Add to ORKGWe investigate the model of Froot and Stein (1998), a model that has very strong implications for risk management. We argue that their conclusions are too strong and need to be qualified. Also, there are some unusual consequences of their model, which may be linked to the chosen pricing formula.G20 and G31 and G32
We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence t...
return, portfolio management. The Capital Asset Pricing Model (CAPM) has been the dominating capital...
It is uncontroversial to state that academic finance theory underwent a revolution in the 1950s and ...
We investigate the model of Froot & Stein (1998), a model which has very strong implications for ris...
We investigate the model of Froot and Stein (1998), a model that has very strong implications for ri...
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital...
Quantitative risk management techniques should prove their efficacy when financially turbulent perio...
textabstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions...
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model r...
In this chapter I argue that as a response to the introduction of capital requirements in the form o...
The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices...
In this paper we advance the idea that optimal risk management under the Basel II Accord will typica...
This paper develops a dynamic risk management model to determine a firm's optimal risk management st...
Financial institutions use quantitative risk models not only to manage their risks, but also to comm...
Different models have tried to improve the Capital Asset Pricing Model (CAPM) findings, on the basi...
We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence t...
return, portfolio management. The Capital Asset Pricing Model (CAPM) has been the dominating capital...
It is uncontroversial to state that academic finance theory underwent a revolution in the 1950s and ...
We investigate the model of Froot & Stein (1998), a model which has very strong implications for ris...
We investigate the model of Froot and Stein (1998), a model that has very strong implications for ri...
When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital...
Quantitative risk management techniques should prove their efficacy when financially turbulent perio...
textabstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions...
This paper evaluates the model risk of models used for forecasting systemic and market risk. Model r...
In this chapter I argue that as a response to the introduction of capital requirements in the form o...
The paper studies outside finance in a model of two-dimensional moral hazard, involving risk choices...
In this paper we advance the idea that optimal risk management under the Basel II Accord will typica...
This paper develops a dynamic risk management model to determine a firm's optimal risk management st...
Financial institutions use quantitative risk models not only to manage their risks, but also to comm...
Different models have tried to improve the Capital Asset Pricing Model (CAPM) findings, on the basi...
We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence t...
return, portfolio management. The Capital Asset Pricing Model (CAPM) has been the dominating capital...
It is uncontroversial to state that academic finance theory underwent a revolution in the 1950s and ...