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2013 - 2020

Current editor(s): Prof. Dr. J. David Cummins

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Volume 8, issue 3, 2020

Effect of Variance Swap in Hedging Volatility Risk pp. 1-34 Downloads
Yang Shen
The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk pp. 1-27 Downloads
Uditha Balasooriya, Johnny Siu-Hang Li and Jackie Li
A Two-Population Extension of the Exponential Smoothing State Space Model with a Smoothing Penalisation Scheme pp. 1-18 Downloads
Yanlin Shi, Sixian Tang and Jackie Li
Fiscal Responsibility Legal Framework—New Paradigm for Fiscal Discipline in the EU pp. 1-18 Downloads
Mihaela Tofan, Mihaela Onofrei and Anca-Florentina Vatamanu
Deep Local Volatility pp. 1-18 Downloads
Marc Chataigner, Stéphane Crépey and Matthew Dixon
The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model pp. 1-15 Downloads
Lorenzo Cerboni Baiardi, Massimo Costabile, Domenico De Giovanni, Fabio Lamantia, Arturo Leccadito, Ivar Massabó, Massimiliano Menzietti, Marco Pirra, Emilio Russo and Alessandro Staino
Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities pp. 1-17 Downloads
Steffen Volkenand, Günther Filler and Martin Odening
How Risky Are the Options? A Comparison with the Underlying Stock Using MaxVaR as a Risk Measure pp. 1-17 Downloads
Saswat Patra and Malay Bhattacharyya
Tail Risk Transmission: A Study of the Iran Food Industry pp. 1-17 Downloads
Fatemeh Mojtahedi, Seyed Mojtaba Mojaverian, Daniel Felix Ahelegbey and Paolo Giudici
Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk pp. 1-30 Downloads
Jingnan Wang and Ralf Korn
Neural Networks and Betting Strategies for Tennis pp. 1-19 Downloads
Vincenzo Candila and Lucio Palazzo
Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data pp. 1-19 Downloads
Rocco Roberto Cerchiara and Francesco Acri
A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics pp. 1-8 Downloads
Arianna Agosto and Paolo Giudici
Neural Network Pricing of American Put Options pp. 1-24 Downloads
Raquel M. Gaspar, Sara D. Lopes and Bernardo Sequeira
Joshi’s Split Tree for Option Pricing pp. 1-26 Downloads
Guillaume Leduc and Merima Nurkanovic Hot
Nagging Predictors pp. 1-26 Downloads
Ronald Richman and Mario V. Wüthrich
Variance and Interest Rate Risk in Unit-Linked Insurance Policies pp. 1-23 Downloads
David Baños, Marc Lagunas-Merino and Salvador Ortiz-Latorre
Retiree Mortality Forecasting: A Partial Age-Range or a Full Age-Range Model? pp. 1-11 Downloads
Han Lin Shang and Steven Haberman

