Financial vs. Non-financial Stocks: Time-varying Correlations and Risks

Financial Risks: Cases Of Non-Financial Enterprises

Heterogeneity, correlations and financial contagion

We consider a model of contagion in financial networks recently introduced in [1], and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on...

Balancing Financial and Non-Financial Performance Measures

Non-financial performance measures are often used for performance evaluation. They are especially relevant if the available financial performance measures not completely reflect the manager’s contribution to the firm’s total value. Then, non-financial performance measures serve as an indicator for the firm’s long-term performance and may therefore be included in incentive contracts. In the pape...

Econophysics – complex correlations and trend switchings in financial time series

This article focuses on the analysis of financial time series and their correlations. A method is used for quantifying pattern based correlations of a time series. With this methodology, evidence is found that typical behavioral patterns of financial market participants manifest over short time scales, i.e., that reactions to given price patterns are not entirely random, but that similar price ...

Financial Market Models with Lévy Processes and Time-Varying Volatility

Asset management and pricing models require the proper modeling of the return distribution of financial assets. While the return distribution used in the traditional theories of asset pricing and portfolio selection is the normal distribution, numerous studies that have investigated the empirical behavior of asset returns in financial markets throughout the world reject the hypothesis that asse...