Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

EVT sign in to follow this
sovereign bonds sign in to follow this
equity sign in to follow this
eurozone sign in to follow this
RiskMetrics sign in to follow this
parametric sign in to follow this
Student-t sign in to follow this
EVT sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Downside Risk, Portfolio Diversification and the Financial Crisis in the Eurozone
Company: Journal of International Financial Markets, Institutions and Money
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: July
Resource Link: Click here to open
Download Count: 0
View Count: 535
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-17-2014
Publisher: Administrator
Summary
This paper evaluates the value at risk for individual sovereign bond and national equity markets for ten member countries in the euro-zone, using four estimation models and three accuracy criteria in addition to the daily capital requirements, for the full sample period and a subperiod that marks the beginning of the recent global financial crisis. The results show that the conditional extreme value theory model under both the normal and Student–t distributions satisfies the four accuracy criteria the best and gives the least capital charges for both periods, while the RiskMetrics gives the worst results. These euro-zone bond and equity markets are also classified into two groups: the PIIGS (Portugal, Italy, Ireland, Greece and Spain) and the Core (Germany, France, Austria, the Netherlands and Finland), and optimal portfolios are constructed for these two groups as well as for the ten euro area as a whole. Given the sample periods, the results show no strong diversification for any of the two groups or for the whole area in any of the bond and equity asset classes or both. The bond and equity portfolios are augmented with commoditie
Author(s)
Hammoudeh, Shawkat Sign in to follow this author
Santos, Paulo Araujo Sign in to follow this author
Sarafrazi, Soodabeh Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile