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A simple traffic light approach to backtesting expected shortfall
Costanzino, Nick; Curran, Mike - In: Risks : open access journal 6 (2018) 1, pp. 1-7
We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR (Value at Risk) initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document Basle...
Persistent link: https://www.econbiz.de/10011811532
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Multivariate credibility in bonus-malus systems distinguishing between different types of claims
Gómez-Déniz, Emilio; Calderín-Ojeda, Enrique - In: Risks : open access journal 6 (2018) 2, pp. 1-11
In the classical bonus-malus system the premium assigned to each policyholder is based only on the number of claims made without having into account the claims size. Thus, a policyholder who has declared a claim that results in a relatively small loss is penalised to the same extent as one who...
Persistent link: https://www.econbiz.de/10011866338
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Modelling USA age-cohort mortality : a comparison of multi-factor affine mortality models
Huang, Zhiping; Sherris, Michael; Villegas, Andrés M.; … - In: Risks : open access journal 10 (2022) 9, pp. 1-28
mortality-linked claims. We model USA age-cohort mortality data using five multi-factor affine mortality models. We focus on … without correlations in the factor dynamics. We show that for USA mortality data, the probability of negative mortality rates … performs well compared to the other affine models in explaining and forecasting USA age-cohort mortality data. …
Persistent link: https://www.econbiz.de/10013368640
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Modelling USA age-cohort mortality : a comparison of multi-factor affine mortality models
Huang, Zhiping; Sherris, Michael; Villegas, Andrés M.; … - In: Risks : open access journal 10 (2022) 9, pp. 1-28
mortality-linked claims. We model USA age-cohort mortality data using five multi-factor affine mortality models. We focus on … without correlations in the factor dynamics. We show that for USA mortality data, the probability of negative mortality rates … performs well compared to the other affine models in explaining and forecasting USA age-cohort mortality data. …
Persistent link: https://www.econbiz.de/10013555494
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Integration of CSR into the marketing mix for the sustainable development of companies : a view from the position of financial risk management
Kucharov, Abrorjon S.; Sozinova, Anastasia A.; Popkova, … - In: Risks : open access journal 12 (2024) 8, pp. 1-21
This paper is devoted to establishing the consequences of integrating CSR into the marketing mix for financial risks in … financial risks on the integration of CSR into their marketing mix. Based on that, we developed a new system approach to … managing companies' sustainable development. Its features are marketing management of the sustainable development of companies …
Persistent link: https://www.econbiz.de/10015065783
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US equity mean-reversion examined
Liew, Jim; Roberts, Ryan - In: Risks : open access journal 1 (2013) 3, pp. 162-175
In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761-782) within the Black and Litterman framework (BL; J. Fixed Income,...
Persistent link: https://www.econbiz.de/10010338334
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Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011443686
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Text mining for U.S. pension de-risking analysis
Zhang, Limin; Tian, Ruilin; Chen, Jun - In: Risks : open access journal 10 (2022) 2, pp. 1-18
In the past 30 years, as sponsors of defined benefit (DB) pension plans were facing more severe underfunding challenges, pension de-risking strategies have become prevalent for firms with DB plans to reduce pension-related risks. However, it remains unclear how pension de-risking activities...
Persistent link: https://www.econbiz.de/10013093064
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Consumer bankruptcy prediction using balanced and imbalanced data
Brygała, Magdalena - In: Risks : open access journal 10 (2022) 2, pp. 1-13
This paper examines the usefulness of logit regression in forecasting the consumer bankruptcy of households using an imbalanced dataset. The research on consumer bankruptcy prediction is of paramount importance as it aims to build statistical models that can identify consumers in a difficult...
Persistent link: https://www.econbiz.de/10012805903
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Is gold a hedge against stock price risk in U.S. or Indian markets?
Manuj, Hemant - In: Risks : open access journal 9 (2021) 10, pp. 1-15
We study whether gold acts as a hedge or a safe haven in U.S. and the Indian stock markets. These two stock markets have been chosen as representatives of the developed markets and the emerging markets, respectively, and are of significant interest to long-term investors. We apply a linear...
Persistent link: https://www.econbiz.de/10012632191