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Risks

2013 - 2024

Current editor(s): Mr. Claude Zhang

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Volume 12, issue 7, 2024

An Exposition of the Gap between Public Sector and Private Sector Participation in Green Finance pp. 1-13 Downloads
Chekani Nkwaira and Huibrecht Margaretha Van der Poll

Volume 12, issue 6, 2024

Commodity Market Risk: Examining Price Co-Movements in the Pakistan Mercantile Exchange pp. 1-15 Downloads
Falik Shear, Muhammad Bilal, Badar Nadeem Ashraf and Nasir Ali
Can Multi-Peril Insurance Policies Mitigate Adverse Selection? pp. 1-17 Downloads
Peter Zweifel and Annette Hofmann
Some Results on Bivariate Squared Maximum Sharpe Ratio pp. 1-17 Downloads
Samane Al-sadat Mousavi, Ali Dolati and Ali Dastbaravarde
Deep Learning Option Price Movement pp. 1-17 Downloads
Weiguan Wang and Jia Xu
Dependence Modelling for Heavy-Tailed Multi-Peril Insurance Losses pp. 1-17 Downloads
Tianxing Yan, Yi Lu and Himchan Jeong
Integration of AI and IoT into Corporate Social Responsibility Strategies for Financial Risk Management and Sustainable Development pp. 1-21 Downloads
Anna Viktorovna Shkalenko and Anton V. Nazarenko
Key Determinants of Corporate Governance in Financial Institutions: Evidence from South Africa pp. 1-13 Downloads
Floyd Khoza, Daniel Makina and Patricia Lindelwa Makoni
Expected Utility Optimization with Convolutional Stochastically Ordered Returns pp. 1-19 Downloads
Romain Gauchon and Karim Barigou
The Economic and Financial Health of Lithuanian Logistics Companies pp. 1-19 Downloads
Rita Bužinskienė and Vera Gelashvili
Multi-Timescale Recurrent Neural Networks Beat Rough Volatility for Intraday Volatility Prediction pp. 1-10 Downloads
Damien Challet and Vincent Ragel
Cross-Sectional Determinants of Analyst Coverage for R&D Firms pp. 1-28 Downloads
Ashraf Khallaf, Feras M. Salama, Musa Darayseh and Eid Alotaibi
Estimating Disease-Free Life Expectancy Based on Clinical Data from the French Hospital Discharge Database pp. 1-25 Downloads
Oleksandr Sorochynskyi, Quentin Guibert, Frédéric Planchet and Michaël Schwarzinger
Cryptocurrencies’ Impact on Accounting: Bibliometric Review pp. 1-39 Downloads
Georgiana-Iulia Lazea, Ovidiu-Constantin Bunget and Cristian Lungu
Support of the SDGs as a New Approach to Financial Risk Management in Responsible Universities in Russia pp. 1-26 Downloads
Zhanna V. Gornostaeva, Larisa V. Shabaltina, Igor V. Denisov, Aleksandra A. Musatkina and Nikolai G. Sinyavskiy
Use of Prediction Bias in Active Learning and Its Application to Large Variable Annuity Portfolios pp. 1-14 Downloads
Hyukjun Gweon, Shu Li and Yangxuan Xu
Determinants of Corporate Indebtedness in Portugal: An Analysis of Financial Behaviour Clusters pp. 1-20 Downloads
Fernando Tavares, Eulália Santos, Margarida Freitas Oliveira and Luís Almeida
Sustaining Algeria’s Retirement System in the Population Aging Context: Could a Contribution Cap Strategy Work? pp. 1-11 Downloads
Farid Flici and Inmaculada Dominguez-Fabian
Knowledge Capital and Stock Returns during Crises in the Manufacturing Sector: Moderating Role of Market Share, Tobin’s Q, and Cash Holdings pp. 1-23 Downloads
Chaeho Chase Lee, Erdal Atukeren and Hohyun Kim
A Case Study of Bank Equity Valuation Methods Employed by South African, Nigerian and Kenyan Equity Researchers pp. 1-23 Downloads
Vusani Moyo and Ayodeji Michael Obadire

