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Designing a model for testing the effectiveness of a regulation : the case of DORA for insurance undertakings
Grima, Simon; Marano, Pierpaolo - In: Risks : open access journal 9 (2021) 11, pp. 1-12
. Therefore, our objective in this paper is to lay out the perceived characteristics of effective regulation by using DORA as our … effective regulation (PERM). We test the reliability and validity of this model by using the Cronbach alpha. Results show that … according to our model, an effective regulation should have four characteristics, specifically "Flexibility and Integration …
Persistent link: https://www.econbiz.de/10012704659
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Equivalent risk indicators : VaR, TCE, and beyond
Faroni, Silvia; Le Courtois, Olivier; Ostaszewski, … - In: Risks : open access journal 10 (2022) 8, pp. 1-19
While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its merits, may not be the most accurate...
Persistent link: https://www.econbiz.de/10013368509
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Macroeconomics of systemic risk : transmission channels and technical integration
Rizan, Mohamad; Salim, Muhammad Zulkifli; Mukhtar, … - In: Risks : open access journal 10 (2022) 9, pp. 1-27
The avenue to find a balanced assessment of systemic financial institutions needs the integration of macro and micro granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels. Employing Indonesia datasets over 2008–2019, we...
Persistent link: https://www.econbiz.de/10013368983
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Macroeconomics of systemic risk : transmission channels and technical integration
Rizan, Mohamad; Salim, Muhammad Zulkifli; Mukhtar, … - In: Risks : open access journal 10 (2022) 9, pp. 1-27
The avenue to find a balanced assessment of systemic financial institutions needs the integration of macro and micro granular datasets. This paper investigates how macroeconomic shocks affect systemic risk through several transmission channels. Employing Indonesia datasets over 2008-2019, we...
Persistent link: https://www.econbiz.de/10013473175
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The risk of the COVID-19 pandemic and its influence on the business insurance market in the medium- and long-term horizon
Przybytniowski, Jarosław Wenancjusz; Borkowski, Stanisław - In: Risks : open access journal 10 (2022) 5, pp. 1-13
The aim of this article is to identify the risk and the likelihood of potential consequences of the COVID-19 pandemic on the business insurance market in the medium- and long-term horizon. The first section of this elaboration presents the theoretical approach connected with the nature of the...
Persistent link: https://www.econbiz.de/10013358888
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Machine learning in banking risk management : a literature review
Leo, Martin; Sharma, Suneel; Maddulety, K. - In: Risks : open access journal 7 (2019) 1/29, pp. 1-22
and many more being explored. Since the global financial crisis, risk management in banks has gained more prominence, and …
Persistent link: https://www.econbiz.de/10012015887
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An innovative framework for risk management in construction projects in developing countries : evidence from Pakistan
Nawaz, Ahsan; Waqar, Ahsan; Shah, Syyed Adnan Raheel; … - In: Risks : open access journal 7 (2019) 1/24, pp. 1-10
We introduce a financial stress index that was developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. The index employs a novel and flexible methodology using daily data from global financial markets....
Persistent link: https://www.econbiz.de/10012015942
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Spatial risk measures and rate of spatial diversification
Koch, Erwan - In: Risks : open access journal 7 (2019) 2/52, pp. 1-26
environmental phenomena. The axiom of asymptotic spatial homogeneity is of particular interest since it allows one to quantify the …
Persistent link: https://www.econbiz.de/10012019126
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Contingent convertible debt : the impact on equity holders
Boursicot, Delphine; Gauthier, Geneviève; … - In: Risks : open access journal 7 (2019) 2/47, pp. 1-35
Contingent Convertible (CoCo) is a hybrid debt issued by banks with a specific feature forcing its conversion to equity in the event of the bank’s financial distress. CoCo carries two major risks: the risk of default, which threatens any type of debt instrument, plus the exclusive risk of...
Persistent link: https://www.econbiz.de/10012019230
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Optimal risk budgeting under a finite investment horizon
López de Prado, Marcos M.; Vince, Ralph; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 3/86, pp. 1-15
The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The GOP literature typically considers...
Persistent link: https://www.econbiz.de/10012126488