scholarly journals The Prudent Investor Rule and Market Risk: An Empirical Analysis

2017 ◽  
Vol 14 (1) ◽  
pp. 129-168 ◽  
Author(s):  
Max M. Schanzenbach ◽  
Robert H. Sitkoff
Keyword(s):  
Empirical Analysis ◽  
Market Risk ◽  
Prudent Investor Rule

Market risk in carbon market: an empirical analysis of the EUA and sCER

2014 ◽  
Vol 75 (S2) ◽  
pp. 333-346 ◽  
Author(s):  
Bao-jun Tang ◽  
Cheng Shen ◽  
Yi-fan Zhao
Keyword(s):  
Empirical Analysis ◽  
Market Risk ◽  
Carbon Market

Empirical Analysis of Fiduciary Law

2019 ◽  
pp. 722-743
Author(s):  
Jonathan Klick ◽  
Max M. Schanzenbach
Keyword(s):  
Corporate Governance ◽  
Empirical Evidence ◽  
Empirical Analysis ◽  
Medical Malpractice ◽  
Empirical Studies ◽  
Duty Of Care ◽  
Medical Provider ◽  
Client Relationships ◽  
Prudent Investor Rule ◽  
Patient Relationships

This chapter offers an empirical analysis of fiduciary law, focusing on whether fiduciaries react to changes in fiduciary standards and which fiduciary rules maximize social welfare. Empirical studies of fiduciary law across three areas are discussed: corporate governance, fiduciary investment, and medical malpractice. The chapter considers fiduciary principles in corporate governance by looking at the duties of care and loyalty, citing empirical evidence implying that fiduciary duties in the corporate governance context influence corporate decision-making. It also examines the law of fiduciary investment, drawing on empirical evidence across three key areas: the implementation of the Prudent Investor Rule in private trusts, management of charitable trusts and prudent distributions, and the consequences of potentially conflicted advice to retirement savers. Finally, it explores the duty of care in the context of medical provider-patient relationships and the duty of loyalty in physician-client relationships.

scholarly journals Market Risk Analysis of Energy in Vietnam

Risks ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 112 ◽  
Author(s):  
Ngoc Phu Tran ◽  
Thang Cong Nguyen ◽  
Duc Hong Vo ◽  
Michael McAleer
Keyword(s):  
At Risk ◽  
Economic Development ◽  
Empirical Evidence ◽  
Empirical Analysis ◽  
Value At Risk ◽  
Oil And Gas ◽  
Market Risk ◽  
Conditional Value At Risk ◽  
Key Industries ◽  
The Empirical Analysis

The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services, food, and telecommunications, targeted for economic development by the Vietnam Government through to 2020. The oil and gas industry is a separate energy-related major industry, and it is evaluated separately from energy. The data set is from 2009 to 2017, which is decomposed into two distinct sub-periods after the Global Financial Crisis (GFC), namely the immediate post-GFC (2009–2011) period and the normal (2012–2017) period, in order to identify the behavior of market risk for Vietnam’s major industries. For the stock market in Vietnam, the website used in this paper provided complete and detailed data for each stock, as classified by industry. Two widely used approaches to measure and analyze risk are used in the empirical analysis, namely Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). The empirical findings indicate that Energy and Pharmaceuticals are the least risky industries, whereas oil and gas and securities have the greatest risk. In general, there is strong empirical evidence that the four key industries display relatively low risk. For public policy, the Vietnam Government’s proactive emphasis on the targeted industries, including energy, to achieve sustainable economic growth and national economic development, seems to be working effectively. This paper presents striking empirical evidence that Vietnam’s industries have substantially improved their economic performance over the full sample, moving from relatively higher levels of market risk in the immediate post-GFC period to a lower risk environment in a normal period several years after the end of the calamitous GFC.

Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

2013 ◽  
Vol 17 (2) ◽  
Author(s):  
Alexander Beck ◽  
Young Shin Aaron Kim ◽  
Svetlozar Rachev ◽  
Michael Feindt ◽  
Frank Fabozzi
Keyword(s):  
Empirical Analysis ◽  
High Frequency ◽  
Risk Estimation ◽  
Market Risk ◽  
Garch Models
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