Diversification benefits of using exchange‐traded funds in compliance to the sustainable development goals
Socially responsible investment has acquired a global dimension beyond moral values,
which includes sustainability, risk management, and corporate social responsibility as the …
which includes sustainability, risk management, and corporate social responsibility as the …
MGARCH models: Trade-off between feasibility and flexibility
Multivariate GARCH (MGARCH) models need to be restricted so that their estimation is
feasible in large systems and so that the covariance stationarity and positive definiteness of …
feasible in large systems and so that the covariance stationarity and positive definiteness of …
[HTML][HTML] Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach
Abstract In accordance with Basel Capital Accords, the Capital Requirements (CR) for
market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the …
market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the …
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
H Kinateder - Journal of Risk, 2016 - papers.ssrn.com
In this paper, we provide a comparative assessment of the minimum capital requirement
(MCR) in three prominent versions of the Basel regulatory framework: Basel II, the 2010 …
(MCR) in three prominent versions of the Basel regulatory framework: Basel II, the 2010 …
Nonlinear portfolio selection using approximate parametric Value-at-Risk
As the skewed return distribution is a prominent feature in nonlinear portfolio selection
problems which involve derivative assets with nonlinear payoff structures, Value-at-Risk …
problems which involve derivative assets with nonlinear payoff structures, Value-at-Risk …
Market risk management in a post-Basel II regulatory environment
We propose a novel method of Mean-Capital Requirement portfolio optimization. The
optimization is performed using a parallel framework for optimization based on the …
optimization is performed using a parallel framework for optimization based on the …
Portfolio optimization under solvency constraints: a dynamical approach
We develop portfolio optimization problems for a nonlife insurance company seeking to find
the minimum capital required that simultaneously satisfies solvency and portfolio …
the minimum capital required that simultaneously satisfies solvency and portfolio …
Risk management with multiple VaR constraints
We study a utility maximization problem under multiple Value-at-Risk (VaR)-type constraints.
The optimization framework is particularly important for financial institutions which have to …
The optimization framework is particularly important for financial institutions which have to …
The effects of high doses of nandrolone decanoate on cardiac muscle tissue
J Sretenovic, V Zivkovic, I Srejovic… - … and Applied Biomedical …, 2016 - sciendo.com
In recent decades, steroid abuse has become very popular and widespread among
professional and recreational athletes. e aim of this study was to examine the chronic effects …
professional and recreational athletes. e aim of this study was to examine the chronic effects …
Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule
In the aftermath of bank proprietary trading losses in the 2007–09 crisis, the Basel
framework uses stressed Conditional Value-at-Risk to set minimum capital requirements for …
framework uses stressed Conditional Value-at-Risk to set minimum capital requirements for …