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Bail-in or bail-out? : correlation networks to measure the systemic implications of bank resolution

Giudici, Paolo; Parisi, Laura - In: Risks : open access journal 7 (2019) 1/3, pp. 1-25

We propose a statistical measure, based on correlation networks, to evaluate the systemic risk that could arise from the resolution of a failing or likely-to-fail financial institution, under three alternative scenarios: liquidation, private recapitalization, or bail-in. The measure enhances the...

Persistent link: https://www.econbiz.de/10012018723

Managing systematic mortality risk in life annuities : an application of longevity derivatives

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 1/2, pp. 1-25

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity …

Persistent link: https://www.econbiz.de/10012018726

Analyzing the impact of carbon risk on firms' creditworthiness in the context of rising interest rates

Batoon, Aimee Jean; Rroji, Edit - In: Risks : open access journal 12 (2024) 1, pp. 1-21

default swap spreads for different maturities between 2020 and 2023. In particular, the recent European interest rate hikes …

Persistent link: https://www.econbiz.de/10014481048

Risk sharing, SMEs’ financial strategy, and lending guarantee technology

Saci, Karima; Mansour, Walid - In: Risks : open access journal 11 (2023) 2, pp. 1-23

Several governments use the Credit Guarantee Schemes to ease SMEs' access to funding and support their growth and survival. This paper suggests a lending guarantee technology based on risk sharing through a de facto shareholding agreement to cover potential losses and reduce the premature...

Persistent link: https://www.econbiz.de/10014234373

The impact of financial culture on the operation of Hungarian SMEs before and during COVID-19

Toth, Robert; Kasa, Richard; Lentner, Csaba - In: Risks : open access journal 10 (2022) 7, pp. 1-18

The main aim of this study is to explore the conceptual framework of corporate financial culture and its practical relevance in an emerging Central European market economy, at the level of the Hungarian SME, with a special emphasis on the Hungarian SME sector. In our study, we highlight each...

Persistent link: https://www.econbiz.de/10013364888

Impact of audit fees on earnings management and financial risk : an analysis of corporate finance practices

Daryaei, Abbas Ali; Askarany, Davood; Fattahi, Yasin - In: Risks : open access journal 12 (2024) 8, pp. 1-22

This study employs a robust quantitative ex post facto research design to investigate the complex relationship between audit fees and earnings management. The financial information of 164 firms admitted to the Tehran Stock Exchange (TSE) was used from 2010 to 2019 (pre-COVID period) to achieve...

Persistent link: https://www.econbiz.de/10015065831

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … financial market is complete and contains three primitive assets: a bank account, a stock and a variance swap, where the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

Persistent link: https://www.econbiz.de/10012293125

The effect of mean-reverting processes in the pricing of options in the energy market : an arithmetic approach

Schmeck, Maren Diane; Schwerin, Stefan - In: Risks : open access journal 9 (2021) 5, pp. 1-19

have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the … price of electricity. We show that for sufficiently large delivery periods of the swap contract, the error that one makes by … determine an explicit closed-form formula for the price of the call on a swap. The theoretical analysis is then illustrated via …

Persistent link: https://www.econbiz.de/10012597100

Pricing of pseudo-swaps based on pseudo-statistics

Franco, Sebastian; Sviščuk, Anatolij - In: Risks : open access journal 11 (2023) 8, pp. 1-30

stochastic volatility, and instead relies on data/statistics. A data/statistics-based approach to swap pricing is very different … to compare a stochastic model to the data/statistics-based approach to swap pricing that is developed within this paper. …

Persistent link: https://www.econbiz.de/10014370400

Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities

Sviščuk, Anatolij; Franco, Sebastian - In: Risks : open access journal 11 (2023) 9, pp. 1-22

calculate averaged swap prices for financial markets with semi-Markov volatilities? This question has not been considered in the …

Persistent link: https://www.econbiz.de/10014375249

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