance, and to see if there is a sensible measure to use for cross-European comparisons. As examples, the semi-variance, the...

Some investors may benefit from using measures of risk other than the variance in their investment decisions, specially if they are concerned with minimizing the downside risk of their portfolios. An accessible numerical method for calculating hedge ratios given any measure of risk is presented....

We examine the empirical differences in emerging market betas taken across four major currencies (US dollars, sterling, yen, and German marks) where the betas considered are either mean-variance or mean-lower partial moment betas. The mean-variance betas are found to be statistically similar to...

Front Cover -- The Analytics of Risk Model Validation -- Copyright Page -- Table of Contents -- About the editors -- About the contributors -- Preface -- Chapter 1 Determinants of small business default -- Abstract -- 1. Introduction -- 2. Data, methodology and summary statistics -- 3. Empirical...

The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by...