We investigate the model of Froot & Stein (1998), a model which has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. We also argue that their analysis is incorrect and incomplete. Specifically, there are some unusual consequences of their model, which may be linked to the chosen pricing formula
Is the growth of modern financial risk management a result of the accuracy and reliability of risk m...
The quality of statistical risk models is much lower than often assumed. Such models are useful for ...
Is the growth of modern financial risk management a result of the accuracy and reliability of risk m...
We investigate the model of Froot and Stein (1998), a model that has very strong implications for ri...
We investigate the model of Froot and Stein (1998), a model that has very strong implications for ri...
textabstractWhen dealing with market risk under the Basel II Accord, variation pays in the form of l...
Does the 2007/08 market crisis herald the end of risk modeling and the empirical method? This paper ...
This paper shows that some of the most prominent risk-based theories offered as explanation for the ...
textabstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions...
The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices...
Modern finance would not have been possible without models. Increasingly complex quantitative models...
University of Technology Sydney. Faculty of Business.The renowned statistician George E. P. Box wrot...
Financial institutions include a wide range of business operations within the financial sector, incl...
In the recent literature, methods from extreme value theory (EVT) have frequently been applied to th...
Risk analysis has become increasingly important with the emergence of new, unknown and potentially d...
Is the growth of modern financial risk management a result of the accuracy and reliability of risk m...
The quality of statistical risk models is much lower than often assumed. Such models are useful for ...
Is the growth of modern financial risk management a result of the accuracy and reliability of risk m...
We investigate the model of Froot and Stein (1998), a model that has very strong implications for ri...
We investigate the model of Froot and Stein (1998), a model that has very strong implications for ri...
textabstractWhen dealing with market risk under the Basel II Accord, variation pays in the form of l...
Does the 2007/08 market crisis herald the end of risk modeling and the empirical method? This paper ...
This paper shows that some of the most prominent risk-based theories offered as explanation for the ...
textabstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions...
The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices...
Modern finance would not have been possible without models. Increasingly complex quantitative models...
University of Technology Sydney. Faculty of Business.The renowned statistician George E. P. Box wrot...
Financial institutions include a wide range of business operations within the financial sector, incl...
In the recent literature, methods from extreme value theory (EVT) have frequently been applied to th...
Risk analysis has become increasingly important with the emergence of new, unknown and potentially d...
Is the growth of modern financial risk management a result of the accuracy and reliability of risk m...
The quality of statistical risk models is much lower than often assumed. Such models are useful for ...
Is the growth of modern financial risk management a result of the accuracy and reliability of risk m...
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