Risk Measures with Applications in Finance and Economics
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policie...
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| Format: | Online |
| Sprache: | Englisch |
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MDPI - Multidisciplinary Digital Publishing Institute
2021
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| author | Wong, Wing-Keung McAleer, Michael |
| author_browse | McAleer, Michael Wong, Wing-Keung |
| author_facet | Wong, Wing-Keung McAleer, Michael |
| author_sort | Wong, Wing-Keung |
| collection | Directory of Open Access Books |
| description | Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.<false,>A Special Issue of “Risk Measures with Applications in Finance and Economics” will be devoted to advancements in the mathematical and statistical development of risk measures with applications in finance and economics. This Special Issue will bring together the theory, practice and real-world applications of risk measures. This book is a collection of papers published in the Special Issue of “Risk Measures with Applications in Finance and Economics” for Sustainability in 2018. |
| format | Online |
| id | doab-20.500.12854ir-58518 |
| institution | Directory of Open Access Books |
| language | eng |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | MDPI - Multidisciplinary Digital Publishing Institute |
| publisherStr | MDPI - Multidisciplinary Digital Publishing Institute |
| record_format | ojs |
| spelling | doab-20.500.12854ir-585182023-12-20T15:54:23Z Risk Measures with Applications in Finance and Economics Wong, Wing-Keung McAleer, Michael HG1-9999 risk assessment VIX business groups SHARE asymptotic approximation European stock markets whole life insurance dynamic hedging risk-neutral distribution cooperative banks Data Envelopment Analysis (DEA) group-affiliated early warning system factor models smoothing process GMC falsified products S&P 500 index options credit derivatives corporate sustainability term life insurance risk management crude oil financial stability social efficiency dynamic conditional correlation emerging market out-of-sample forecast financial crisis binomial tree news release green energy perceived usefulness Bayesian approach two-level optimization probability of default bank risk SYMBOL information asymmetry CoVaR probabilistic cash flow japonica rice production bank profitability Monte Carlo Simulations gain-loss ratio coherent risk measures Mezzanine Financing national health system option value conscientiousness online purchase intention Slovak enterprises spot and futures prices liquidity premium institutional voids utility random forests bankruptcy optimizing financial model sustainable food security system dynamic panel co-dependence modelling financial performance time-varying correlations Project Financing future health risk generalized autoregressive score functions volatility spillovers financial risks simulations life insurance emotion finance risk markov regime switching diversification production frontier function Granger causality health risk risks mitigation returns and volatility sadness low-income country the sudden stop of capital inflow bank failure China’s food policy objective health status IPO underpricing polarity climate change stock return volatility sentiment analysis empirical process full BEKK stochastic frontier model perceived ease of use volatility transmission openness to experience sustainability low carbon targets quasi likelihood ratio (QLR) test banking regulation sustainable development specification testing fossil fuels time-varying copula function tree structures monthly CPI data coal cartel regular vine copulas sustainability of economic recovery ANN EGARCH-m financial security leniency program financial hazard map uncertainty termination causal path stakeholder theory technological progress banking investment horizon regression model two-level CES function joy the optimal scale of foreign exchange reserve carbon emissions stochastic volatility B-splines self-perceived health sovereign credit default swap (SCDS) RV5MIN utility maximization credit risk policy simulation socially responsible investment portfolio selection scientific verification European banking system risk-free rate wild bootstrap medication investment profitability Amihud’s illiquidity ratio multivariate regime-switching inflation forecast risk aversion market timing need hierarchy theory variance diagonal BEKK conjugate prior risk moving averages financial risk risk measures bic Book Industry Communication::W Lifestyle, sport & leisure::WC Antiques & collectables::WCF Coins, banknotes, medals, seals (numismatics) Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.<false,>A Special Issue of “Risk Measures with Applications in Finance and Economics” will be devoted to advancements in the mathematical and statistical development of risk measures with applications in finance and economics. This Special Issue will bring together the theory, practice and real-world applications of risk measures. This book is a collection of papers published in the Special Issue of “Risk Measures with Applications in Finance and Economics” for Sustainability in 2018. 2021-02-12T02:21:13Z 2021-02-12T02:21:13Z 2019-08-28 11:21:27 2019 book 35920 9783038974444 9783038974437 https://directory.doabooks.org/handle/20.500.12854/58518 eng image/jpeg Attribution-NonCommercial-NoDerivatives 4.0 International https://mdpi.com/books/pdfview/book/1442 MDPI - Multidisciplinary Digital Publishing Institute 10.3390/books978-3-03897-444-4 10.3390/books978-3-03897-444-4 46cabcaa-dd94-4bfe-87b4-55023c1b36d0 9783038974444 9783038974437 536 open access |
