Sergio M. Focardi and Frank J. Fabozzi
This paper seeks to discuss a modeling tool for explaining credit‐risk contagion in credit portfolios.
Abstract
Purpose
This paper seeks to discuss a modeling tool for explaining credit‐risk contagion in credit portfolios.
Design/methodology/approach
Presents a “collective risk” model that models the credit risk of a portfolio, an approach typical of insurance mathematics.
Findings
ACD models are self‐exciting point processes that offer a good representation of cascading phenomena due to bankruptcies. In other words, they model how a credit event might trigger other credit events. The model herein discussed is proposed as a robust global model of the aggregate loss of a credit portfolio; only a small number of parameters are required to estimate aggregate loss.
Originality/value
Discusses a modeling tool for explaining credit‐risk contagion in credit portfolios.
Details
Keywords
SERGIO M. FOCARDI and FRANK J. FABOZZI
Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in…
Abstract
Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include:
Peterson Owusu Junior, George Tweneboah, Kola Ijasan and Nagaratnam Jeyasreedharan
This paper aims to contribute to knowledge by investigating the return behaviour of seven global real estate investment trusts (REITs) with respect to the appropriate…
Abstract
Purpose
This paper aims to contribute to knowledge by investigating the return behaviour of seven global real estate investment trusts (REITs) with respect to the appropriate distributional fit that captures tail and shape characteristics. The study adds to the knowledge of distributional properties of seven global REITs by using the generalised lambda distribution (GLD), which captures fairly well the higher moments of the returns.
Design/methodology/approach
This is an empirical study with GLD through three rival methods of fitting tail and shape properties of seven REIT return data from January 2008 to November 2017. A post-Global Financial Crisis (GFC) (from July 2009) period fits from the same methods are juxtaposed for comparison.
Findings
The maximum likelihood estimates outperform the methods of moment matching and quantile matching in terms of goodness-of-fit in line with extant literature; for the post-GFC period as against the full-sample period. All three methods fit better in full-sample period than post-GFC period for all seven countries for the Region 4 support dynamics. Further, USA and Singapore possess the strongest and stronger infinite supports for both time regimes.
Research limitations/implications
The REITs markets, however, developed, are of wide varied sizes. This makes comparison less than ideal. This is mitigated by a univariate analysis rather than multivariate one.
Practical implications
This paper is a reminder of the inadequacy of the normal distribution, as well as the mean, variance, skewness and kurtosis measures, in describing distributions of asset returns. Investors and policymakers may look at the location and scale of GLD for decision-making about REITs.
Originality/value
The novelty of this work lies with the data used and the detailed analysis and for the post-GFC sample.
Details
Keywords
Mohamed Shaker Ahmed, Adel Alsamman and Kaouther Chebbi
This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market.
Abstract
Purpose
This paper aims to investigate feedback trading and autocorrelation behavior in the cryptocurrency market.
Design/methodology/approach
It uses the GJR-GARCH model to investigate feedback trading in the cryptocurrency market.
Findings
The findings show a negative relationship between trading volume and autocorrelation in the cryptocurrency market. The GJR-GARCH model shows that only the USD Coin and Binance USD show an asymmetric effect or leverage effect. Interestingly, other cryptocurrencies such as Ethereum, Binance Coin, Ripple, Solana, Cardano and Bitcoin Cash show the opposite behavior of the leverage effect. The findings of the GJR-GARCH model also show positive feedback trading for USD Coin, Binance USD, Ripple, Solana and Bitcoin Cash and negative feedback trading for Ethereum and Cardano only.
Originality/value
This paper contributes to the literature by extending Sentana and Wadhwani (1992) to explore the presence of feedback trading in the cryptocurrency market using a sample of the most active cryptocurrencies other than Bitcoin, namely, Ethereum, USD coin, Binance Coin, Binance USD, Ripple, Cardano, Solana and Bitcoin Cash.