Four Essays On Risk In Finance

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Four Essays On Risk In Finance

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Author : Christian Soendergaard Pedersen
language : en
Publisher:
Release Date : 1998

Four Essays On Risk In Finance written by Christian Soendergaard Pedersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.

Four Essays On Measuring Financial Risks

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Author : Roxana Halbleib
language : en
Publisher:
Release Date : 2010

Four Essays On Measuring Financial Risks written by Roxana Halbleib and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

Four Essays On Measuring Financial Risks

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Author : Roxana-Mihaela Chiriac
language : en
Publisher:
Release Date : 2010

Four Essays On Measuring Financial Risks written by Roxana-Mihaela Chiriac and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

Four Essays On Finance

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Author : Sebastian Ostrowski
language : en
Publisher:
Release Date : 2012

Four Essays On Finance written by Sebastian Ostrowski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.

Four Essays On Financial Markets And Sovereign Risk How The Euro Crisis Commodities And Climate Change Affect Countries Financing Costs

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Author : Hannes Böhm
language : en
Publisher:
Release Date : 2021

Four Essays On Financial Markets And Sovereign Risk How The Euro Crisis Commodities And Climate Change Affect Countries Financing Costs written by Hannes Böhm and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.

Essays On Risk And Uncertainty In Economics And Finance

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Author : Jorge Mario Uribe Gil
language : en
Publisher: Ed. Universidad de Cantabria
Release Date : 2022-11-22

Essays On Risk And Uncertainty In Economics And Finance written by Jorge Mario Uribe Gil and has been published by Ed. Universidad de Cantabria this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-22 with Business & Economics categories.

This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy impact negatively and significantly the returns of a portfolio of stocks that consist of buying past winners and selling past losers. High uncertainty reduces below zero the abnormal returns of momentum, extinguishes the Sharpe ratio of the momentum strategy, while increases the probability of momentum crashes both by increasing the skewness and the kurtosis of the momentum return distribution. Uncertainty acts as an economic regime that underlies abrupt changes over time of the returns generated by momentum strategies. In Chapter 3, “Measuring Uncertainty in the Stock Market”, a new index for measuring stock market uncertainty on a daily basis is proposed. The index considers the inherent differentiation between uncertainty and the common variations between the series. The second contribution of chapter 3 is to show how this financial uncertainty index can also serve as an indicator of macroeconomic uncertainty. Finally, the dynamic relationship between uncertainty and the series of consumption, interest rates, production and stock market prices, among others, is analized. In chapter 4: “Uncertainty, Systemic Shocks and the Global Banking Sector: Has the Crisis Modified their Relationship?” we explore the stability of systemic risk and uncertainty propagation among financial institutions in the global economy, and show that it has remained stable over the last decade. Additionally, a new simple tool for measuring the resilience of financial institutions to these systemic shocks is provided. We examine the characteristics and stability of systemic risk and uncertainty, in relation to the dynamics of the banking sector stock returns. This sort of evidence is supportive of past claims, made in the field of macroeconomics, which hold that during the global financial crisis the financial system may have faced stronger versions of traditional shocks rather than a new type of shock. In chapter 5, “Currency downside risk, liquidity, and financial stability”, downside risk propagation across global currency markets and the ways in which it is related to liquidity is analyzed. Two primary contributions to the literature follow. First, tail-spillovers between currencies in the global FX market are estimated. This index is easy to build and does not require intraday data, which constitutes an important advantage. Second, we show that turnover is related to risk spillovers in global currency markets. Chapter 6 is entitled “Spillovers from the United States to Latin American and G7 Stock Markets: A VAR-Quantile Analysis”. This chapter contributes to the studies of contagion, market integration and cross-border spillovers during both regular and crisis episodes by carrying out a multivariate quantile analysis. It focuses on Latin American stock markets, which have been characterized by a highly positive dynamic in recent decades, in terms of market capitalization and liquidity ratios, after a far-reaching process of market liberalization and reforms to pension funds across the continent during the 80s and 90s. We document smaller dependences between the LA markets and the US market than those between the US and the developed economies, especially in the highest and lowest quantiles.

