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JRFM was formerly edited by Prof. Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. Abstract This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models.

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. Abstract The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US.

Abstract The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. Abstract The paper examines the impact of business group affiliation on cost of loans in an emerging market setting. The paper examines the impact of business group affiliation on cost of loans in an emerging market setting.

It focuses on operational strategy, organizational structure and internationalization policies of business group firms and their impact on borrowing cost of affiliated firms. Bank loans are a dominant source of corporate funding in emerging markets, in which business groups exist as leading economic entities. The log-logistic model has been used it is simple and has a unimodal hazard rate, important characteristic in survival analysis. Abstract Proper credit-risk management is essential for lending institutions, as substantial losses can be incurred when borrowers default. Consequently, statistical methods that can measure and analyze credit risk objectively are becoming increasingly important.

Proper credit-risk management is essential for lending institutions, as substantial losses can be incurred when borrowers default. Variance Swap Replication: Discrete or Continuous? Abstract The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market.

The popular replication formula to price variance swaps assumes continuity of traded option strikes. We present here different discrete replication strategies and explain why the continuous replication price is more relevant. Abstract The Pareto classical distribution is one of the most attractive in statistics and particularly in the scenario of actuarial statistics and finance. For example, it is widely used when calculating reinsurance premiums.