Volume 12, issue 5, 2024

Exploring Entropy-Based Portfolio Strategies: Empirical Analysis and Cryptocurrency Impact pp. 1-26 Downloads
Nicolò Giunta, Giuseppe Orlando, Alessandra Carleo and Jacopo Maria Ricci
Trading Activity in the Corporate Bond Market: A SAD Tale of Macro-Announcements and Behavioral Seasonality? pp. 1-26 Downloads
James J. Forest, Ben S. Branch and Brian T. Berry
Non-Differentiable Loss Function Optimization and Interaction Effect Discovery in Insurance Pricing Using the Genetic Algorithm pp. 1-19 Downloads
Robin Van Oirbeek, Félix Vandervorst, Thomas Bury, Gireg Willame, Christopher Grumiau and Tim Verdonck
Board Characteristics and Bank Stock Performance: Empirical Evidence from the MENA Region pp. 1-23 Downloads
Antoine B. Awad, Robert Gharios, Bashar Abu Khalaf and Lena A. Seissian
Analyzing the Influence of Risk Models and Investor Risk-Aversion Disparity on Portfolio Selection in Community Solar Projects: A Comparative Case Study pp. 1-16 Downloads
Mahmoud Shakouri, Chukwuma Nnaji, Saeed Banihashemi and Khoung Le Nguyen
Cyber Risk in Insurance: A Quantum Modeling pp. 1-16 Downloads
Claude Lefèvre, Muhsin Tamturk, Sergey Utev and Marco Carenzo
Uncertainty Reduction in Operational Risk Management Process pp. 1-12 Downloads
Guy Burstein and Inon Zuckerman
Economic Fraud and Associated Risks: An Integrated Bibliometric Analysis Approach pp. 1-21 Downloads
Kamer-Ainur Aivaz, Iulia Oana Florea and Ionela Munteanu
Bitcoin Volatility and Intrinsic Time Using Double-Subordinated Lévy Processes pp. 1-21 Downloads
Abootaleb Shirvani, Stefan Mittnik, William Brent Lindquist and Svetlozar Rachev
Estimation and Prediction of Commodity Returns Using Long Memory Volatility Models pp. 1-20 Downloads
Kisswell Basira, Lawrence Dhliwayo, Knowledge Chinhamu, Retius Chifurira and Florence Matarise
Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: An Implementation on Nasdaq-100 pp. 1-20 Downloads
Elchin Suleymanov, Magsud Gubadli and Ulvi Yagubov

Volume 12, issue 4, 2024

The Impact of Firm Risk and the COVID-19 Crisis on Working Capital Management Strategies: Evidence from a Market Affected by Economic Uncertainty pp. 1-33 Downloads
Hossein Tarighi, Grzegorz Zimon, Mohammad Javad Sheikh and Mohammad Sayrani
Asymptotic Methods for Transaction Costs pp. 1-32 Downloads
Eberhard Mayerhofer
COVID-19 and Excess Mortality: An Actuarial Study pp. 1-27 Downloads
Camille Delbrouck and Jennifer Alonso-García
A Comparison of Generalised Linear Modelling with Machine Learning Approaches for Predicting Loss Cost in Motor Insurance pp. 1-29 Downloads
Alinta Ann Wilson, Antonio Nehme, Alisha Dhyani and Khaled Mahbub
Quantum Computing Approach to Realistic ESG-Friendly Stock Portfolios pp. 1-20 Downloads
Francesco Catalano, Laura Nasello and Daniel Guterding
Intangible Assets and Analysts’ Overreaction and Underreaction to Earnings Information: Empirical Evidence from Saudi Arabia pp. 1-16 Downloads
Taoufik Elkemali
The Effect of Corporate Governance on the Degree of Agency Cost in the Korean Market pp. 1-18 Downloads
Younghwan Lee and Ana Belén Tulcanaza-Prieto
Relationship between Occupational Pension, Corporate Social Responsibility (CSR), and Organizational Resilience: A Study on Listed Chinese Companies pp. 1-31 Downloads
Hao Wang, Tao Zhang, Xi Wang and Jiansong Zheng
Effect of Capital Structure on the Financial Performance of Ethiopian Commercial Banks pp. 1-15 Downloads
Seid Muhammed, Goshu Desalegn and Prihoda Emese
Two-Population Mortality Forecasting: An Approach Based on Model Averaging pp. 1-17 Downloads
Luca De Mori, Pietro Millossovich, Rui Zhu and Steven Haberman
Volatility Spillovers among Sovereign Credit Default Swaps of Emerging Economies and Their Determinants pp. 1-17 Downloads
Shumok Aljarba, Nader Naifar and Khalid Almeshal
The Impact of Village Savings and Loan Associations as a Financial and Climate Resilience Strategy for Mitigating Food Insecurity in Northern Ghana pp. 1-21 Downloads
Cornelius K. A. Pienaah and Isaac Luginaah
Risk Management in the Area of Bitcoin Market Development: Example from the USA pp. 1-21 Downloads
Laeeq Razzak Janjua, Iza Gigauri, Agnieszka Wójcik-Czerniawska and Elżbieta Pohulak-Żołędowska
Optimising Portfolio Risk by Involving Crypto Assets in a Volatile Macroeconomic Environment pp. 1-21 Downloads
Attila Bányai, Tibor Tatay, Gergő Thalmeiner and László Pataki
Determining Safe Withdrawal Rates for Post-Retirement via a Ruin-Theory Approach pp. 1-21 Downloads
Diba Daraei and Kristina Sendova

