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Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors
Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226
This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...
Persistent link: https://www.econbiz.de/10011545172
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Generalized mean-reverting 4/2 Factor Model
Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121
This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for...
Persistent link: https://www.econbiz.de/10012172988
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Risk management and agency theory : role of the put option in corporate bonds
Tewari, Manish; Ramanlal, Pradipkumar - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-28
This study sets out a new methodology to exemplify, through a set of risk metrics called the Greeks, impact of a bond’s structured provisions (e.g., call, put, and conversion options) on its risk characteristics and its propensity for agency conflicts. The methodology is assessed by applying...
Persistent link: https://www.econbiz.de/10012821017
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A comprehensive statistical analysis of the six major crypto-currencies from August 2015 through June 2020
Mendes, Beatriz Vaz de Melo; Fluminense Carneiro, André - In: Journal of risk and financial management : JRFM 13 (2020) 9/192, pp. 1-21
After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensive statistical analysis of the six most...
Persistent link: https://www.econbiz.de/10012386865
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Diversification can control probability of default or risk, but not both
Cadenas, Pedro; Gzyl, Henryk - In: Journal of risk and financial management : JRFM 14 (2021) 2/73, pp. 1-10
One of the controversies of diversification is that it may not be beneficial to banks, as it tends to increase systemic risk. Recent theoretical and empirical work have addressed this problem. We argue, from a theoretical perspective, that this controversy ultimately depends on how risk is...
Persistent link: https://www.econbiz.de/10012484095
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Models for expected returns with statistical factors
Cueto, José Manuel; Grané, Aurea; Cascos, Ignacio - In: Journal of risk and financial management : JRFM 13 (2020) 12/314, pp. 1-17
In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and … parameters involved. We compare our bootstrap-based inferential results with classical proposals (based on F-statistics). Methods … the market is thoroughly studied. We also observe that our block-bootstrap methodology seems to be more conservative with …
Persistent link: https://www.econbiz.de/10012392578
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Firm credit scoring : a series two-stage DEA bootstrapped approach
Tsolas, Ioannis E. - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12
series two-stage data envelopment analysis (DEA) combined with bootstrap and hierarchical clustering. The results of the two …
Persistent link: https://www.econbiz.de/10012534610
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A new approach for risk of corporate bankruptcy assessment during the COVID-19 pandemic
Boratyńska, Katarzyna T. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-14
The consequences of COVID-19 will aggravate existing multidimensional risks and reveal new ones. The research gap allows contributing to recognizing the exogenous risk factors of corporate bankruptcy during the COVID-19 pandemic in EU countries. This study aims at revealing how to evaluate the...
Persistent link: https://www.econbiz.de/10012799152
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Economic calculus qua an instrument to support sustainable development under increasing risk
Drozdowski, Grzegorz - In: Journal of risk and financial management : JRFM 14 (2021) 1/15, pp. 1-12
Investment decisions in the field of sustainable development should be taken based on an economic calculation, taking into account the analysis of a diverse economic environment. The economic calculus of an enterprise is treated as a kind of way of thinking about the rationality of decisions...
Persistent link: https://www.econbiz.de/10012415456
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Pandemic-era uncertainty
Meyer, Brent; Mihaylov, Emil; Barrero, Jose Maria; … - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-14
We examine several measures of uncertainty to make five points. First, equity market traders and executives at … nonfinancial firms have shared similar assessments about one-year-ahead uncertainty since the pandemic struck. Both the one …-year VIX and our survey-based measure of firm-level uncertainty at a one-year forecast horizon doubled at the onset of the …
Persistent link: https://www.econbiz.de/10013375282