Volume 8, issue 2, 2020

Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework pp. 1-18 Downloads
Sandrine Gümbel and Thorsten Schmidt
How Does the Volatility of Volatility Depend on Volatility? pp. 1-18 Downloads
Sigurd Emil Rømer and Rolf Poulsen
Neural Networks for the Joint Development of Individual Payments and Claim Incurred pp. 1-34 Downloads
Łukasz Delong and Mario V. Wüthrich
No-Arbitrage Principle in Conic Finance pp. 1-34 Downloads
Mehdi Vazifedan and Qiji Jim Zhu
Proactive Management of Regulatory Policy Ripple Effects via a Computational Hierarchical Change Management Structure pp. 1-29 Downloads
Abdulrahman Alrabiah and Steve Drew
How Do Health, Care Services Consumption and Lifestyle Factors Affect the Choice of Health Insurance Plans in Switzerland? pp. 1-21 Downloads
Veronika Kalouguina and Joël Wagner
Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution pp. 1-21 Downloads
Franck Adékambi and Kokou Essiomle
Heads and Tails of Earnings Management: Quantitative Analysis in Emerging Countries pp. 1-21 Downloads
Pavol Durana, Katarina Valaskova, Darina Chlebikova, Vladislav Krastev and Irina Atanasova
Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance pp. 1-13 Downloads
Massimo Costabile and Fabio Viviano
A New Approach to Risk Attribution and Its Application in Credit Risk Analysis pp. 1-13 Downloads
Christoph Frei
A Tail Dependence-Based MST and Their Topological Indicators in Modeling Systemic Risk in the European Insurance Sector pp. 1-22 Downloads
Anna Denkowska and Stanisław Wanat
Bankruptcy Prediction and Stress Quantification Using Support Vector Machine: Evidence from Indian Banks pp. 1-22 Downloads
Santosh Kumar Shrivastav and P. Janaki Ramudu
Deep Arbitrage-Free Learning in a Generalized HJM Framework via Arbitrage-Regularization pp. 1-30 Downloads
Anastasis Kratsios and Cody Hyndman
Multivariate Collective Risk Model: Dependent Claim Numbers and Panjer’s Recursion pp. 1-31 Downloads
Cordelia Rudolph and Uwe Schmock
A Bank Salvage Model by Impulse Stochastic Controls pp. 1-31 Downloads
Francesco Giuseppe Cordoni, Luca Di Persio and Yilun Jiang
A Note on Combining Machine Learning with Statistical Modeling for Financial Data Analysis pp. 1-14 Downloads
José María Sarabia, Faustino Prieto, Vanesa Jordá and Stefan Sperlich
Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market pp. 1-14 Downloads
Arianna Agosto and Alessia Cafferata
Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets pp. 1-14 Downloads
Ahmed Hunjra, Tahar Tayachi, Rashid Mehmood, Sidra Malik and Zoya Malik
Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility pp. 1-15 Downloads
Moawia Alghalith, Christos Floros and Konstantinos Gkillas
Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall? pp. 1-15 Downloads
Marina Resta, Paolo Pagnottoni and Maria Elena De Giuli
Copula Model Selection for Vehicle Component Failures Based on Warranty Claims pp. 1-15 Downloads
Kathryn Wifvat, John Kumerow and Arkady Shemyakin
Implementing the Rearrangement Algorithm: An Example from Computational Risk Management pp. 1-28 Downloads
Marius Hofert
A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes pp. 1-28 Downloads
Richard Chamboko and Jorge Bravo
Special Issue “Machine Learning in Insurance” pp. 1-2 Downloads
Vali Asimit, Ioannis Kyriakou and Jens Perch Nielsen
Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana pp. 1-20 Downloads
Prince Osei Mensah and Anokye M. Adam
A Multivariate Model to Quantify and Mitigate Cybersecurity Risk pp. 1-20 Downloads
Mark Bentley, Alec Stephenson, Peter Toscas and Zili Zhu
A Raroc Valuation Scheme for Loans and Its Application in Loan Origination pp. 1-20 Downloads
Bernd Engelmann and Ha Pham
Information Sharing, Bank Penetration and Tax Evasion in Emerging Markets pp. 1-16 Downloads
Duc Vo, Minh Nguyen, Tan Manh Vo and Michael McAleer
Diversification and Desynchronicity: An Organizational Portfolio Perspective on Corporate Risk Reduction pp. 1-16 Downloads
Xue-Feng Shao, Kostas Gouliamos, Ben Nan-Feng Luo, Shigeyuki Hamori, Stephen Satchell, Xiao-Guang Yue and Jane Qiu
Risk and Policy Uncertainty on Stock–Bond Return Correlations: Evidence from the US Markets pp. 1-16 Downloads
Thomas C. Chiang
Systematic Risk at the Industry Level: A Case Study of Australia pp. 1-12 Downloads
Thang Cong Nguyen, Tan Ngoc Vu, Duc Vo and Michael McAleer
Towards an Economic Cyber Loss Index for Parametric Cover Based on IT Security Indicator: A Preliminary Analysis pp. 1-12 Downloads
Eric Dal Moro
Die Hard: Probability of Default and Soft Information pp. 1-12 Downloads
Giampaolo Gabbi, Michele Giammarino and Massimo Matthias
Hedging with Liquidity Risk under CEV Diffusion pp. 1-12 Downloads
Sang-Hyeon Park and Kiseop Lee
Erratum: Hui Ye, Anthony Bellotti. Modelling Recovery Rates for Non-Performing Loans. Risks 7 (2019): 19 pp. 1-1 Downloads
Hui Ye and Anthony Bellotti