| spellingShingle | HG1-9999 risk assessment VIX business groups SHARE asymptotic approximation European stock markets whole life insurance dynamic hedging risk-neutral distribution cooperative banks Data Envelopment Analysis (DEA) group-affiliated early warning system factor models smoothing process GMC falsified products S&P 500 index options credit derivatives corporate sustainability term life insurance risk management crude oil financial stability social efficiency dynamic conditional correlation emerging market out-of-sample forecast financial crisis binomial tree news release green energy perceived usefulness Bayesian approach two-level optimization probability of default bank risk SYMBOL information asymmetry CoVaR probabilistic cash flow japonica rice production bank profitability Monte Carlo Simulations gain-loss ratio coherent risk measures Mezzanine Financing national health system option value conscientiousness online purchase intention Slovak enterprises spot and futures prices liquidity premium institutional voids utility random forests bankruptcy optimizing financial model sustainable food security system dynamic panel co-dependence modelling financial performance time-varying correlations Project Financing future health risk generalized autoregressive score functions volatility spillovers financial risks simulations life insurance emotion finance risk markov regime switching diversification production frontier function Granger causality health risk risks mitigation returns and volatility sadness low-income country the sudden stop of capital inflow bank failure China’s food policy objective health status IPO underpricing polarity climate change stock return volatility sentiment analysis empirical process full BEKK stochastic frontier model perceived ease of use volatility transmission openness to experience sustainability low carbon targets quasi likelihood ratio (QLR) test banking regulation sustainable development specification testing fossil fuels time-varying copula function tree structures monthly CPI data coal cartel regular vine copulas sustainability of economic recovery ANN EGARCH-m financial security leniency program financial hazard map uncertainty termination causal path stakeholder theory technological progress banking investment horizon regression model two-level CES function joy the optimal scale of foreign exchange reserve carbon emissions stochastic volatility B-splines self-perceived health sovereign credit default swap (SCDS) RV5MIN utility maximization credit risk policy simulation socially responsible investment portfolio selection scientific verification European banking system risk-free rate wild bootstrap medication investment profitability Amihud’s illiquidity ratio multivariate regime-switching inflation forecast risk aversion market timing need hierarchy theory variance diagonal BEKK conjugate prior risk moving averages financial risk risk measures bic Book Industry Communication::W Lifestyle, sport & leisure::WC Antiques & collectables::WCF Coins, banknotes, medals, seals (numismatics) Wong, Wing-Keung McAleer, Michael Risk Measures with Applications in Finance and Economics |
| title | Risk Measures with Applications in Finance and Economics |
| title_full | Risk Measures with Applications in Finance and Economics |
| title_fullStr | Risk Measures with Applications in Finance and Economics |
| title_full_unstemmed | Risk Measures with Applications in Finance and Economics |
| title_short | Risk Measures with Applications in Finance and Economics |
| title_sort | risk measures with applications in finance and economics |
| topic | HG1-9999 risk assessment VIX business groups SHARE asymptotic approximation European stock markets whole life insurance dynamic hedging risk-neutral distribution cooperative banks Data Envelopment Analysis (DEA) group-affiliated early warning system factor models smoothing process GMC falsified products S&P 500 index options credit derivatives corporate sustainability term life insurance risk management crude oil financial stability social efficiency dynamic conditional correlation emerging market out-of-sample forecast financial crisis binomial tree news release green energy perceived usefulness Bayesian approach two-level optimization probability of default bank risk SYMBOL information asymmetry CoVaR probabilistic cash flow japonica rice production bank profitability Monte Carlo Simulations gain-loss ratio coherent risk measures Mezzanine Financing national health system option value conscientiousness online purchase intention Slovak enterprises spot and futures prices liquidity premium institutional voids utility random forests bankruptcy optimizing financial model