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Liquidity risk drivers and bank business models
Galletta, Simona; Mazzù, Sebastiano - In: Risks : open access journal 7 (2019) 3/89, pp. 1-18
This paper examines the bank liquidity risk while using a maturity mismatch indicator of loans and deposits (LTDm … exposed to liquidity risk. The financial crisis in 2007–2009 highlighted the importance of liquidity to the functioning of … business model, are related to liquidity risk, while using a sample of European banks in the period after the financial crisis …
Persistent link: https://www.econbiz.de/10012126481
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Money as insurance
Laurila, Hannu - In: Risks : open access journal 10 (2022) 12, pp. 1-13
Liquid money controlled by a trustworthy central bank can serve as an insurance against external surprises such as stock market crashes, bank fails and other setbacks that endanger the yield of illiquid savings. In turbulent times, the insurance property of money is particularly accentuated. The...
Persistent link: https://www.econbiz.de/10014230960
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Domain knowledge features versus LASSO features in predicting risk of corporate bankruptcy : DEA approach
Mokrišová, Martina; Horváthová, Jarmila - In: Risks : open access journal 11 (2023) 11, pp. 1-18
Predicting the risk of corporate bankruptcy is one of the most important challenges for researchers dealing with the issue of financial health evaluation. The risk of corporate bankruptcy is most often assessed with the use of early warning models. The results of these models are significantly...
Persistent link: https://www.econbiz.de/10014436563
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Bidual representation of expectiles
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 11 (2023) 12, pp. 1-21
Downside risk measures play a very interesting role in risk management problems. In particular, the value at risk (VaR) and the conditional value at risk (CVaR) have become very important instruments to address problems such as risk optimization, capital requirements, portfolio selection,...
Persistent link: https://www.econbiz.de/10014446781
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Bankruptcy risk, its financial determinants and reporting delays : do managers have anything to hide?
Lukason, Oliver; Camacho-Miñano, María-del-Mar - In: Risks : open access journal 7 (2019) 3/77, pp. 1-15
lower values of liquidity and annual and accumulated profitability were more likely to delay the submission of an annual …
Persistent link: https://www.econbiz.de/10012127585
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Insolvency risk and value maximization : a convergence between financial management and risk management
Gennaro, Alessandro - In: Risks : open access journal 9 (2021) 6, pp. 1-36
This conceptual paper focuses on the relationship between insolvency, capital structure, and value creation. The aim is twofold: to define risk-based capital measures able to absorb the effects of financial distress and avoid corporate default; and to verify conditions and limits of use of these...
Persistent link: https://www.econbiz.de/10012597149
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The use of discriminant analysis to assess the risk of bankruptcy of enterprises in crisis conditions using the example of the tourism sector in Poland
Wieprow, Joanna; Gawlik, Agnieszka - In: Risks : open access journal 9 (2021) 4, pp. 1-11
The aim of this article is to use multiple discriminant analysis (MDA) and logit models to assess the risk of bankruptcy of companies in the Polish tourism sector in the crisis conditions caused by the COVID-19 pandemic. A review of the literature is used to select models appropriate to analyze...
Persistent link: https://www.econbiz.de/10012508765
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Custom v. standardized risk models
Kakushadze, Zura; Liew, Jim Kyung-Soo - In: Risks : open access journal 3 (2015) 2, pp. 112-138
We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is...
Persistent link: https://www.econbiz.de/10011299524
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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model
Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33
Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...
Persistent link: https://www.econbiz.de/10009754682