Emerald
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Decisions on capital structure in a Zakat environment with prohibition of ribaPurpose The purpose of this paper is to assess and explain the leverage of Saudi companies (53 companies) during the period 2003‐2007. Design/methodology/approach This paper reviews two different classical capital structure theories,...
Emerald - - 2009
The continuing saga — Basel II developments: liquidity regulation into the 21st centuryPractitioners with elephantine memories will recall that for over 25 years the Bank of England and more recently the Financial Services Authority have been discussing with banks and periodically making relatively modest changes to liquidity regulation in banking.
Emerald - Tập 5 Số 3 - Trang 23-27 - 2004
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...
Emerald - 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... ...
Emerald - - 2002
A note on probabilistic confidence of the stock market ILS interval forecastsPurpose The purpose of this paper is to associate a probabilistic confidence with the stock market interval forecasts obtained with the interval least squares (ILS) algorithm. The term probabilistic confidence in this paper means the probability of a point observation that will fall in the interval forecast. ...
Emerald - - 2010
“Leapfrogging” the Variance: The Financial Management of Extreme‐Event RiskEvents surrounding September 11, 2001, have motivated increasing interest in identifying, assessing, and managing the risk of “extreme events.” This article introduces a new mathematical framework for the risk management of extreme event risk. In the article, the author proposes criteria based on “higher” (the third and fourth) moments that dominate variance (the second moment) in explaini... ...
Emerald - - 2003
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.
Emerald - - 2001
Pricing credit risk through equity options calibrationPurpose To implement the model described in the companion paper, “Pricing credit risk through equity options calibration, part 1 – theory,” and show how to calculate the price of a set of coupon bonds issued by a US telecommunications and media company, AOL Time Warner, based on the information retrieved by the AOL equity de...
Emerald - - 2006
Financial change: who is benefiting?The field of financial services is one of the fastest changing sectors of the economy. The author argues that this and the changing motivation of people working in the financial services sector mean that a new approach is required to ensure that change both can be managed and can benefit the organisation and its staff.
Emerald - - 2001
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