This article proposes an empirical investigation, based on a cross-quantilogram analysis, to assess the hedge, diversifier and safe haven properties of Environmental, Social and Governance (ESG) assets in comparison to conventional investment practices (equity index, gold, commodities and...

Achieving the SDG goals will require enormous financing efforts from governments and the private sector. Green bonds have been emerging as a useful tool to help finance the gap for SDGs and have been expected to deliver some financial advantages. Nevertheless, there has not been strong evidence...

This study presents stylized facts of the fungible tokens/currencies (MANA/USD and SAND/USD) in the Metaverses (Decentraland and The Sandbox). Metaverse currency exchange rate market exhibits very high conditional volatility, albeit no leverage effect, less impact of the real-world crisis...

This study proposes a new risk measure for stablecoins, that is based on the probability of the stablecoin’s price hitting a threshold exchange rate post which the stablecoin is subjected to the risk of “break the buck/ death spiral”. We also juxtapose the risk measure computed using...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

We analyze the effect of geographic proximity on individual investors' portfolio choice. Using a unique data set which covers the common stockholdings of private households at regional banks in Germany, we document strong and consistent overinvestment in geographically close companies. Our...

Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the unconditional volatility of the original asset is increasing during...

Financial intermediaries perform indirect financing, and in this context, commercial banks are very important participants. They carry out the bulk of indirect financing transactions. On the other hand, the implementation mechanism of monetary policy is closely linked to the functioning of the...

Abstract The Euro zone debt crisis has indeed jeopardized the recovery plans put in place post global crisis by regulators, policy makers and the sovereigns. Though, the crisis is epicentered in the Eurozone, the knock-on effects of the crisis are felt all across the globe. The emerging and...

I test the hypothesis that the banks' exposure to liquidity risk contributed to the contraction of mortgage credit during the financial crisis of 2007-2009. I use micro-level data on mortgage loan applications to control for variation in demand conditions and find that lenders who relied less on...