1 - 6 of 6 articles
Purpose – This paper aims to enhance a co‐skew‐based risk measurement methodology initially introduced in Polimenis, by extending it for the joint estimation of the jump betas for two stocks. Design/methodology/approach – The authors introduce the possibility of idiosyncratic jumps and analyze...
Purpose – The purpose of the paper is to find out which incentives are present for persons who are taking care of financial regulation in practice, and how these incentives impact their attitudes towards complexity of financial regulation. Design/methodology/approach – Based on recent...
Purpose – The concept of value at risk is used in the risk‐based calculation of solvency capital requirements in the Basel II/III banking regulations and in the planned Solvency II insurance regulation framework planned in the European Union. While this measure controls the ruin probability of a...
Purpose – This paper aims to investigate the spillover effect of 14 US key macroeconomic news on the first two moments of 12 Asian stock market returns. Design/methodology/approach – The authors collect market expectation and actual scheduled announcements data for 14 key US's macroeconomic...
Purpose – This study aims to present an empirical model designed to forecast bank credit ratings using only quantitative and publicly available information from their financial statements. For this reason, the authors use the long‐term ratings provided by Fitch in 2012. The sample consists of 92...
Purpose – In this study, the author aims to examine the behavior of QQQ options at the time of the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the questions: is there a relation between hedging and speculation, if such a relation exists considering the improvement in...
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