Table of contents
Risk assessment for financial accounting: modeling probability of default
Tobias FiluschThis paper aims to introduce and tests models for point-in-time probability of default (PD) term structures as required by international accounting standards. Corresponding…
Comparative analysis of interest rate term structures in the Solvency II environment
Mariano Gonzalez Sanchez, Sonia Rodriguez-SanchezSolvency-II is the current regulatory framework of insurance companies in the European Union. Under this standard, European Insurance and Occupational Pension Authority (EIOPA)…
A volatility-match approach to measure performance: the case of socially responsible exchange traded funds (ETFs)
Manuel Lobato, Javier Rodríguez, Herminio RomeroThis study examines the risk-adjusted performance of socially responsible exchange traded funds (SR ETFs) in comparison to conventional ETFs.
How dark is the dark side of diversification?
Pedro E. Cadenas, Henryk Gzyl, Hyun Woong ParkThis paper aims to illustrate, within the context of a well-known linear diversification model, that risk management as exerted by banks and regulators ultimately depends on how…
Scenario-based measurement of interest rate risks
Sebastian SchlütterThis paper aims to propose a scenario-based approach for measuring interest rate risks. Many regulatory capital standards in banking and insurance make use of similar approaches…
The performance of corporate bond issuers in times of financial crisis: empirical evidence from Latin America
Marc Berninger, Bruno Fiesenig, Dirk SchiereckThe fundamental theory of Modigliani and Miller (1958) states that a firm's financing decisions are independent from the firm's value. Nevertheless, several empirical studies as…
Dependent structure and risk analysis of S&P 500 Index's continuously rising returns and continuously falling returns
Wuyi Ye, Ruyu ZhaoThe stock market price time series can be divided into two processes: continuously rising and continuously falling. The authors can effectively prevent the stock market from…
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1526-5943Online date, start – end:
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Emerald Publishing LimitedOpen Access:
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Balance SheetEditor:
- Nawazish Mirza