Volume 12, issue 3, 2024

What Matters for Comovements among Gold, Bitcoin, CO 2, Commodities, VIX and International Stock Markets during the Health, Political and Bank Crises? pp. 1-31 Downloads
Wajdi Frikha, Azza Béjaoui, Aurelio Fernandez Bariviera and Ahmed Jeribi
The Role of Longevity-Indexed Bond in Risk Management of Aggregated Defined Benefit Pension Scheme pp. 1-17 Downloads
Xiaoyi Zhang, Yanan Li and Junyi Guo
Adding Shocks to a Prospective Mortality Model pp. 1-17 Downloads
Frédéric Planchet and Guillaume Gautier de La Plaine
The Regime-Switching Structural Default Risk Model pp. 1-33 Downloads
Andreas Milidonis and Kevin Chisholm
A Quantitative Comparison of Mortality Models with Jumps: Pre- and Post-COVID Insights on Insurance Pricing pp. 1-0 Downloads
Şule Şahin and Selin Özen
Market Equilibrium and the Cost of Capital with Heterogeneous Investment Horizons pp. 1-16 Downloads
Moshe Levy and Haim Levy
Navigating Inflation Challenges: AI-Based Portfolio Management Insights pp. 1-16 Downloads
Tibor Bareith, Tibor Tatay and László Vancsura
Shareholders in the Driver’s Seat: Unraveling the Impact on Financial Performance in Latvian Fintech Companies pp. 1-16 Downloads
Ramona Rupeika-Apoga, Stefan Wendt and Victoria Geyfman
Climate Change-Related Disaster Risk Mitigation through Innovative Insurance Mechanism: A System Dynamics Model Application for a Case Study in Latvia pp. 1-23 Downloads
Maksims Feofilovs, Andrea Jonathan Pagano, Emanuele Vannucci, Marina Spiotta and Francesco Romagnoli
Value-at-Risk Effectiveness: A High-Frequency Data Approach with Semi-Heavy Tails pp. 1-23 Downloads
Mario Ivan Contreras-Valdez, Sonal Sahu, José Antonio Núñez-Mora and Roberto Joaquín Santillán-Salgado
Exploring Systemic Risk Dynamics in the Chinese Stock Market: A Network Analysis with Risk Transmission Index pp. 1-24 Downloads
Xiaowei Zeng, Yifan Hu, Chengjun Pan and Yanxi Hou
Capital Structure Models and Contingent Convertible Securities pp. 1-35 Downloads
Di Meng, Adam Metzler and R. Mark Reesor
Robust Estimation of the Tail Index of a Single Parameter Pareto Distribution from Grouped Data pp. 1-13 Downloads
Chudamani Poudyal
Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand’s Transportation Sector during COVID-19 pp. 1-20 Downloads
Danai Likitratcharoen and Lucksuda Suwannamalik
Unveiling Outperformance: A Portfolio Analysis of Top AI-Related Stocks against IT Indices and Robotics ETFs pp. 1-21 Downloads
Ali Trabelsi Karoui, Sonia Sayari, Wael Dammak and Ahmed Jeribi

