Manchester, Manchester M13 9PL
University of Manchester - Manchester Business School
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Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation
Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation.
Asset-liability management, Hull-White, Black-Karasinski, Bermudan swaptions, 1-factor model
Asymptotic independence, Extreme value theory, Hill's estimator, Tail index, Risk management
Credit rating, default probability, expected loss rate, CDO, special purpose vehicle
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: eufm.
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Stock market liquidity, financial crisis, contagion
Contagion, Copula, Risk Appetite
Asset-liability management, Hull-White, Black-Karasinski, Libor Market Model, Swap Market Model, Bermudan swaptions
Long Memory, Structural Breaks, Fractional Integration, Volatility Components, Regime Switching, Volatility Forecasting
Sovereign debt, GDP-linked bonds
Financial Time Series, Extreme Value Theory, Extremal Dependence Structure, Downside Risk, Optimal Hedge Ratio
Swap Market Model, Libor Market Model, Bermudan swaptions, Asset-liability management, No-arbitrage Drift
General Equilibrium, G Distribution, Mixture of Distributions, Risk Neutral Valuation Relationship, Pricing Kernel, Option Pricing
Institutional Herding, Institutional Count, Institutional Holdings, Market Liquidity, Financial Crises
institutional herding, institutional count, institutional holdings, market liquidity, financial crises
GARCH, Stochastic Volatility, Realised Volatility, Volatility Surface, Variance Swaps
Belief rule base, evidential reasoning, asset class, portfolio optimisation
Risk Neutral Valuation Relationship, General Equilibrium Framework, Transformed Gamma Distribution, Weather Derivatives
Importance sampling, Simulation, Stochastic volatility
Approximation, economic capital, economic capital contributions, incremental economic capital, risk pricing, Value at Risk, Expected Shortfall, granularity adjustment, multi-factor adjustment, amortizing loan
Option-Implied Information, Risk-Neutral Skewness, Hedging Pressure, Overvaluation, Short Selling Constraints.
Genral Equilibrium, Esscher Transform, Indifference Pricing, Wang Transform, Standard Deviation Loading
Esscher transform, indifference pricing, Wang transform, standard deviation loading
GDP linked bond, Incomplete Markets, Structural Models, Esscher transform, General Equilibrium
Hawkes process, Volatility Surface, Volatility Risk Premium, Jump Risk Premium, Skew Premium
ARMA-GARCH filtering, Asymptotic dependence, Asymptotic independence, Copula, Multivariate extreme values
SPX Volatility Surface, VIX Volatility Surface, VIX Futures, VIX Options, Hedge Ratio
Loan to value, Rule-Based Value-at-Risk, Concentration, Diversification, Multi-factor Risk Model
CDS spread, credit risk, liquidity risk, systematic factors
Systemic Jump, Idiosyncratic Jump, Jump-diffusion, International Portfolio Diversification, Markov Chain Monte Carlo
Mortgage Backed Securities, Collateralized Mortgage Obligations, Partial Differential Equation, Monte Carlo Simulation, Risk Measures, Value at Risk
Cross currency basis swap, swaption, expected exposure, dynamic spread
Hedge Funds, Flows, Price Impact, Bond Yields, Liquidity
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: Dp2762.
Asymptotic independence, extreme value theory, Hill's estimator, tail index
CDS, Deep Out-of-the-Money Put, Credit Risk, Liquidity Risk, Trading Strategy
Partial myopia, Dynamic programming, Background risk, HARA utility function, Certainty equivalent
Board Gender Diversity, Female Corporate Leadership, Gender Diverse Investment, Corporate Social Responsibility
Asset allocation, international portfolio diversification, home bias, systemic and idiosyncratic jumps, jump news
Credit Default Swap (CDS), Trading Strategy, CDS Term Structure, Credit Rating
Asset Pricing, Option Returns, Moneyness, Total, Systematic, Idiosyncratic Volatility
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2795521.
Basel III, credit risk, Monte Carlo, non-Gaussian distribution, skewed Student-t distribution, Vasicek loan loss distribution
File name: SSRN-id2789570.
credit risk, defaults, credit contagion
Mini Flash Crash, Flash Crash, Liquidity, High Frequency Trading, Intermarket Sweep Order, ISO, Top of the Book Protection, Regulation National Market System
Risk Measurement and Management, Quantitative Tools, Econometric and Statistical Methods
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