All financial intermediaries (FIs) entail the assumption, management and pricing of risk (Cornett and Saunders, 1999). Risk facing financial intermediations, in this broader sense, encompasses credit risk, market risk, liquidity risk, gearing risk, solvency risk, operational risk and sovereign risk ...
(2006). Evaluating predictive performance of value-at-risk models in emerging markets: A reality check, Journal of Forecasting 25(2): 101-128.Bao, Y., Lee, T., Saltoglu, B. (2006), "Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check", ...
and E. Ortiz, 2011, Risk in Emerging Stock Markets from Brazil and Mexico: Extreme Value Theory and Alternative Value at Risk Models, Frontiers in Finance and Economics 8(2), 49-88.de Jesus, R. and Ortiz, E. "Risk in emerging stock markets from Brazil and Mexico: extreme value theory...
Value at risk and the cross-section of hedge fund returns Journal of Banking and Finance (2007) D. Capocci Neutrality of market neutral funds Global Finance Journal (2006) M. Eling et al. The performance of hedge funds and mutual funds in emerging markets Journal of Banking & Finance (2010...
Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market 2015, Economic Modelling Citation Excerpt : In other words, in this approach, the standardized residual returns of the EGARCH-based and GARCH-based models mentioned in ...
Value-at-risk under extreme values: the relative performance in MENA emerging stock markets 来自 EconPapers 喜欢 0 阅读量: 50 作者:HA Al-Zoubi,AI Maghyereh 摘要: Purpose – The paper aims to investigate the relative performance of the most popular value-at-risk (VaR) estimates with an ...
With production and sales around the world, specialty chemicals company Perstorp has first-hand experience with the challenges that come with doing business in emerging markets. Lars Grimsgård, Vice President of Corporate Finance and Investor Relations at Perstorp, reflects on these hurdles and the...
Value Investing High Yield Emerging Markets Close ESG ESG ESG Overview ESG Overview ESG at T. Rowe Price Impact Investing Global Impact Credit Global Impact Equity US Impact Equity The Blue Economy Resources Resources ESG Investing Annual Report Sustainability-Related Disclosures...
AB Emerging Markets Value PortfolioStrategy Seeks to achieve long-term capital growth by: • Investing primarily in stocks across emerging markets countries that offer compelling long-term return potential and attractive valuations • Taking a long-term perspective in order to capitalize on short-...
Value Investing High Yield Emerging Markets Close ESG ESG ESG Overview ESG Overview ESG at T. Rowe Price Impact Investing Global Impact Credit Global Impact Equity US Impact Equity The Blue Economy Resources Resources ESG Investing Annual Report Sustainability-Related Disclosures...