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Risk Measures with Applications in Finance and Economics
Michael McAleer and Wing-Keung Wong
2019
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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.
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Keywords
- 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
- Émotion
- 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