All Outputs (6)

A comparative and conceptual intellectual study of environmental topic in economic and finance (2023)
Journal Article
Yan, M., Li, Y., Pantelous, A. A., Vigne, S. A., & Zhang, D. (2024). A comparative and conceptual intellectual study of environmental topic in economic and finance. International review of financial analysis, 91, Article 103023. https://doi.org/10.1016/j.irfa.2023.103023

We aim to provide a comprehensive overview of the past, present, and future development of environmental related topics in Economics and Finance. In this regard, Environmental Finance (EF)- and Environmental, Social, and Governance (ESG)-related lite... Read More about A comparative and conceptual intellectual study of environmental topic in economic and finance.

Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach (2023)
Journal Article
Xiao, Q., Zhang, D., & Yan, M. (2023). Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach. International review of financial analysis, 89, Article 102743. https://doi.org/10.1016/j.irfa.2023.102743

Institutional investors have significantly increased their exposure to commodity futures after 2004 in the process of commodity market financialization, raising questions about the risk-sharing and
price-discovery functions of the market. We identi... Read More about Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach.

Financial stress relationships among Euro area countries: an R-vine copula approach (2018)
Journal Article
Zhang, D., Yan, M., & Tsopanakis, A. (2018). Financial stress relationships among Euro area countries: an R-vine copula approach. The European journal of finance, 24(17), 1587-1608. https://doi.org/10.1080/1351847X.2017.1419273

One of the biggest challenges of keeping Euro area financial stability is the negative co-movement between the vulnerability of public finance, the financial sector, security markets stresses as well as economic growth, especially in peripheral econo... Read More about Financial stress relationships among Euro area countries: an R-vine copula approach.

How liquid are banks: Some evidence from the United Kingdom (2017)
Journal Article
Yan, M., Hall, M. J. B., Turner, P., & Zhang, D. (2017). How liquid are banks: Some evidence from the United Kingdom. Journal of banking regulation, 18(2), 163-179. https://doi.org/10.1057/jbr.2016.3

This article uses quantitative balance sheet liquidity analysis, based upon modified versions of the BCBS and Moody’s models, to provide indicators which would alarm the UK banks’ short- and long-term liquidity positions, respectively. These informat... Read More about How liquid are banks: Some evidence from the United Kingdom.

Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector (2014)
Journal Article
Yan, M., Hall, M. J., & Turner, P. (2014). Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector. International journal of finance & economics : IJFE, 19(3), 225-238. https://doi.org/10.1002/ijfe.1495

This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the exposure-based cash-flow-at-risk (CFaR) model, which not only measures a bank's liquidity risk tolerance but also helps to improve li... Read More about Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector.

A cost-benefit analysis of Basel III: Some evidence from the UK (2012)
Journal Article
Yan, M., Hall, M. J. B., & Turner, P. (2012). A cost-benefit analysis of Basel III: Some evidence from the UK. International review of financial analysis, 25, 73-82. https://doi.org/10.1016/j.irfa.2012.06.009

This paper provides a long-term cost-benefit analysis for the United Kingdom of the Basel III capital and liquidity requirements proposed by the Basel Committee on Banking Supervision (BCBS, 2010a). We provide evidence that the Basel III reforms will... Read More about A cost-benefit analysis of Basel III: Some evidence from the UK.