Volume 12, issue 2, 2024

Quadratic Unconstrained Binary Optimization Approach for Incorporating Solvency Capital into Portfolio Optimization pp. 1-17 Downloads
Ivica Turkalj, Mohammad Assadsolimani, Markus Braun, Pascal Halffmann, Niklas Hegemann, Sven Kerstan, Janik Maciejewski, Shivam Sharma and Yuanheng Zhou
Determinants of Life Insurance Consumption in OECD Countries Using FMOLS and DOLS Techniques pp. 1-17 Downloads
Maheswaran Srinivasan and Subrata Mitra
Quantitative Modeling of Financial Contagion: Unraveling Market Dynamics and Bubble Detection Mechanisms pp. 1-42 Downloads
Ionuț Nica, Ștefan Ionescu, Camelia Delcea and Nora Chiriță
Risk Management in Islamic Banking: The Impact of Financial Technologies through Empirical Insights from the UAE pp. 1-15 Downloads
Mohamed Al Hammadi, Juan Antonio Jimber-Del Río, María Salomé Ochoa-Rico, Orlando Arencibia Montero and Arnaldo Vergara-Romero
Bounds for the Ruin Probability in the Sparre–Andersen Model pp. 1-15 Downloads
Sotirios Losidis and Vaios Dermitzakis
LSTM-Based Coherent Mortality Forecasting for Developing Countries pp. 1-24 Downloads
Jose Garrido, Yuxiang Shang and Ran Xu
Analyzing Size of Loss Frequency Distribution Patterns: Uncovering the Impact of the COVID-19 Pandemic pp. 1-19 Downloads
Shengkun Xie and Yuanshun Li
Enhancing Sell-Type Home Reversion Products for Retirement Financing pp. 1-13 Downloads
Koon Shing Kwong, Jing Rong Goh and Ting Lin Collin Chua
Features of the Association between Debt and Earnings Quality for Small and Medium-Sized Entities pp. 1-13 Downloads
José Sequeira, Cláudia Pereira, Luís Gomes and Armindo Lima
Stochastic Modeling of Wind Derivatives with Application to the Alberta Energy Market pp. 1-26 Downloads
Sudeesha Warunasinghe and Anatoliy Swishchuk
Discrete-Time Survival Models with Neural Networks for Age–Period–Cohort Analysis of Credit Risk pp. 1-26 Downloads
Hao Wang, Anthony Bellotti, Rong Qu and Ruibin Bai
An Objective Measure of Distributional Estimability as Applied to the Phase-Type Aging Model pp. 1-26 Downloads
Cong Nie, Xiaoming Liu and Serge B. Provost
Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings pp. 1-26 Downloads
Massimo Guidolin and Monia Magnani
A Generalized Linear Model and Machine Learning Approach for Predicting the Frequency and Severity of Cargo Insurance in Thailand’s Border Trade Context pp. 1-33 Downloads
Praiya Panjee and Sataporn Amornsawadwatana
Pricing Life Contingencies Linked to Impaired Life Expectancies Using Intuitionistic Fuzzy Parameters pp. 1-33 Downloads
Jorge de Andrés-Sánchez
Responsible Innovations as Tools for the Management of Financial Risks to Projects of High-Tech Companies for Their Sustainable Development pp. 1-28 Downloads
Elena G. Popkova, Muxabbat F. Xakimova, Marija A. Troyanskaya, Elena S. Petrenko and Olga V. Fokina
L 1 Regularization for High-Dimensional Multivariate GARCH Models pp. 1-28 Downloads
Sijie Yao, Hui Zou and Haipeng Xing
The Role of Artificial Intelligence Technology in Predictive Risk Assessment for Business Continuity: A Case Study of Greece pp. 1-23 Downloads
Stavros Kalogiannidis, Dimitrios Kalfas, Olympia Papaevangelou, Grigoris Giannarakis and Fotios Chatzitheodoridis
Impact Assessment of Climate Change on Hailstorm Risk in Spanish Wine Grape Crop Insurance: Insights from Linear and Quantile Regressions pp. 1-23 Downloads
Nan Zhou and José L. Vilar-Zanón
The Impacts of CAP Subsidies on the Financial Risk and Resilience of Hungarian Farms, 2014–2021 pp. 1-36 Downloads
Péter Szálteleki, Gabriella Bánhegyi and Zsuzsanna Bacsi
In Memory of Peter Carr (1958–2022) pp. 1-6 Downloads
Giuseppe Campolieti, Arash Fahim, Dan Pirjol, Harvey Stein, Tai-Ho Wang and Lingjiong Zhu
Stochastic Claims Reserve in the Healthcare System: A Methodology Applied to Italian Data pp. 1-29 Downloads
Claudio Mazzi, Angelo Damone, Andrea Vandelli, Gastone Ciuti and Milena Vainieri
Robust Portfolio Optimization with Environmental, Social, and Corporate Governance Preference pp. 1-29 Downloads
Marcos Escobar-Anel and Yiyao Jiao
Dynamic Liability-Driven Investment under Sponsor’s Loss Aversion pp. 1-14 Downloads
Dong-Hwa Lee and Joo-Ho Sung
Model for Technology Risk Assessment in Commercial Banks pp. 1-20 Downloads
Wenhao Kang and Chi Fai Cheung
When to Hedge Downside Risk? pp. 1-20 Downloads
Christos Giannikos, Hany Guirguis, Andreas Kakolyris and Tin Shan (Michael) Suen

