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Keywords: C12
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Journal Articles
Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2022) 23 (3): 264–288.
Published: 25 February 2022
... Licensed re-use rights only Quantilogram Agricultural futures Returns Volume C12 C14 G15 Perhaps more than any other category of commodities, agricultural futures play the most vital role in our everyday life. During the financial crisis of 2007–2008, traders of agricultural...
Journal Articles
Testing risk proxies for financial collateral haircuts: adequacy of capturing tail risk
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (3): 299–316.
Published: 06 July 2020
... haircuts Risk proxy Tail risk Tail event Discriminatory power C12 G21 C18 The Capital Requirements Regulation (CRR) permits the use of proxies, if they are documented and regularly validated. At this point, pursuant to the Article 368(1)(e) of the CRR, proxies have to lead to good model...
