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Financial Risk Measurement for Financial Risk Management [PDF]
SSRN Electronic Journal, 2011 Abstract Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfolio-level and asset-level analysis.
Andersen, Torben Gustav +3 more
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Assessing financial model risk [PDF]
European Journal of Operational Research, 2013 Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model ...
Barrieu, Pauline, SCANDOLO, GIACOMO
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Risk-Return Efficiency, Financial Distress Risk, and Bank Financial Strength Ratings [PDF]
SSRN Electronic Journal, 2010 This paper investigates whether there is any consistency between banks’ financial strength ratings (bank rating) and their risk-return profiles. It is expected that banks with high ratings tend to earn high expected returns for the risks they assume and thereby have a low probability of experiencing financial distress. Bank ratings, a measure of a bank’
Hua, Changchun, Liu, Li-Gang
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Sovereign Risk and Financial Risk [PDF]
SSRN Electronic Journal, 2021 This paper examines the relationship between sovereign bond spreads, local economic activity, and global financial risk. We use secondary-market prices of dollar-denominated sovereign securities to construct yield spreads between sovereign bond yields and yields on the appropriately defined default risk-free securities, constructed using zero-coupon U ...
Gilchrist, Simon +3 more
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Liquidity risk regulation and its practical implications for banks: the introduction and effects of the Liquidity Coverage Ratio [PDF]
MAB, 2020 Following the financial crisis, quantitative liquidity risk regulation was introduced by means of the Liquidity Coverage Ratio (LCR). This literature study aims to investigate whether the introduction of the LCR leads to better liquidity risk management ...
Alette Tammenga, Pieter Haarman
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IEEE Access, 2022 Edge-cloud computing is an efficient approach to address the high latency issue in mobile cloud computing for service provisioning, by placing several computing resources close to end devices. To improve the user satisfaction and the resource efficiency,
Tieliang Gao +5 more
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Optimal Trend Labeling in Financial Time Series
IEEE Access, 2023 Predicting asset price trends is often posed as a classification problem, where trends are classified as positive or negative. Since asset price series are noisy and volatile, it is difficult to distinguish true trends from short-term fluctuations.
Tomislav Kovacevic +3 more
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Cost efficiency and risk as determinants of market share in banking: Evidence from the old and new eu member and candidate countries [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 In this study we investigate how cost efficiency and risk affect market share in European banking industry. Our analysis is motivated by the well-known efficiency hypothesis and structure-conduct-performance theory.
Bashkim Nurboja, Marko Košak
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Journal of Economic and Financial Sciences, 2021 Orientation: Access to and use of formal finance can be an epitome for poverty reduction in developing and transitional economies. Most of these economies experienced great growth in gross domestic product (GDP) compounded with exploding inequality ...
Margaret R. Magwedere +2 more
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Investor sentiment and foreign financial flows: Evidence from South Africa [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 Foreign financial flows to emerging markets have increasingly become important following the opening of financial markets globally. These financial flows are a function of a country’s fundamentals related to future productivity.
Hilary Tinotenda Muguto +2 more
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