Four Essays On Risk Incentives And Markets

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Author : Julius Andreas Pahlke
language : en
Publisher:
Release Date : 2011

Four Essays On Risk Incentives And Markets written by Julius Andreas Pahlke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Essays On Financial Risks And Risk Management

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Author : Wolfgang Bauer
language : en
Publisher:
Release Date : 2004

Essays On Financial Risks And Risk Management written by Wolfgang Bauer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.

Four Essays In Financial Economics

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Author : Li Jin
language : en
Publisher:
Release Date : 2001

Four Essays In Financial Economics written by Li Jin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

Essays On Financial And Economic Risks

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Author : Tengdong Liu
language : en
Publisher:
Release Date : 2013

Essays On Financial And Economic Risks written by Tengdong Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Economics categories.

This dissertation consists of three essays on financial economics, focusing on different types of financial and economic risks and covering different geographical regions. These risk types are related to stock, bond and commodity markets, financial stress and country risk ratings. The first essay investigates directional relationships, regime variances, transition probabilities and expected regime durations for two systems of economic and financial variables. The first system consists of daily series which include credit and market risks. The second system is based on monthly data, and encompasses credit, and market risks and economic activity and oil variables. The methodology is based on the Markov-Switching cointegrated VAR model. The results suggest there is a pronounced regime-specific behavior in both systems with FTP-MS model. There is a significant difference between the higher expected duration in the low volatility regime and the lower duration in the high volatility regime in both systems. Both models suggest that during the 2007/2008 Great Recession, the system stays mainly in regime 2 but returns to the normality state in the 2009 recovery period. The fundamental variables (industrial production, oil prices and the real interest rate) have varying effects in both regimes and both systems. Quantitative easing has significant effects on the bond expected volatility index MOVE in the high volatility regime and industrial production in both regimes. I also examine the driving forces of the time-varying transition probabilities and find that increases of oil price will decrease the probability that the financial markets stay in the low volatility regime. The second essay examines the asymmetric adjustments of the stock markets of the five BRICS countries (Brazil, Russia, India, China and South Africa) to changes in the economic, financial and political country risk ratings of these countries in the short run and long run, using the momentum threshold autoregression (MTAR) and the vector error-correction(VEC) models. The findings suggest that the long-run relationships between these four variables respond asymmetrically depending on the direction of the shocks. The adjustment is faster when the spread between the actual level of stock market index and the level suggested by country risk ratings is narrowing than when it is widening, except for Russia which has the opposite response. The Chinese stock market seems to have the fastest adjustments in the short-and long-run among those of the five BRICS. In terms of the three country risk ratings the financial risk ratings for the five BRICS show the most responsiveness to all the variables in the long-run, while the political risk ratings exhibit the least. The economic and political risk ratings show the fastest adjustments for Brazil, while the financial risk rating is most pronounced in Russia. The third essay examines the Value-at-Risk for ten euro-zone equity markets individually and when divided into two groups: PIIGS and the Core, employing four VaR estimation methods. The results are evaluated according to four statistical properties as well as the Basel capital requirements for the period including the 2007/2008 financial crisis. The estimation and the evaluation are applied to the individual assets as well as to the portfolios consisting of the two groups. The results demonstrate that the CEVT method applied to the ten individual equity assets meet all the statistical criteria the best. The two optimal equity portfolios do not show diversification benefits as the PIIGS portfolio selects Spain's IBEX only and that of the Core opts for Austria's ATX only. The asset class-augmented portfolio that includes the Austrian (ATX) index, oil and gold gives the highest diversification gains. Adding other commodities such as corn and silver, or commodities indices to the augmented portfolio does not enhance the gains. At the optimal portfolio level, the Duration-Peak-Over-the-Threshold (DPOT) is recommended the best in terms of satisfying the Basel rules.