Back to Basics in Banking? A Micro-Analysis of Banking System Stability [PDF]
This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of financial activities and their ability to withstand a banking sector crash.
De Jonghe, O.G.
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On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall [PDF]
Value-at-risk (VaR) has become a standard measure used in financial risk management due to its conceptual simplicity, computational facility, and ready applicability. However, many authors claim that VaR has several conceptual problems.
Yamai, Yasuhiro, Yoshiba, Toshinao
core
Global Warming and Extreme Events: Rethinking the Timing and Intensity of Environmental Policy [PDF]
The possibility of low-probability extreme events has reignited the debate over the optimal intensity and timing of climate policy. In this paper we therefore contribute to the literature by assessing the implications of low-probability extreme events on
Michael Funke, Yu-Fu Chen
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Asymmetry, Long Memory and Extreme Values in the Tail Risk Management of the Maya Crude Oil Prices
, 2021 Raúl de-Jesús Gutiérrez +1 more
openalex +2 more sources
Risk evaluation of tailings dam based on game theory and matter-extension theory [PDF]
, 2022 Huaqiang Song +5 more
openalex +1 more source
, 2013 Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting market ...
Bernardi, Mauro +2 more
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Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets [PDF]
Much of the literature on the construction of mixed asset portfolios and the case for property as a risk diversifier rests on correlations measured over the whole of a given time series.
Colin Lizieri +2 more
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Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy [PDF]
, 2017 Kris Jacobs
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Tail risk connectedness in clean energy and oil financial market. [PDF]
Ann Oper Res, 2022 Foglia M, Angelini E, Huynh TLD.
europepmc +1 more source
Back to the basics in banking ? A micro-analysis of banking system stability [PDF]
This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of financial activities and their ability to withstand a banking sector crash.
Olivier De Jonghe
core