Emerald
SCOPUS (2000-2022)ESCI-ISI
1526-5943
Cơ quản chủ quản: Emerald Group Publishing Ltd.
Lĩnh vực:
AccountingFinance
Phân tích ảnh hưởng
Các bài báo tiêu biểu
Financial development index and economic growth: empirical evidence from IndiaPurpose The 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/approach Augment Dickey Fuller, Philli...
Tập 12 Số 2 - Trang 98-111 - 2011
ErratumThis article has been withdrawn as it was published elsewhere and accidentally duplicated. The original article can be seen here: 10.1108/09657960410699667. When citing the article, please cite: Joseph Mariathasan, (2004), “Bond indices: understanding all the angles”, Balance Sheet , Vol. 12 Iss: 4, pp. 10 - 13.
- 2004
The Properties of Incremental VaR in Monte Carlo SimulationsIncremental value‐at‐risk (VaR) is used to measure the effectiveness of diversification. However, the statistical properties of the estimated incremental VaR have not been fully explored. In this article, the author compares incremental VaR with other VaR‐based risk measures. The article derives the exact distribution of the estimated incremental VaR, when obtained using Monte Carlo simula... ...
- 2002
The Pricing of Insurance‐Linked Securities Under Interest Rate UncertaintyIn this article, the authors develop an arbitrage approach to valuing insurance‐linked securities (ILS) for non‐catastrophic events within a framework of stochastic interest rates. The prices of these transactions are driven by both an interest rate process and a non‐trivial actuarial risk process. The authors find that the duration of ILS is, in most cases, higher than the Macaulay durati... ...
- 2002
Weather Derivatives and Their Implications for Power MarketsMajor segments of the U.S. economy are affected by weather. With the emergence of weather derivatives, exposure to weather‐related risk has evolved from being merely accepted. As a result, weather risk management strategies are increasingly being adopted in strategic decision‐making by senior management. Weather derivatives enable managers to focus on core operating risks by trading away t... ...
Tập 1 Số 2 - Trang 19-28 - 2000
Introduction of weather‐derivative concepts: perspectives for PortugalPurpose The purpose of this paper is to present an overview of weather derivatives markets and to highlight the importance of the contributing factors for weather risk management such as weather sensitivity, weather forecast, and economic growth. In this paper, the prospective of using weather derivatives in Portugal and why...
Tập 11 Số 1 - Trang 9-19 - 2010
Factor Models: Portfolio Credit Risks When Defaults are CorrelatedThis article discusses factor models for portfolio credit. In these models, correlations between individual defaults are driven by a few systematic factors. By conditioning on these factors, defaults observed within are independent. This allows a greater degree of analytical tractability in the model with a realistic dependency structure.
- 2001
Behaviour‐based risk management systems: Reducing costs by changing attitudesThe drive to eliminate losses leads to greater emphasis on risk‐control measures. Argues that risk management can be transformed through the use of behaviour‐based risk management techniques.
- 2002
Model‐Independent Measures of Volatility ExposureThe 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 techni... ...
Tập 2 Số 1 - Trang 19-26 - 2000