Risk Measures with Applications in Finance and Economics
Risk Measures with Applications in Finance and Economics
- MDPI - Multidisciplinary Digital Publishing Institute 2019
- 1 online resource (536 p.)
Open Access
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.A Special Issue of "Risk Measures with Applications in Finance and Economics" will be devoted to advancements in the mathematical and statistical development of risk measures with applications in finance and economics. This Special Issue will bring together the theory, practice and real-world applications of risk measures. This book is a collection of papers published in the Special Issue of "Risk Measures with Applications in Finance and Economics" for Sustainability in 2018.
Creative Commons
English
9783038974437 9783038974444 books978-3-03897-444-4
10.3390/books978-3-03897-444-4 doi
Amihud's illiquidity ratio ANN asymptotic approximation B-splines bank failure bank profitability bank risk banking banking regulation bankruptcy Bayesian approach binomial tree business groups carbon emissions cartel causal path China's food policy climate change co-dependence modelling coal coherent risk measures conjugate prior conscientiousness cooperative banks corporate sustainability CoVaR credit derivatives credit risk crude oil Data Envelopment Analysis (DEA) diagonal BEKK diversification dynamic conditional correlation dynamic hedging dynamic panel early warning system EGARCH-m emerging market emotion empirical process European banking system European stock markets factor models falsified products finance risk financial crisis financial hazard map financial performance financial risk financial risks financial security financial stability fossil fuels full BEKK future health risk gain-loss ratio generalized autoregressive score functions GMC Granger causality green energy group-affiliated health risk inflation forecast information asymmetry institutional voids investment horizon investment profitability IPO underpricing japonica rice production joy leniency program life insurance liquidity premium low carbon targets low-income country market timing markov regime switching medication Mezzanine Financing Monte Carlo Simulations monthly CPI data moving averages multivariate regime-switching national health system need hierarchy theory news release objective health status online purchase intention openness to experience optimizing financial model option value out-of-sample forecast perceived ease of use perceived usefulness polarity policy simulation portfolio selection probabilistic cash flow probability of default production frontier function Project Financing quasi likelihood ratio (QLR) test random forests regression model regular vine copulas returns and volatility risk risk assessment risk aversion risk management risk measures risk-free rate risk-neutral distribution risks mitigation RV5MIN S&P 500 index options sadness scientific verification self-perceived health sentiment analysis SHARE simulations Slovak enterprises smoothing process social efficiency socially responsible investment sovereign credit default swap (SCDS) specification testing spot and futures prices stakeholder theory stochastic frontier model stochastic volatility stock return volatility sustainability sustainability of economic recovery sustainable development sustainable food security system SYMBOL technological progress term life insurance the optimal scale of foreign exchange reserve the sudden stop of capital inflow time-varying copula function time-varying correlations tree structures two-level CES function two-level optimization uncertainty termination utility utility maximization variance VIX volatility spillovers volatility transmission whole life insurance wild bootstrap
Open Access
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
Creative Commons
English
9783038974437 9783038974444 books978-3-03897-444-4
10.3390/books978-3-03897-444-4 doi
Amihud's illiquidity ratio ANN asymptotic approximation B-splines bank failure bank profitability bank risk banking banking regulation bankruptcy Bayesian approach binomial tree business groups carbon emissions cartel causal path China's food policy climate change co-dependence modelling coal coherent risk measures conjugate prior conscientiousness cooperative banks corporate sustainability CoVaR credit derivatives credit risk crude oil Data Envelopment Analysis (DEA) diagonal BEKK diversification dynamic conditional correlation dynamic hedging dynamic panel early warning system EGARCH-m emerging market emotion empirical process European banking system European stock markets factor models falsified products finance risk financial crisis financial hazard map financial performance financial risk financial risks financial security financial stability fossil fuels full BEKK future health risk gain-loss ratio generalized autoregressive score functions GMC Granger causality green energy group-affiliated health risk inflation forecast information asymmetry institutional voids investment horizon investment profitability IPO underpricing japonica rice production joy leniency program life insurance liquidity premium low carbon targets low-income country market timing markov regime switching medication Mezzanine Financing Monte Carlo Simulations monthly CPI data moving averages multivariate regime-switching national health system need hierarchy theory news release objective health status online purchase intention openness to experience optimizing financial model option value out-of-sample forecast perceived ease of use perceived usefulness polarity policy simulation portfolio selection probabilistic cash flow probability of default production frontier function Project Financing quasi likelihood ratio (QLR) test random forests regression model regular vine copulas returns and volatility risk risk assessment risk aversion risk management risk measures risk-free rate risk-neutral distribution risks mitigation RV5MIN S&P 500 index options sadness scientific verification self-perceived health sentiment analysis SHARE simulations Slovak enterprises smoothing process social efficiency socially responsible investment sovereign credit default swap (SCDS) specification testing spot and futures prices stakeholder theory stochastic frontier model stochastic volatility stock return volatility sustainability sustainability of economic recovery sustainable development sustainable food security system SYMBOL technological progress term life insurance the optimal scale of foreign exchange reserve the sudden stop of capital inflow time-varying copula function time-varying correlations tree structures two-level CES function two-level optimization uncertainty termination utility utility maximization variance VIX volatility spillovers volatility transmission whole life insurance wild bootstrap