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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 ...
Vivian Z. Yue +2 more
semanticscholar +4 more sources
Financial Risk Measurement for Financial Risk Management [PDF]
SSRN Electronic Journal, 2011 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 ...
Francis X. Diebold +3 more
core +5 more sources
The Interplay Between Financial Literacy, Financial Risk Tolerance, and Financial Behaviour: The Moderator Effect of Emotional Intelligence. [PDF]
Psychol Res Behav Manag, 2023 Aim This study aims to examine financial literacy’s impact on individual investors’ financial behaviour while also investigating the mediating role of financial risk tolerance and the moderator effect of emotional intelligence. Methods The study collects
Song CL, Pan D, Ayub A, Cai B.
europepmc +2 more sources
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 ...
Barrieu, Pauline, Scandolo, Giacomo
core +8 more sources
Elements for a theory of financial risks [PDF]
Physica A: Statistical Mechanics and its Applications, 2000 22 pages, to appear in `Order, Chance and Risk', Les Houches (March 1998), to be published by Springer/EDP ...
J. P. Bouchaud
openalex +4 more sources
Financial Intermediation with Risk Aversion [PDF]
The Review of Economic Studies, 2000 The paper extends Diamond's (1984) analysis of financial intermediation to allow for risk aversion of the intermediary. It shows that, as in the case of risk neutrality, the agency costs of external funds provided to an intermediary are relatively small if the intermediary is financing many entrepreneurs with stochastically independent returns.
Martin Hellwig
openalex +5 more sources
Data Challenges in High-Performance Risk Analytics [PDF]
arXiv, 2013 Risk Analytics is important to quantify, manage and analyse risks from the manufacturing to the financial setting. In this paper, the data challenges in the three stages of the high-performance risk analytics pipeline, namely risk modelling, portfolio risk management and dynamic financial analysis is presented.
Rau-Chaplin, Andrew, Varghese, Blesson
arxiv +3 more sources
Probabilistic Aspects of Financial Risk [PDF]
, 2001 Problems arising in finance have become a significant source of new developments in stochastic analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.
Hans Föllmer
openalex +4 more sources
The multi-layer network nature of systemic risk and its implications for the costs of financial crises [PDF]
arXiv, 2015 The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked through networks of different types of financial contracts, such as credit, derivatives, foreign exchange and ...
Martínez-Jaramillo, Serafín +4 more
arxiv +4 more sources
Financial Network Systemic Risk Contributions [PDF]
Review of Finance, 2013 We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures.
Julia Schaumburg +2 more
core +16 more sources