Results 31 to 40 of about 1,649,494 (266)
Analysing Quantiles in Models of Forward Term Rates
Risks, 2023 The class of forward-LIBOR market models can, under certain volatility structures, produce unrealistically high long-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments.
Thomas A. McWalter +2 more
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IEEE Access, 2021 Since optimal portfolio strategy depends heavily on the distribution of uncertain returns, this article proposes a new method for the portfolio optimization problem with respect to distribution uncertainty.
Ningning Du, Yankui Liu, Ying Liu
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The impact of income diversification on the stability of listed Jordanian commercial banks during the COVID-19 pandemic [PDF]
Banks and Bank Systems, 2023 This study investigates the impact of the COVID-19 pandemic on the relationship between income diversification and bank stability among Jordanian commercial banks listed on the Amman Stock Exchange (ASE), using a panel Autoregressive Distributed-Lagged ...
Abdallah Khaled Al-Habashneh +2 more
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Risk allocation and financial intermediation
Mathematical Social Sciences, 2021 The classic Arrow–Debreu framework requires a very large number of specific securities to reach Pareto optimality. The present paper shows that financial intermediation can play an important role in maintaining a more parsimonious market framework while still obtaining Pareto optimality.
openaire +2 more sources
PRICING EUROPEAN OPTIONS IN SELECTED STOCHASTIC VOLATILITY MODELS
Quantitative Methods in Economics, 2020 In this paper four methods of calculating characteristic functions and their application to selected stochastic volatility models are considered. The methods applied are based on the assumption that the prices of European calls are evaluated numerically ...
Arkadiusz Orzechowski
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Frontiers in Environmental Science, 2021 This paper describes the process, and lessons learned in a preliminary benefits study of a proposed infrared hyperspectral sounder (HSS) for NOAA’s next generation geostationary satellite program (GeoXO).
Christopher Lauer +2 more
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ICT Adoption and Stock Market Development: Empirical Evidence Using a Panel of African Countries
Risks, 2022 The aim of this study was to examine the impact of adopting information and communication technologies (ICT) on the development of African stock exchanges. The study examined a panel of 11 African stock exchanges for the period 2008–2017 and employed the
Jerry Ikechukwu Igwilo +1 more
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Relevance of Fair Value Disclosures in Spanish Credit Institutions
Revista de Contabilidad: Spanish Accounting Review, 2022 Spanish quoted credit institutions have applied IFRS for their consolidated financial statements since 2005. IFRS implied the implementation of the fair value measurement model for a greater number of financial instruments than previously, as well as ...
David Delgado-Vaquero +2 more
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Estimation of Value at Risk (VaR) for Investments in Islamic and Conventional Financial Instrume [PDF]
راهبرد مدیریت مالیThis article focuses on the risk and security of investments in Islamic financial instruments compared to conventional financial instruments. It seeks to answer the question: Are Islamic financial instruments a safe haven for investors?
Mir Hossein Mousavi +1 more
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Impact of COVID-19 on the Robustness of the Probability of Default Estimation Model
Mathematics, 2021 Probability of default (PD) estimation is essential to the calculation of expected credit loss under the Basel III framework and the International Financial Reporting Standard 9.
Ming-Chin Hung +2 more
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