29   Artículos

 
en línea
Mathias Mandla Manguzvane and Sibusiso Blessing Ngobese    
The accelerated growth and interconnectedness of financial institutions and movement towards products and activities outside the regulatory purview have been met with huge concerns. South Africa is one of the emerging economies that this conundrum has be... ver más
Revista: International Journal of Financial Studies    Formato: Electrónico

 
en línea
Mathias Mandla Manguzvane and John Weirstrass Muteba Mwamba    
Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators? objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally tran... ver más
Revista: International Journal of Financial Studies    Formato: Electrónico

 
en línea
Katleho Makatjane and Tshepiso Tsoku    
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which a... ver más
Revista: International Journal of Financial Studies    Formato: Electrónico

 
en línea
John Weirstrass Muteba Mwamba and Ehounou Serge Eloge Florentin Angaman    
In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between ... ver más
Revista: International Journal of Financial Studies    Formato: Electrónico

 
en línea
Cristina Zeldea    
Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities. In this sense, we aim to analyze whether systemic risk for a sample of US b... ver más
Revista: Administrative Sciences    Formato: Electrónico

 
en línea
Aymen Mselmi     Pág. 53 - 60
This paper examines the effect of financial institutions management information system migration to blockchain technology on systemic risk. Our study examines a sample of 40 financial institutions around the world. The aim is to identify to what extent t... ver más
Revista: International Journal of Economics and Financial Issues    Formato: Electrónico

 
en línea
Ramzi Nekhili and Jahangir Sultan    
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Ris... ver más
Revista: International Journal of Financial Studies    Formato: Electrónico

 
en línea
Jaime Enrique Lincovil,Chang Chiann     Pág. 56 - 76
Evaluating forecasts of risk measures, such as value?at?risk (VaR) and expected shortfall (ES), is an important process for financial institutions. Backtesting procedures were introduced to assess the efficiency of these forecasts. In this paper, we comp... ver más
Revista: Revista Brasileira de Finanças    Formato: Electrónico

 
en línea
Owen Jakata,Delson Chikobvu    
AbstractOrientation: In light of the global financial instabilities, investors and risk analysts need extreme risk management tools to help them accurately monitor and reduce market exposure in an investment portfolio.Research purpose: The main... ver más
Revista: Journal of Economic and Financial Sciences (JEF)    Formato: Electrónico

 
en línea
Raúl de Jesús-Gutiérrez,Roberto J. Santillán-Salgado     Pág. 127 - 141
The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American ... ver más
Revista: International Journal of Economics and Financial Issues    Formato: Electrónico

« Anterior     Página: 1 de 3     Siguiente »