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Bubbles, blind-spots and Brexit
Fry, John; Brint, Andrew - In: Risks : open access journal 5 (2017) 3, pp. 1-15
In this paper we develop a well-established financial model to investigate whether bubbles were present in opinion polls and betting markets prior to the UK’s vote on EU membership on 23 June 2016. The importance of our contribution is threefold. Firstly, our continuous-time model allows for...
Persistent link: https://www.econbiz.de/10011688252
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Forming a risk management system based on the process approach in the conditions of economic transformation
Sidorova, Elena; Kostyukhin, Yuri; Korshunova, Lyudmila; … - In: Risks : open access journal 10 (2022) 5, pp. 1-15
The economy is in a state of transformation into a new system, and it is quite realistic that economic entities will be under the influence of certain risky moments. The process of risk analysis and management should be considered by an enterprise as an integral part of enterprise management in...
Persistent link: https://www.econbiz.de/10013359055
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Meta-learning approaches for recovery rate prediction
Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric - In: Risks : open access journal 10 (2022) 6, pp. 1-29
While previous academic research highlights the potential of machine learning and big data for predicting corporate bond recovery rates, the operations management challenge is to identify the relevant predictive variables and the appropriate model. In this paper, we use meta-learning to combine...
Persistent link: https://www.econbiz.de/10013363030
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A review on machine learning for asset management
Mirete-Ferrer, Pedro M.; Garcia-Garcia, Alberto; … - In: Risks : open access journal 10 (2022) 4, pp. 1-46
describe the theoretical background of both machine learning and finance that will be needed to understand the reviewed methods …
Persistent link: https://www.econbiz.de/10013355355
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An efficient method for pricing analysis based on neural networks
Arabyat, Yaser Ahmad; AlZubi, Ahmad Ali; Aldebei, Dyala M. - In: Risks : open access journal 10 (2022) 8, pp. 1-14
The revolution in neural networks is a significant technological shift. It has an impact on not only all aspects of production and life, but also economic research. Neural networks have not only been a significant tool for economic study in recent years, but have also become an important topic...
Persistent link: https://www.econbiz.de/10013368301
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Fiscal responsibility legal framework : new paradigm for fiscal discipline in the EU
Tofan, Mihaela; Onofrei, Mihaela; Gavriluta, Anca Florentina - In: Risks : open access journal 8 (2020) 3/79, pp. 1-18
fiscal governance and their implications for challenges in public finance sustainability. The research started from the … presupposition that there is a lack of mechanisms capable of enforcing the area of public finance sustainability, and the implication … for the legislative framework aimed at consolidating public finance sustainability and accentuate the need to use fiscal …
Persistent link: https://www.econbiz.de/10012293252
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Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Carbonneau, Alexandre; Godin, Frédéric - In: Risks : open access journal 11 (2023) 8, pp. 1-27
The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives. The ability to move beyond the class of convex risk measures considered in several prior studies provides more flexibility...
Persistent link: https://www.econbiz.de/10014391590
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Optimal structure of real estate portfolio using EVA : a stochastic Markowitz model using data from Greek real estate market
Petropoulos, Theofanis; Liapis, Konstantinos; … - In: Risks : open access journal 11 (2023) 2, pp. 1-19
The purpose of this paper is to examine the issue of portfolio optimization. Optimization consists of minimizing the risk for a given rate of return or achieving a bigger return for a given level of risk. We use historical data from the Bank of Greece to calculate the net return and the standard...
Persistent link: https://www.econbiz.de/10014245748
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Optimal stopping and utility in a simple modelof unemployment insurance
Anquandah, Jason S.; Bogachev, Leonid V. - In: Risks : open access journal 7 (2019) 3/94, pp. 1-41
Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the continuous reduction of benefit payments. In...
Persistent link: https://www.econbiz.de/10012126434
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On the laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes
Gapeev, Pavel V.; Rodosthenous, Neofytos; … - In: Risks : open access journal 7 (2019) 3/87, pp. 1-15
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an independent exponential random time. It is...
Persistent link: https://www.econbiz.de/10012126486