All Outputs (8)

VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING (2022)
Book Chapter

In this paper, we construct vine copula models for multivariate stock portfolio returns to estimate one-day-ahead and multi-day ahead Value-at-Risk (VaR) and Expected Shortfall (ES) using Monte Carlo simulation. This is then compared with the VaR an... Read More about VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING.

Political Connections and Seasoned Equity Offerings (2021)
Journal Article

This study examines the impact of political connections on seasoned equity offerings. Using seasoned equity offerings (SEOs) from 2001 to 2018 in the USA, we find that politically connected issuers enjoy a lower cost of seasoned equity issuance than... Read More about Political Connections and Seasoned Equity Offerings.

The combined network effect of sparse and interlocked connections in SMEs’ innovation (2021)
Journal Article

This paper aims to examine the relationship between the structures of inter-organizational connections and innovation results in the context of small and medium enterprises (SMEs). Existing literature shows that inter-organization connections can ben... Read More about The combined network effect of sparse and interlocked connections in SMEs’ innovation.

Multiday expected shortfall under generalized t distributions: evidence from global stock market (2020)
Journal Article

We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) and its extension Expected Shortfall (ES). Of these seven, the twin t-distribution (TT) of Baker and Jackson (in Twin t distribution, University of Sa... Read More about Multiday expected shortfall under generalized t distributions: evidence from global stock market.

Enforcement Actions, Market Movement and Depositors' Reaction: Evidence from the US Banking System (2019)
Journal Article

We examine market movement and depositors’ reaction following the announcement of enforcement actions (EAs) on US banks over the period 2004 to 2015. Using an extensive dataset of manually collected EAs, employing event study and multivariate analyse... Read More about Enforcement Actions, Market Movement and Depositors' Reaction: Evidence from the US Banking System.

What drives corporate CDS spreads? A comparison across US, UK and EU firms (2018)
Journal Article

We investigate the determinants of corporate credit default swap spreads for US, UK and EU firms and decompose the predictive power of accounting- and market-based variables for spreads in pre-crisis, crisis and post-crisis periods. We find that the... Read More about What drives corporate CDS spreads? A comparison across US, UK and EU firms.

To debt or not to debt: Are Islamic banks less risky than conventional banks? (2016)
Journal Article

We empirically analyze the market risk profiles of Islamic banks with two sets of conventional banks taken from the same geographical locations as Islamic banks and from a random global sample respectively for the period 2000–2013. Moreover, we divid... Read More about To debt or not to debt: Are Islamic banks less risky than conventional banks?.

Revisiting variance gamma pricing: An application to S&P500 index options (2015)
Journal Article

This paper reformulates the Lévy–Kintchine formula to make it suitable for modeling the stochastic time-changing effects of Lévy processes. Using the variance gamma (VG) process as an example, it illustrates the dynamic properties of a Lévy process a... Read More about Revisiting variance gamma pricing: An application to S&P500 index options.