From duration analysis to GARCH models – An approach to systematization of quantitative methods in risk measurement

Krzysztof Jajuga

doi:10.18559/ebr.2016.3.2

From duration analysis to GARCH models – An approach to systematization of quantitative methods in risk measurement

Economics and Business Review ◽

10.18559/ebr.2016.3.2 ◽

2016 ◽

Vol 2 (16) (3) ◽

pp. 7-19

Author(s):

Krzysztof Jajuga

Keyword(s):

Quantitative Methods ◽

Duration Analysis ◽

Risk Measurement ◽

Garch Models

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Research on the risk measurement of EU carbon market based on VaR-GARCH models

Advances in Services Science and Services Information Technology ◽

10.2495/sssit131702 ◽

2014 ◽

Author(s):

Xiaohui Hai ◽

Baochen Yang

Keyword(s):

Carbon Market ◽

Risk Measurement ◽

Garch Models

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Mashlaha in Financing Risk Measurement in Sharia Financing Institutions

IQTISHADIA Jurnal Kajian Ekonomi dan Bisnis Islam ◽

10.21043/iqtishadia.v12i2.4992 ◽

2019 ◽

Vol 12 (2) ◽

pp. 240

Author(s):

Salmah Said ◽

A. Syathir Sofyan ◽

Andi Muhammad Ali Amiruddin

Keyword(s):

Mixed Method ◽

Quantitative Methods ◽

Credit Rating ◽

Financial Institution ◽

Risk Measurement ◽

Independent Measurement ◽

Credit Rating Agency ◽

Measurement Results ◽

Financing Risk ◽

Credit Risk Measurement

The crisis of confidence in the credit rating agency forced Islamic financing institutions to apply risk measurement methods independently and renewed the study of credit risk measurement. Moreover, this research also discusses mashlaha (public interest) in measuring financing risk. This research uses a mixed method approach, combining quantitative methods to measure risk by utilizing CreditRisk+, and qualitative methods in analyzing mashlaha in these measurements. This study revealed that CreditRisk+ is able to measure financing risk accurately. This study also found that there is mashlaha as part of maqashid al-sharia in risk measurement, namely 1) Tahdzib al-Fard, that makes a financial institution capable of independently measuring the risk of its own financing; 2) Iqamah al-Adl, independent measurement will create information justice by comparing measurement results both internally and externally. 3) Mashlaha itself, with internal risk measurement, will reduce systemic risk. The implications of this study is the use of mashlaha in analyzing financing risk provides more stringent prudential in the measurement of financing risk.

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