sustainable food security system dynamic panel co-dependence modelling financial performance time-varying correlations Project Financing future health risk generalized autoregressive score functions volatility spillovers financial risks simulations life insurance emotion finance risk markov regime switching diversification production frontier function Granger causality health risk risks mitigation returns and volatility sadness low-income country the sudden stop of capital inflow bank failure China’s food policy objective health status IPO underpricing polarity climate change stock return volatility sentiment analysis empirical process full BEKK stochastic frontier model perceived ease of use volatility transmission openness to experience sustainability low carbon targets quasi likelihood ratio (QLR) test banking regulation sustainable development specification testing fossil fuels time-varying copula function tree structures monthly CPI data coal cartel regular vine copulas sustainability of economic recovery ANN EGARCH-m financial security leniency program financial hazard map uncertainty termination causal path stakeholder theory technological progress banking investment horizon regression model two-level CES function joy the optimal scale of foreign exchange reserve carbon emissions stochastic volatility B-splines self-perceived health sovereign credit default swap (SCDS) RV5MIN utility maximization credit risk policy simulation socially responsible investment portfolio selection scientific verification European banking system risk-free rate wild bootstrap medication investment profitability Amihud’s illiquidity ratio multivariate regime-switching inflation forecast risk aversion market timing need hierarchy theory variance diagonal BEKK conjugate prior risk moving averages financial risk risk measures bic Book Industry Communication::W Lifestyle, sport & leisure::WC Antiques & collectables::WCF Coins, banknotes, medals, seals (numismatics) |
| topic_facet | HG1-9999 risk assessment VIX business groups SHARE asymptotic approximation European stock markets whole life insurance dynamic hedging risk-neutral distribution cooperative banks Data Envelopment Analysis (DEA) group-affiliated early warning system factor models smoothing process GMC falsified products S&P 500 index options credit derivatives corporate sustainability term life insurance risk management crude oil financial stability social efficiency dynamic conditional correlation emerging market out-of-sample forecast financial crisis binomial tree news release green energy perceived usefulness Bayesian approach two-level optimization probability of default bank risk SYMBOL information asymmetry CoVaR probabilistic cash flow japonica rice production bank profitability Monte Carlo Simulations gain-loss ratio coherent risk measures Mezzanine Financing national health system option value conscientiousness online purchase intention Slovak enterprises spot and futures prices liquidity premium institutional voids utility random forests bankruptcy optimizing financial model sustainable food security system dynamic panel co-dependence modelling financial performance time-varying correlations Project Financing future health risk generalized autoregressive score functions volatility spillovers financial risks simulations life insurance emotion finance risk markov regime switching diversification production frontier function Granger causality health risk risks mitigation returns and volatility sadness low-income country the sudden stop of capital inflow bank failure China’s food policy objective health status IPO underpricing polarity climate change stock return volatility sentiment analysis empirical process full BEKK stochastic frontier model perceived ease of use volatility transmission openness to experience sustainability low carbon targets quasi likelihood ratio (QLR) test banking regulation sustainable development specification testing fossil fuels time-varying copula function tree structures monthly CPI data coal cartel regular vine copulas sustainability of economic recovery ANN EGARCH-m financial security leniency program financial hazard map uncertainty termination causal path stakeholder theory technological progress banking investment horizon regression model two-level CES function joy the optimal scale of foreign exchange reserve carbon emissions stochastic volatility B-splines self-perceived health sovereign credit default swap (SCDS) RV5MIN utility maximization credit risk policy simulation socially responsible investment portfolio selection scientific verification European banking system risk-free rate wild bootstrap medication investment profitability Amihud’s illiquidity ratio multivariate regime-switching inflation forecast risk aversion market timing need hierarchy theory variance diagonal BEKK conjugate prior risk moving averages financial risk risk measures bic Book Industry Communication::W Lifestyle, sport & leisure::WC Antiques & collectables::WCF Coins, banknotes, medals, seals (numismatics) |
| url | 35920 |
| work_keys_str_mv | AT wongwingkeung riskmeasureswithapplicationsinfinanceandeconomics AT mcaleermichael riskmeasureswithapplicationsinfinanceandeconomics |