Emerald
SCOPUS (2000-2022)ESCI-ISI
1526-5943
Cơ quản chủ quản: Emerald Group Publishing Ltd.
Lĩnh vực:
AccountingFinance
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
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
Empirical study of value‐at‐risk and expected shortfall models with heavy tailsPurpose This paper aims to test empirically the performance of different models in measuring VaR and ES in the presence of heavy tails in returns using historical data. Design/methodology/approach Daily returns of popular indices (S&...
Tập 7 Số 2 - Trang 117-135 - 2006
The eternal coin – made from real money: risks in fiat currencies
Tập 11 Số 1 - Trang 111-116 - 2010
Volatility persistence and trading volume in an emerging futures marketPurpose The purpose of this paper is to estimate time‐varying conditional volatility, and examine the extent to which trading volume, as a proxy for information arrival, explain the persistence of futures market volatility using National Stock Exchange S&P CRISIL NSE Index Nifty index futures. ...
Tập 11 Số 3 - Trang 296-309 - 2010
The impact of natural hedging on a life insurer's risk situationPurpose Systematic mortality risk, i.e. the risk of unexpected changes in mortality and survival rates, can substantially impact a life insurers' risk and solvency situation. By using the “natural hedge” between life insurance and annuities, insurance companies have an effective tool for reducing their net‐exposure. The purp...
Tập 13 Số 5 - Trang 396-423 - 2012
An Introduction to Credit DerivativesThe authors provide the reader with a simple introduction to credit derivatives. The article includes a broad overview of the market, estimates of the global market size, and a description of the most widely used products.
- 2002
Risk exposure and corporate financial policy on the Ghana Stock ExchangePurpose The purpose of this paper is to examine the extent to which corporate managers alter their capital structure in response to risk exposures on the Ghana Stock Exchange (GSE). Design/methodology/approach A panel data covering t...
- 2010
Thoughts on Credit Risk Diversification: Comparing Credit Ratings Volatility Across Asset ClassesThis article discusses credit migration of diversified loan pool securitizations, as evidenced by the ratings transitions of mortgage‐backed securities (MBS) and asset‐backed securities (ABS). The authors contrast the ratings (i.e., credit) stability of MBS and ABS relative to ratings migration of general obligation corporate credit. They also use holding period returns to compare the tota... ...
- 2002