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VaR: Exchange Rate Risk and Jump Risk [PDF]
Journal of Probability and Statistics, 2010 Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model.
Fen-Ying Chen
doaj +2 more sources
Risk and the evolution of human exchange [PDF]
Proceedings of the Royal Society B: Biological Sciences, 2012 Compared with other species, exchange among non-kin is a hallmark of human sociality in both the breadth of individuals and total resources involved. One hypothesis is that extensive exchange evolved to buffer the risks associated with hominid dietary specialization on calorie dense, large packages, especially from hunting.
Hillard Kaplan +2 more
exaly +3 more sources
Exchange Rates and Sovereign Risk [PDF]
Management Science, 2022 An increase in a country’s sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global ...
Pasquale Della Corte +3 more
openaire +5 more sources
Analysis of Local Climate Variations Using Correlation between Satellite Measurements of Methane Emission and Temperature Trends within Physiographic Regions of Ukraine [PDF]
International Journal of Mathematical, Engineering and Management Sciences, 2019 Paper aimed to the description of the methods of analysis and measurements of atmospheric greenhouse gases (GHG), especially, methane concentration using satellite tools for climate change model improvement. The experimental accuracy estimation of narrow-
Mikhail A. Popov +3 more
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Risk Appetite and Exchange Rates [PDF]
SSRN Electronic Journal, 2010 We present evidence that fluctuations in the aggregate balance sheets of financial intermediaries forecast exchange rate returns—at weekly, monthly, and quarterly frequencies, both in and out of sample, and for a large set of countries. We estimate prices of risk using a cross-sectional, arbitrage-free asset pricing approach and show that balance ...
Adrian, Tobias +2 more
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Risk Exchange With Distorted Probabilities [PDF]
SSRN Electronic Journal, 2006 An exchange economy is considered, where agents (insurers/banks) trade risks. Decision making takes place under distorted probabilities, which are used to represent either rank-dependence of preferences or ambiguity with respect to real-world probabilities.
Tsanakas, A., Christofides, N.
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An analysis of exchange rate risk exposure related to the public debt portfolio of Tunisia: Beyond VaR approach [PDF]
Panoeconomicus, 2012 The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology. We use daily spot exchange rates of the Tunisian dinar against the three main debt currencies, the ...
Omrane Samia
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Comparative Economic Research, 2021 The study addresses the benefits of a unified stock market in terms of diversification risk for the eight CEE stock markets. For this purpose, each stock market was treated as a separate portfolio based on the companies listed during 2018–2019. Portfolio
Florin Aliu +3 more
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Investigating the Financial Risk Spillover in Banks Accepted in Tehran Stock Exchange Market through MGARCH Approach [PDF]
تحقیقات مالی, 2021 Objective: Considering the remarkable role of the banking industry in the economies, determining the financial risks and the spillover mechanism between banks is of particular importance.
Mirfeiz Fallah Shams, Abbas Banisharif
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Persistent exchange-rate changes; state variable and distress risk? [PDF]
Journal of Asset Management and Financing, 2018 exchange rate as a source of uncertainty exposes investors to some kind of risk. When investors are exposure to exchange risk, it’s expected that investors expect higher return but some empirical evidences show that exchange risk is not priced. Since the
Maryam Davallou, Mehdi Davari
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