A Capital Markets Approach to Mass Tort Bankruptcy

Computerized Linking of Capital Markets - A Viable Approach

Interlinking capital markets has always been an interesting issue since it not only provides more investment opportunities but also results in reduction of the risk of market volatility due to increase in the size of market. However, global and local barriers like different currencies, legal issues, settlement risks and costs prevent such interlink age to take place efficiently. In this paper, ...

Unmatured Tort Claim Markets: A Comment

Capital Markets clustering: An econometric approach

1 Trabalho de projecto apresentado como requisito parcial para a obtenção do grau de without whose help the data collection would have been impossible. I would especially like to thank all my friends, Catarina Rodrigues, my brother, my sister, my father and my mother for their support and inspiration. Abstract Keywords: market efficiency, random walk, fair game, liquidity P. Samuelson and later...

An approach to VaR for capital markets with Gaussian mixture

An approach to VaR (value-at-risk) for capital markets is proposed with Gaussian mixture. Considering the impacts of the components in a Gaussian mixture, an approach to VaR for capital markets is proposed to describe risk structure in capital markets. This approach can be programmed in parallel. Empirical computation of VaR for China securities markets and the Forex markets are provided to dem...

Bankruptcy Cascades in Interbank Markets

We study a credit network and, in particular, an interbank system with an agent-based model. To understand the relationship between business cycles and cascades of bankruptcies, we model a three-sector economy with goods, credit and interbank market. In the interbank market, the participating banks share the risk of bad debits, which may potentially spread a bank's liquidity problems through th...