Operational risk: Emerging markets, sectors and measurement
نویسندگان
چکیده
منابع مشابه
Risk Arbitrage in Emerging Markets
Risk arbitrage is one of the investment strategies commonly employed by hedge funds and financial investment firms. In essence, it constitutes a bet on whether a merger deal is consummated. Several academic studies have found that risk arbitrage trading strategies are able to generate sustainable positive returns. However, these studies have been largely confined to risk arbitrage investments i...
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A new risk was born in the mid-1990s known as operational risk. Though its application varied by institutions Basel II for banks and Solvency 2 for insurances the idea stays the same. Firms are interested in operational risk because exposure can be fatal. Hence it has become one of the major risks of the financial sector. In this study, we are going to define operational risk in addition to its...
متن کاملOperational Risks in Financial Sectors
A new risk was born in the mid-1990s known as operational risk. Though its application varied by institutions—Basel II for banks and Solvency II for insurance companies—the idea stays the same. Firms are interested in operational risk because exposure can be fatal. Hence, it has become one of the major risks of the financial sector. In this study, we are going to define operational risk in addi...
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Asian emerging markets have experienced both market liberalization and financial crisis. During the periods covering these two events, I show that the existing asset pricing models are unable to fully capture the risk in the small size, large size, glamour and value portfolios. I hypothesize that these two events changed the degree of market integration, thus varying the risk exposures in portf...
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This paper presents a model tha t measures the impact of political risk on portfolio investment when the political risks are multivariate and correlated across countries. The multivariate approach generalizes the single country model but retains most of its characteristics in terms of its ability to price political risk based on the stochastic process of exposure to loss and the expected freque...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2015
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2014.08.021