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Purpose – Interest rate risk immunization is one of the key concerns for fixed income portfolio management. In recent years, the affluence of new risk measures has emphasized the importance of comparing them with the classic approaches. As a result, one question arises: what is the relation...
Purpose – The purpose of this study is to determine the characteristics of the equilibrium between demand and supply for a reciprocal insurance firm. Design/methodology/approach – The model developed assumes a fixed number of individuals with identical characteristics and of constant absolute...
Purpose – The Chinese stock market is a typical emerging market with special features that are very different from those of mature markets. The objective of this study is to investigate whether and how these features affect the volatility‐volume relation for Chinese stocks....
Purpose – It is the purpose of this article to improve existing methods for risk management, in particular stress testing, for derivative portfolios. The method is explained and compared with other methods, using hypothetical portfolios. Design/methodology/approach – Closed form option...
Purpose – This paper seeks to investigate the relationship between capital structure and profitability of listed firms on the Ghana Stock Exchange (GSE) during a five‐year period. Design/methodology/approach – Regression analysis is used in the estimation of functions relating the return on...
Purpose – To study the effect of Knightian uncertainty – as opposed to statistical estimation error – in the evaluation of value‐at‐risk (VaR) of financial investments. To develop methods for augmenting existing VaR estimates to account for Knightian uncertainty....
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