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#1Stefano Zedda (University of Cagliari)H-Index: 4
#2Simone Sbaraglia (University of Cagliari)
In this paper, we aim at establishing some clear guidelines on which configuration of the interbank net can be most effective in limiting the banks’ default contagion risk. More specifically, based on real banks’ balance sheet data, we analyzed how the exposure concentration on specific counterparts can limit or enhance contagion, and which characteristics (variables) of the counterparts induce these differences. The analysis performed here is based on interbank exposures data, which only repres...
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#1Emilio Cardona (University of Los Andes)H-Index: 2
#2Andrés Mora-Valencia (University of Los Andes)H-Index: 4
Last.Daniel Velásquez-Gaviria (EAFIT University)
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In a recent paper, Acerbi and Szekely (Risk Magazine, 76–81, 2014) presented three methods to test expected shortfall, and this is the first empirical application of that paper on emerging markets. We employ daily stock index returns from the Morgan Stanley Capital International Inc. Emerging Markets Index covering the 2000–2015 period, extending Acerbi and Szekely (Risk Magazine, 76–81, 2014) results to derive the significance thresholds for the Student’s skewed-t distribution using two testing...
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#1Cuizhen NiuH-Index: 5
#2Wing-Keung Wong (Asia University (Japan))H-Index: 44
Last.Lixing Zhu (Asia University (Japan))H-Index: 2
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Farinelli and Tibiletti (F-T) ratio, a general risk-reward performance measurement ratio, is popular due to its simplicity and yet generality that both Omega ratio and upside potential ratio are its special cases. The F-T ratios are ratios of average gains to average losses with respect to a target, each raised by a power index, p and q. In this paper, we establish the consistency of F-T ratios with any nonnegative values p and q with respect to first-order stochastic dominance. Second-order sto...
1 CitationsSource
#2Petr Fiala (University of Economics, Prague)H-Index: 4
The paper discusses the uncertainty resulting from vagueness. Within this topic we present an original version of the fuzzy approach to a foreign investment risk estimation based on values of rating indices. The transition from the basic point values of rating indices into the linguistic values within intervals of linguistic variables of fuzzy logic enables us to take into account the diverse kinds of uncertainty. The theoretical and methodological part submits fundamentals of the general fuzzy ...
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#2Petr Fiala (University of Economics, Prague)H-Index: 4
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In this paper, we present a model of liability-driven investments for life insurers by assuming that equity portfolios can be wiped out by catastrophic default risk of the firms whose stock the life insurer holds. A model of trinomial defaultable asset trees is used and it is calibrated to market data, while a stochastic programming model is set up to solve for the optimal asset allocation strategy of the life insurer to ensure maximization of assets while keeping solvency at a specific confiden...
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#1Jorge Perez (ULPGC: University of Las Palmas de Gran Canaria)H-Index: 16
The main aim of this paper is to obtain a direct measure of the relation between the future and implied volatilities, in order to determine the appropriateness of using linear modelling to establish the implied–realised volatility relation. To achieve this aim, the dependence structure for implied and realised volatilities is modelled using bivariate standard copulas. Dependence parameters are estimated using a semiparametric method and by reference to three databases corresponding to different ...
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#1W. Matt JollyH-Index: 13
#2Patrick H. FreebornH-Index: 12
Last.Bret W. ButlerH-Index: 21
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Despite major advances in numerical weather prediction, few resources exist to forecast wildland fire danger conditions to support operational fire management decisions and community early-warning systems. Here we present the development and evaluation of a spatial fire danger index that can be used to assess historical events, forecast extreme fire danger, and communicate those conditions to both firefighters and the public. It uses two United States National Fire Danger Rating System indices t...
2 CitationsSource
#1Radek Hendrych (Charles University in Prague)H-Index: 2
#2Tomáš Cipra (Charles University in Prague)H-Index: 9
The paper deals with the construction of required capital to cover the default risk in portfolios with a smaller number of heterogeneous counterparties. The typical application is counterparty default risk of reinsurance (e.g., in Solvency II), but other applications in finance are also possible. Since the approach by means of Vasicek portfolio model is questionable in such cases the paper addresses mainly the approach based on the so-called common shock principle. An extensive numerical study c...
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#1Xu Guo (BNU: Beijing Normal University)H-Index: 9
#2Raymond H. Chan (CUHK: The Chinese University of Hong Kong)H-Index: 43
Last.Lixing Zhu (BNU: Beijing Normal University)H-Index: 31
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This paper extends (Jiang et al. in J Bank Finance 34:3055–3060, 2010; Guo in Risk Manag 20(1):77–94, 2018) and others by investigating the impact of background risk on an investor’s portfolio choice in the mean–VaR, mean–CVaR, and mean–variance framework, and analyzes the characterization of the mean–variance, mean–VaR, and mean–CVaR boundaries and efficient frontiers in the presence of background risk. We derive the conditions that the portfolios lie on the mean–variance, mean–VaR, and mean–CV...
3 CitationsSource
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