Volume 8, issue 1, 2020

Portfolio Optimization under Correlation Constraint pp. 1-18 Downloads
Aditya Maheshwari and Traian A. Pirvu
Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks pp. 1-18 Downloads
Andrea Macrina and David Skovmand
Prediction of Claims in Export Credit Finance: A Comparison of Four Machine Learning Techniques pp. 1-27 Downloads
Mathias Bärtl and Simone Krummaker
General Compound Hawkes Processes in Limit Order Books pp. 1-25 Downloads
Anatoliy Swishchuk and Aiden Huffman
Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence pp. 1-25 Downloads
Franck Adekambi and Essodina Takouda
The Leaders, the Laggers, and the “Vulnerables” pp. 1-32 Downloads
Veni Arakelian and Shatha Qamhieh Hashem
Pricing of Commodity Derivatives on Processes with Memory pp. 1-32 Downloads
Fred Espen Benth, Asma Khedher and Michèle Vanmaele
Assessing Asset-Liability Risk with Neural Networks pp. 1-17 Downloads
Patrick Cheridito, John Ery and Mario V. Wüthrich
In-Sample Hazard Forecasting Based on Survival Models with Operational Time pp. 1-17 Downloads
Stephan M. Bischofberger
General Conditions of Weak Convergence of Discrete-Time Multiplicative Scheme to Asset Price with Memory pp. 1-29 Downloads
Yuliya Mishura, Kostiantyn Ralchenko and Sergiy Shklyar
Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies pp. 1-79 Downloads
Anne-Sophie Krah, Zoran Nikolić and Ralf Korn
Delta Boosting Implementation of Negative Binomial Regression in Actuarial Pricing pp. 1-21 Downloads
Simon CK Lee
Modelling Unobserved Heterogeneity in Claim Counts Using Finite Mixture Models pp. 1-13 Downloads
Lluís Bermúdez, Dimitris Karlis and Isabel Morillo
A Discrete-Time Approach to Evaluate Path-Dependent Derivatives in a Regime-Switching Risk Model pp. 1-22 Downloads
Emilio Russo
Application of Diffusion Models in the Analysis of Financial Markets: Evidence on Exchange Traded Funds in Europe pp. 1-23 Downloads
Adam Marszk and Ewa Lechman
Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model pp. 1-26 Downloads
Ioannis Badounas and Georgios Pitselis
Acknowledgement to Reviewers of Risks in 2019 pp. 1-4 Downloads
Risks Editorial Office
Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations pp. 1-33 Downloads
Takaaki Koike and Marius Hofert
Variations of Particle Swarm Optimization for Obtaining Classification Rules Applied to Credit Risk in Financial Institutions of Ecuador pp. 1-14 Downloads
Patricia Jimbo Santana, Laura Lanzarini and Aurelio Fernandez Bariviera
Lead Behaviour in Bitcoin Markets pp. 1-14 Downloads
Ying Chen, Paolo Giudici, Branka Hadji Misheva and Simon Trimborn
A Comprehensive Stability Indicator for Banks pp. 1-15 Downloads
Robert J. Powell and Duc Vo
CARL and His POT: Measuring Risks in Commodity Markets pp. 1-15 Downloads
Bernardina Algieri and Arturo Leccadito
Stochastic Mortality Modelling for Dependent Coupled Lives pp. 1-28 Downloads
Kira Henshaw, Corina Constantinescu and Olivier Menoukeu Pamen
Importance Sampling in the Presence of PD-LGD Correlation pp. 1-36 Downloads
Adam Metzler and Alexandre Scott
Risks Special Issue on “Granular Models and Machine Learning Models” pp. 1-2 Downloads
Greg Taylor
Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE pp. 1-20 Downloads
David Allen and Michael McAleer
On Computations in Renewal Risk Models—Analytical and Statistical Aspects pp. 1-20 Downloads
Josef Anton Strini and Stefan Thonhauser
Measuring Financial Contagion and Spillover Effects with a State-Dependent Sensitivity Value-at-Risk Model pp. 1-20 Downloads
Alin Marius Andries and Elena Galasan
Mean-Variance Optimization Is a Good Choice, But for Other Reasons than You Might Think pp. 1-16 Downloads
Andrea Rigamonti
Longevity Risk Measurement of Life Annuity Products pp. 1-16 Downloads
Pauline Milaure Ngugnie Diffouo and Pierre Devolder
A Survey of the Individual Claim Size and Other Risk Factors Using Credibility Bonus-Malus Premiums pp. 1-19 Downloads
Emilio Gómez-Déniz and Enrique Calderín-Ojeda
Page updated 2020-08-07