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 ...
In this paper we show how to compute and back-test a Value-at-Risk (VaR) measure in a thinly traded fixed-income market. Low frequency of transactions is a phenomenon which is especially common in emerging markets. In a market where assets do not trade every day, data panels become incom...
In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine different emerging markets. In addition to well-known modeling approaches, such as variance–covariance method and historical simulation, we study the extreme value theor...
Value-at-Risk Performances during the 2007-2008 Global Financial Crisis: a comparison of three Value-at-Risk models in the emerging markets of China, India... Value-at-Risk Performances during the 2007-2008 Global Financial Crisis: a comparison of three Value-at-Risk models in the emerging ...
This paper compares the performance of long-memory models (FIGARCH) with short-memory models (GARCH) in forecasting volatility for calculating value-at-risk (VaR) and expected shortfall (ES) for multiple periods ahead for six emerging markets stock indices. We used daily data from 1999 to 2014...
This study examines the transmission of price changes and volatility among the Malaysian economic barometer (FTSE Bursa Malaysia Kuala Lumpur Composite Index- FBMKLCI) and four sectoral markets after the Asian financial crisis. The preliminary structural break identification provides an optimal sample size...
Neobanks have risen as popular digital challengers to incumbent banks, especially in emerging markets (EMs) where the banking sector is often characterized by oligopolies. This article first estimates the value of Nubank and StoneCo in Brazil, two of the fastest-growing neobanks in Brazil. Normaliz...
After months of fund outflows, emerging markets shouldn't be treated like pariahs as they offer solid value, analysts said. "Emerging markets have really been beaten up a lot, probably a bit unfairly since most of last year and into this year," said Julie Dickson, emerging market equity...
There have been numerous investigations targeted at identifying whether a drug lag exists in the mature markets of the US, EU and Japan. This work focuses ... H Wileman,A Mishra - 《Perspectives in Clinical Research》 被引量: 14发表: 2010年 Volatility forecasting and value-at-risk estimation...
Of course, bankruptcy is common in every economy, but such risks are most common outside of the developed world. Within emerging markets, firms can more freely cook the books to give an extended picture of profitability. Once the corporation is exposed, it experiences a sudden drop in value....