Measuring expected shortfall under semi-parametric expected shortfall approaches: a case study of selected Southern European/Mediterranean countries
In this paper, the authors investigate the applicability of semi-parametric approaches for estimating expected shortfall.
Crash risk exposure, diversification and cost of equity capital: evidence from a natural experiment in China
Based on a broad sample of Chinese listed firms for the period 2001–10, this study investigates the effect of stock price crash risk exposure on the cost of equity capital and uses the split share structure reform as an exogenous shock to test whether…
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
The impact of enterprise risk management on the performance of companies in transition countries: Serbia case study
In this paper, seven hypotheses are defined, on the basis of which a theoretical model is developed to examine how different sources of enterprise risk affect the operational performance of Serbian companies and their risk of losing market position.
In this paper, the authors contribute to the measurement of model risk by focusing on the quantification of estimation risk.
This paper analyzes the relationship between debt and the production decisions of companies active in the exploration and production of oil and gas in the United States.
In this paper, the author uses the mean–variance hedging criterion to value contracts in incomplete markets.
This paper investigates the effects of window-size selection on various models for value-at-risk (VaR) forecasting using high-performance computing.
This paper investigates the systemic risk of China’s banking sector via network analysis and differential DebtRank from 2007 to 2016.
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.
In this paper, the rules of selected major CCPs (LCH, CME, Eurex and ICE) are reviewed for both their end-of-waterfall procedures and the rights granted to clearing members in end-of-waterfall scenarios.
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
This paper sets out techniques for: (a) identifying systematically emerging threats, their timescales, and interrelationships (eg, feedback loops and domino effects); (b) quantifying operational risks through structured scenario analysis processes that…
This paper investigates cyber loss data and focuses on quantifying the direct financial and compensatory losses emanating from cyber risks.
This paper presents an empirical analysis of how power shocks resulting from intermittent renewables affect the forecast error of the forward premium in German electricity markets.
A new approach to evaluating the cost-efficiency of complex hedging strategies: an application to electricity price–volume quanto contracts
In this paper, the authors propose a new hedging assessment model, the economic value of the incremental expected shortfall (EVIES), from a cost-efficiency perspective.
In this paper, the authors conduct an analysis of model risk in an attempt to understand the main issues that lead to failures and the best way to address such issues.
The main goal of this paper is to perform a comprehensive nonparametric jump detection model comparison and validation. To this end, the authors design an extensive Monte Carlo study to compare and validate these tests.
Managing supply chain risk through take-or-pay gas contracts in the presence of buyers’ storage facilities
In this paper, the authors study the enhanced value of a take-or-pay gas contract from a buyer’s perspective in the presence of spot market trading and local storage capability.
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
In this paper, the authors examine if investors can profit from the underperformance of leveraged exchange-traded funds (ETFs) in long holding periods.