Table of contents
Multiple-period market risk prediction under long memory: when VaR is higher than expected
Harald Kinateder, Niklas Wagner– The paper aims to model multiple-period market risk forecasts under long memory persistence in market volatility.
Cross market price support and agricultural development: Quanto options valuation for cash grains in Mexico
Leslie J. Verteramo Chiu, Calum G. Turvey– This paper aims to develop a market-driven mechanism for commodity price insurance in developing countries lacking access to futures markets or other forms of hedging products.
Models for predicting default: towards efficient forecasts
Fernando Castagnolo, Gustavo FerroThe purpose of this paper is to assess and compare the forecast ability of existing credit risk models, answering three questions: Can these methods adequately predict default…
Concentration risk model for Greek bank's credit portfolio
Constantinos Lefcaditis, Anastasios Tsamis, John LeventidesThe IRB capital requirements of Basel II define the minimum level of capital that the bank has to retain to cover the current risks of its portfolio. The major risk that many…
Why do venture capitalists use such high discount rates?
Sanjai BhagatVenture capitalists typically use discount rates in the range of 30-70 percent. During the startup stage of venture-capital financing, discount rates between 50 and 70 percent are…
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1526-5943Online date, start – end:
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Emerald Publishing LimitedOpen Access:
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Balance SheetEditor:
- Nawazish Mirza