The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional extreme value model, are used to calculate commodity market...

This research examines the efficiency of shipping companies to create profit from the equity used in the investment. Financial statement analysis is a judgmental procedure, which tries to identify the underlying reasons that affect the company performance. Financial ratios provide further...

This paper examines the movement of cryptocurrencies' return based on price. This volatility can spread to others of the same kind. Currently, the more cryptocurrencies are traded in market, the more chances are available for investors. The author wonders whether contagion risk among these...

We propose a tool to predict risks to economic growth and international business cycles spillovers: the GDP-Network CoVaR. Our methodology to assess Growth-at-Risk is composed by two building blocks. First, we apply the network-based NETS methodology by Barigozzi and Brownlees to identify...

Climate transition risk, the generated from the transition to a low-carbon economy due to changing policies, can have cross-border impacts. In this paper, we study the transition risk spillover among six major financial markets globally from 2013 to 2021. We evidence the transition risk...

We investigate the performance of Value at Risk (VaR) models at measuring risk for WTI oil one-month futures returns. VaR models are used to calculate commodity market risk at extreme quantiles: 0.95, 0.99, 0.995 and 0.999 for both long and short trading positions. Widespread VaR models do not...