Emerald
SCOPUS (1999-2025)ESCI-ISI
1526-5943
Cơ quản chủ quản: Emerald Group Publishing Ltd.
Lĩnh vực:
AccountingFinance
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Các bài báo tiêu biểu
Financial development index and economic growth: empirical evidence from India
Tập 12 Số 2 - Trang 98-111 - 2011
PurposeThe purpose of this paper is to construct a financial development index
(FDI) for the Indian economy and also examine the relationship between FDI and
economic growth.Design/methodology/approachAugment Dickey Fuller, Phillips
Perron and Ng Perron unit root tests are employed in order to determine the
level of integration. The long‐ and short‐run dynamics are obtained by using
auto‐regressiv...
Systemic risk in modern financial systems: analytics and policy design
- 2007
PurposeIn recent years, the financial system has been changing rapidly. At the
same time, macroeconomic volatility has fallen in developed countries. The
purpose of this paper is to examine how these developments may have affected the
nature of systemic crises. The paper also aims to discuss how central banks and
other financial regulators might respond to these developments with a clearer,
more r...
Model‐Independent Measures of Volatility Exposure
Tập 2 Số 1 - Trang 19-26 - 2000
The development of standardized measures of institution‐wide volatility
exposures has so far lagged that for measures of asset price and interest‐rate
exposure—largely because it is difficult to reconcile the various mathematical
models used to value options. Recent mathematical results, however, can be used
to construct standardized measures of volatility exposure. We consider here
techniques for...
A multi‐year risk capital concept for internal models and enterprise risk management
- 2012
PurposeThe purpose of this paper is to illustrate how risk capital can be
calculated and allocated in a multi‐year context. This is an important issue,
since strategic management and decision making within insurance companies
require a multi‐year time horizon (instead of a one‐year time horizon, as set
out in solvency models).Design/methodology/approachAfter defining risk capital
in a multi‐year c...
Mapping corporate drift towards default
Tập 8 Số 1 - Trang 35-45 - 2007
PurposeThe purpose of this article is to discuss a Black‐Scholes‐Merton
(BSM)‐based market approach to quantify the default risk of publicly‐listed
individual companies.Design/methodology/approachUsing the contingent claim
approach, a framework is presented to optimally use stock market and balance
sheet information of the company to predict its probability of failure as well
as ordinal risk ranki...