[图书][B] Understanding and Managing Model Risk: A practical guide for quants, traders and validators

M Morini - 2011 - books.google.com
A guide to the validation and risk management of quantitative models used for pricing and
hedging Whereas the majority of quantitative finance books focus on mathematics and risk …

Interest rates and the credit crunch: new formulas and market models

F Mercurio - Bloomberg portfolio research paper, 2009 - papers.ssrn.com
We start by describing the major changes that occurred in the quotes of market rates after
the 2007 subprime mortgage crisis. We comment on their lost analogies and consistencies …

The liquidity risk–financial performance nexus: Evidence from hybrid financial institutions

M Adusei - Managerial and Decision Economics, 2022 - Wiley Online Library
This paper uses a sample of 532 microfinance institutions (MFIs) in 73 countries to
investigate the effect of liquidity risk on the financial performance of MFIs and also enquires …

Liquidity, implied volatility and tail risk: A comparison of liquidity measures

HP Ramos, MB Righi - International Review of Financial Analysis, 2020 - Elsevier
Liquidity is easily perceived but not easily measured in financial markets. Researchers and
practitioners develop and test new measures of liquidity which may be good candidates for …

[PDF][PDF] Liquidity Premium: Literature review of theoretical and empirical evidence

J Hibbert, A Kirchner, G Kretzschmar, R Li… - Barrie & Hibbert research …, 2009 - Citeseer
The role of liquidity in determining asset prices is the subject of a vast research literature
spanning a period of more than thirty years. The primary purpose of this report is to provide a …

Properties and comparison of risk capital allocation methods

D Balog, TL Bátyi, P Csóka, M Pintér - European Journal of Operational …, 2017 - Elsevier
If a financial unit (a bank, an insurance company, a portfolio, the financial system of a
country, etc.) consists of subunits (divisions, subportfolios, etc.), then the risk of the main unit …

Macroeconomic factors and venture capital market liquidity: evidence from Europe

FA Frimpong, EK Akwaa-Sekyi, IS Anyars… - Cogent Economics & …, 2024 - Taylor & Francis
The relationship between macroeconomic factors and stock market liquidity is known but not
the same can be said of macroeconomic factors and VC market liquidity. This study …

Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility

J Armstrong, D Brigo - Journal of Banking & Finance, 2019 - Elsevier
We consider market players with tail-risk-seeking behaviour modelled by S-shaped utility, as
introduced by Kahneman and Tversky. We argue that risk measures such as value at risk …

Interest rates after the credit crunch: Multiple-curve vanilla derivatives and SABR

M Bianchetti, M Carlicchi - arXiv preprint arXiv:1103.2567, 2011 - arxiv.org
We present a quantitative study of the markets and models evolution across the credit
crunch crisis. In particular, we focus on the fixed income market and we analyze the most …

Price mediated contagion through capital ratio requirements with VWAP liquidation prices

T Banerjee, Z Feinstein - European Journal of Operational Research, 2021 - Elsevier
We develop a framework for price-mediated contagion in financial systems where banks are
forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In …