Risk Measures with Applications in Finance and Economics

• Auteur principal: Wong, Wing-Keung (auth)
• Autres auteurs: McAleer, Michael (auth)
• Format: Électronique Chapitre de livre
• Langue: anglais
• Publié: MDPI - Multidisciplinary Digital Publishing Institute 2019
• Sujets: risk assessment; VIX; business groups; SHARE; asymptotic approximation; European stock markets; whole life insurance; dynamic hedging; risk-neutral distribution; cooperative banks; Data Envelopment Analysis (DEA); group-affiliated; early warning system; factor models; smoothing process; GMC; falsified products; S&P 500 index options; credit derivatives; corporate sustainability; term life insurance; risk management; crude oil; financial stability; social efficiency; dynamic conditional correlation; emerging market; out-of-sample forecast; financial crisis; binomial tree; news release; green energy; perceived usefulness; Bayesian approach; two-level optimization; probability of default; bank risk; SYMBOL; information asymmetry; CoVaR; probabilistic cash flow; japonica rice production; bank profitability; Monte Carlo Simulations; gain-loss ratio; coherent risk measures; Mezzanine Financing; national health system; option value; conscientiousness; online purchase intention; Slovak enterprises; spot and futures prices; liquidity premium; institutional voids; utility; random forests; bankruptcy; optimizing financial model; sustainable food security system; dynamic panel; co-dependence modelling; financial performance; time-varying correlations; Project Financing; future health risk; generalized autoregressive score functions; volatility spillovers; financial risks; simulations; life insurance; emotion; finance risk; markov regime switching; diversification; production frontier function; Granger causality; health risk; risks mitigation; returns and volatility; sadness; low-income country; the sudden stop of capital inflow; bank failure; China's food policy; objective health status; IPO underpricing; polarity; climate change; stock return volatility; sentiment analysis; empirical process; full BEKK; stochastic frontier model; perceived ease of use; volatility transmission; openness to experience; sustainability; low carbon targets; quasi likelihood ratio (QLR) test; banking regulation; sustainable development; specification testing; fossil fuels; time-varying copula function; tree structures; monthly CPI data; coal; cartel; regular vine copulas; sustainability of economic recovery; ANN; EGARCH-m; financial security; leniency program; financial hazard map; uncertainty termination; causal path; stakeholder theory; technological progress; banking; investment horizon; regression model; two-level CES function; joy; the optimal scale of foreign exchange reserve; carbon emissions; stochastic volatility; B-splines; self-perceived health; sovereign credit default swap (SCDS); RV5MIN; utility maximization; credit risk; policy simulation; socially responsible investment; portfolio selection; scientific verification; European banking system; risk-free rate; wild bootstrap; medication; investment profitability; Amihud's illiquidity ratio; multivariate regime-switching; inflation forecast; risk aversion; market timing; need hierarchy theory; variance; diagonal BEKK; conjugate prior; risk; moving averages; financial risk; risk measures
• Accès en ligne: DOAB: download the publication; DOAB: description of the publication

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 policie...