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Breeden, Joseph L. - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-14

create templates to stress test for future events. Using the 2012 Midwestern US drought as an example, this work creates a … macroeconomic conditions by comparing drought-impacted agricultural counties with nearby urban counties. After measuring the net … macroeconomic impacts of the drought, this was used as an overlay with existing macroeconomic stress models to stress test a lender …

Persistent link: https://www.econbiz.de/10014332832

Risk-sharing and the creation of systemic risk

Acharya, Viral V.; Iyer, Aaditya M.; Sundaram, Rangarajan K. - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-18

We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets. When risk-sharing is primitive, agents...

Persistent link: https://www.econbiz.de/10012611389

Risk measures and portfolio optimization

Gambrah, Priscilla Serwaa Nkyira; Pirvu, Traian Adrian - In: Journal of Risk and Financial Management 7 (2014) 3, pp. 113-129

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...

Persistent link: https://www.econbiz.de/10011843247

Humanizing finance by hedging property values

Roig Hernando, Jaume - In: Journal of Risk and Financial Management 9 (2016) 2, pp. 1-11

The recent financial crisis triggered the greatest recession since the 1930s and had a devastating impact on households' wealth and on their capacity to reduce their indebtedness. In the aftermath, it became clear that there is significant room for improvement in property risk management. While...

Persistent link: https://www.econbiz.de/10011843270

Global hedging through post-decision state variables

Breton, Michèle; Godin, Frédéric - In: Journal of Risk and Financial Management 10 (2017) 3, pp. 1-6

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at maturity or exercise. Global hedging methods in discrete...

Persistent link: https://www.econbiz.de/10011843294

Value maximizing decisions in the real estate market: Real options valuation approach

Čirjevskis, Andrejs - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-19

The real estate market of EU countries has undergone a severe global financial crisis 2008-2009, recovered successfully later, and now experiencing significant uncertainty due to the COVID-19 pandemic event. Significant volatility of the real estate business is once again evident, just as it was...

Persistent link: https://www.econbiz.de/10013200962

How the COVID-19 pandemic influenced the approach to risk management in cycling events

Bazzanella, Filippo; Muratore, Nunzio; Schlemmer, … - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-20

The COVID-19 pandemic has taught us to live in social isolation and has brought an important element of social life, the events industry, to a complete standstill. In resurrecting the events industry, the most urgent focus is on managing the risk of any crowd-control measures with a view to...

Persistent link: https://www.econbiz.de/10013200980

The development of a small and medium-sized business risk management intervention tool

Krüger, Niël Almero; Meyer, Natanya - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-14

Risk is inevitable in business. For large companies, risk management is formalised and structured through compliance with industry standards. However, small and medium-sized businesses (SMEs) rarely have adequate resources to develop their own standards or conform to pre-established criteria....

Persistent link: https://www.econbiz.de/10013200994

Bitcoin return volatility forecasting: A comparative study between GARCH and RNN

Shen, Ze; Wan, Qing; Leatham, David J. - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-18

One of the notable features of bitcoin is its extreme volatility. The modeling and forecasting of bitcoin volatility are crucial for bitcoin investors' decision-making analysis and risk management. However, most previous studies of bitcoin volatility were founded on econometric models. Research...

Persistent link: https://www.econbiz.de/10013201021

Managing risks in the improved model of rolling mill loading: A case study

Syreyshchikova, Nelli Vladimirovna; Pimenov, Danil Yurievich - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-15

This article reflects the main sources of risks for metallurgical enterprises in Russia, presenting the implementation of an innovative approach to increasing the competitiveness of an industrial enterprise, which is a typical representative of large enterprises of the metallurgical industry,...

Persistent link: https://www.econbiz.de/10013201043

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