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Search Results for Collection: College of Business and Law
Now showing items 1-7 of 7
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-06-14)Both in practice and in the academic literature, models for setting margin requirements in futures markets use daily closing price changes. However, financial markets have recently shown high intraday volatility, which ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Extreme asset price movements have major consequences for an economy’s financial stability and monetary policies. The recent equity price movements associated with financial crises appear to be more pronounced and policy ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. ...
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(Routledge, 2004)This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect ...
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(Henry Stewart Publications, 2004)Focuses on the importance of the accurate modelling of market risk. Dates of extreme trading events experienced by derivative traders; Standard approach to modelling any market movement and its implications; Use of extreme ...
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(Papazisis Press, 2004-11)Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market ...
Now showing items 1-7 of 7