Purpose – This paper aims to test empirically the performance of different models in measuring VaR and ES in the presence of heavy tails in returns using historical data. Design/methodology/approach – Daily returns of popular indices (S&P500, DAX, CAC, Nikkei, TSE, and FTSE) and currencies...

Purpose – The aim of this paper is to fill a gap in the foreign‐exchange trading risk‐management literature and particularly from the perspective of emerging and illiquid markets, such as in the context of the Moroccan foreign‐exchange market. Design/methodology/approach – This paper,...

Purpose – This paper aims to investigate how effectively the value at risk (VaR) estimated using the student‐ t distribution captures the market risk. Design/methodology/approach – Two alternative VaR models, VaR‐t and VaR‐x models, are presented and compared with the benchmark model...

Purpose – The purpose of this paper is to consider the problem of allocating responsibility for risk through a simple classroom vignette that illustrates some of the difficulties encountered in more complex real‐world scenarios. Design/methodology/approach – After considering a number of...

Purpose – This article aims to examine the state of risk management in agriculture and power sector of India, evaluate the effectiveness of weather derivatives as alternative risk management tools and basic framework required to implement them. Design/methodology/approach – Applications of...

Purpose – In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the most appropriate model for risk management practice. Design/methodology/approach – The study considers a...

Purpose – The purpose of this research is to examine the degree to which the UAE banks use risk management practices and techniques in dealing with different types of risk. The secondary objective is to compare risk management practices between the two sets of banks....

Purpose – In the presence of capital market imperfections, risk management at the enterprise level is apt to increase the firm's value to shareholders by reducing costs associated with agency conflicts, external financing, financial distress, and taxes. The purpose of this paper is to provide...

Purpose – In this two‐part series, this paper seeks to consider certain intriguing aspects of randomness, the basic mathematical concept used to model financial risk and other unknown quantities in the physical world. Design/methodology/approach – Part 1 applies concepts from quantum...

Purpose – The paper seeks to examine whether or not wealth effects and changes in the systematic risk associated with the return structure of the Greek commercial chartered banks, investment firms and insurance companies resulted from the passage of the European Union Banking Directives over...