. The tail risk interdependence measurement framework relies on the multivariate Student-t Markov switching (MS) model and …This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and … the multiple-conditional value-at-risk (CoVaR) (conditional expected shortfall (CoES)) risk measures introduced in …

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further … eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques … contributes to a more comprehensive firm-level idiosyncratic risk that is crucial in both portfolio diversification and alpha …

design and implement marketing and promotional strategies. Considering the large scale and scope of the project, the purpose … departments in Saudi Arabia. Eleven risk factors and challenges were identified, including design challenges, as well as legal … effective planning and implementation, along with risk identification and mitigation mechanisms. In addition, it is essential to …

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected … Value at Risk, Average Value at Risk and Limited Expected Loss are derived. We solve the problem of minimizing risk measures … applied to portfolios. Moreover, the portfolio’s expected return is maximized subject to the aforementioned risk measures. We …

useful tool that can be applied for the needs of corporate risk management in the area of the assessment of a firm …’s bankruptcy risk. Using two variants of the division of the research sample into the training and testing sets, it turned out that … variables is necessary for possibly building the most efficient tool for the early warning signs of bankruptcy risk. …

can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … 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 …

The purpose of this article is to show the effect of Risk Perception RP and Risk Definition RD on the Risk …. It is also assumed that the risk perception variable may affect the risk definition variable (η RD). The application … June 2020, a period during the early stages of the COVID-19 pandemic. The study identified six dimensions of risk …

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn … higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if … their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of …

meltdowns can represent existential exposure to an organization, and thus cannot be ignored. Despite advances in risk management …, a gap in addressing what cannot be envisioned ex ante has existed since Frank Knight’s designation of risk and …