Results 41 to 50 of about 5,554 (110)
Enterprise risk management and firm performance: Empirical evidence from Ghana equity market
Cogent Economics & Finance, 2020 This paper examines the linear and non-linear relationship between Enterprise Risk Management (ERM) and firm performance while focusing on how operational status (financial and non-financial listed firms’ status) affects this relationship in Ghana ...
Sylvester Senyo Horvey, J. Ankamah
semanticscholar +1 more source
Loan portfolio management and Liquidity Risk: The impact of limited liability and haircut
, 2023 In this article, we consider the problem of a bank's loan portfolio in the context of liquidity risk, while allowing for the limited liability protection enjoyed by the bank.
Barik, Deb Narayan +1 more
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Optimal investment under partial information and robust VaR-type constraint
, 2023 This paper extends the utility maximization literature by combining partial information and (robust) regulatory constraints. Partial information is characterized by the fact that the stock price itself is observable by the optimizing financial ...
Bäuerle, Nicole, Chen, An
core
Particle MCMC in forecasting frailty correlated default models with expert opinion
, 2023 Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole.
Nguyen, Ha
core +1 more source
, 2023 In this research, we propose a novel approach for the quantification of credit portfolio Value-at-Risk (VaR) sensitivity to asset correlations with the use of synthetic financial correlation matrices generated with deep learning models.
Cagliero, Emanuele +2 more
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The Liar equilibrium in naked sovereign CDS trading : a financial economic approach
, 2011 This master's thesis aims at studying the impact of naked sovereign CDS trading by establishing a sequential trading model where the evolution of the market microstructure bid-ask spread is taken into account.
Zheng, Qiaoyang
core
Regulatory Capital Modelling for Credit Risk
, 2015 The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency.
Rutkowski, Marek, Tarca, Silvio
core +1 more source
Adaptive Money Market Interest Rate Strategy Utilizing Control Theory
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets.
Boneh, Yuval
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, 2022 This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial interbank network. We prove that
Amini, Hamed, Feinstein, Zachary
core
Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network [PDF]
, 2019 An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding opera- tions such as banks, pension funds or ...
Alonso González, Pablo Jesús +2 more
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