Volume 12, issue 1, 2024

A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression pp. 1-16 Downloads
Yue Zhuo and Takayuki Morimoto
Credibility Distribution Estimation with Weighted or Grouped Observations pp. 1-27 Downloads
Georgios Pitselis
Maximum Pseudo-Likelihood Estimation of Copula Models and Moments of Order Statistics pp. 1-26 Downloads
Alexandra Dias
Gerber-Shiu Metrics for a Bivariate Perturbed Risk Process pp. 1-17 Downloads
Onno Boxma, Fabian Hinze and Michel Mandjes
Invariance of the Mathematical Expectation of a Random Quantity and Its Consequences pp. 1-17 Downloads
Pierpaolo Angelini
Centrality-Based Equal Risk Contribution Portfolio pp. 1-17 Downloads
Shreya Patki, Roy H. Kwon and Yuri Lawryshyn
Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies pp. 1-15 Downloads
Janine Balter and Alexander J. McNeil
Advancing the Use of Deep Learning in Loss Reserving: A Generalized DeepTriangle Approach pp. 1-14 Downloads
Yining Feng and Shuanming Li
Analyzing the Impact of Carbon Risk on Firms’ Creditworthiness in the Context of Rising Interest Rates pp. 1-21 Downloads
Aimee Jean Batoon and Edit Rroji
Board Response to Transnational Regulation on Corporate Governance: A Case Study on EU Banking Regulation pp. 1-20 Downloads
Seppo Ikäheimo, Eduardo Schiehll and Vikash Kumar Sinha
Simulation of Dynamic Performance of DeFi Protocol Based on Historical Crypto Market Behavior pp. 1-20 Downloads
Iveta Grigorova, Aleksandar Karamfilov, Radostin Merakov and Aleksandar Efremov
Optimal Static Hedging of Variable Annuities with Volatility-Dependent Fees pp. 1-20 Downloads
Junsen Tang
On the Use of Lehmann’s Alternative to Capture Extreme Losses in Actuarial Science pp. 1-22 Downloads
Emilio Gómez-Déniz and Enrique Calderín-Ojeda
Equity Price Dynamics under Shocks: In Distress or Short Squeeze pp. 1-19 Downloads
Cho-Hoi Hui, Chi-Fai Lo and Chi-Hei Liu
The Moderating Role of Corporate Governance in the Relationship between Leverage and Firm Value: Evidence from the Korean Market pp. 1-19 Downloads
Ana Belén Tulcanaza-Prieto, Younghwan Lee and Wendy Anzules-Falcones
Socially Responsible Investment Funds—An Analysis Applied to Funds Domiciled in the Portuguese and Spanish Markets pp. 1-19 Downloads
Luísa Carvalho, Carlos Mota and Patrícia Ramos
Page updated 2024-06-24