assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …

The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse … (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk …’ prediction coefficient but makes that of the uninformed investors diminish. Inflation does not affect rational investors’ risk …

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk …, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio … risk measures are vulnerable to larger skewness and kurtosis of the asset returns. Moreover, the traditional assumption of …

national security as of May 2022. Fourth, firm-level risk perceptions skewed heavily to the downside in spring 2020 but shifted …

. This study aims to analyze the phenomenon of idiosyncratic risk in Indonesia, whether it is related to price … liquidity levels and stock liquidity risk. Our research revealed the relationship between information asymmetry in the … stock liquidity, liquidity risk, and information asymmetry. The findings of this study are expected to contribute to the …

Many actuarial science researchers on stochastic modeling and forecasting of systematic mortality risk use Cairns … integrate the CBD model to enhance its accuracy and predictive capacity for future systematic mortality risk in countries with … be implemented by Kenyan insurance firms when modeling and forecasting systematic mortality risk helpful in the pricing …