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Dionne, Georges; Santugini, Marc - In: Risks : open access journal 3 (2015) 4, pp. 543-552

We extend the analysis on hedging with price and output uncertainty by endogenizing the output decision. Specifically, we consider the joint determination of output and hedging in the case of flexibility in production. We show that the risk-averse firm always maintains a short position in the...

Persistent link: https://www.econbiz.de/10011402765

Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Persistent link: https://www.econbiz.de/10015066381

The interaction between banking sector and financial technology companies : qualitative assessment - a case of Lithuania

Pu, Ruihui; Teresiene, Deimante; Pieczulis, Ina; Kong, Jie - In: Risks : open access journal 9 (2021) 1/21, pp. 1-22

The role of financial technology companies increases every day. From one side this process generates more possibilities for consumers from other side it is related with new risks which arise in banking sector. At the beginning of FinTech era lots of analyst were discussing about disruptive...

Persistent link: https://www.econbiz.de/10012423104

Volatility spillovers among sovereign credit default swaps of emerging economies and their determinants

Aljarba, Shumok; Naifar, Nader; Almeshal, Khalid - In: Risks : open access journal 12 (2024) 4, pp. 1-17

This paper aims to investigate the volatility spillovers among selected emerging economies' sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the...

Persistent link: https://www.econbiz.de/10014636376

A two-account life insurance model for scenario-based valuation including event risk

Jensen, Ninna Reitzel; Schomacker, Kristian Juul - In: Risks : open access journal 3 (2015) 2, pp. 183-218

Using a two-account model with event risk, we model life insurance contracts taking into account both guaranteed and non-guaranteed payments in participating life insurance as well as in unit-linked insurance. Here, event risk is used as a generic term for life insurance events, such as death,...

Persistent link: https://www.econbiz.de/10011300329

The impact of guarantees on the performance of pension saving schemes : insights from the literature

Bohnert, Alexander - In: Risks : open access journal 3 (2015) 4, pp. 515-542

Guarantees are often seen as the key characteristics of pension saving products, but securing them can become costly … deal with the question of how costly the typical types of guarantees are, in the sense that they reduce a pension saving … literature studying the impact of point-to-point guarantees and cliquet-style interest rate guarantees on the performance of …

Persistent link: https://www.econbiz.de/10011402676

Cryptocurrency portfolio allocation under credibilistic CVaR criterion and practical constraints

Ghanbari, Hossein; Mohammadi, Emran - In: Risks : open access journal 12 (2024) 10, pp. 1-23

The cryptocurrency market offers attractive but risky investment opportunities, characterized by rapid growth, extreme volatility, and uncertainty. Traditional risk management models, which rely on probabilistic assumptions and historical data, often fail to capture the market's unique dynamics...

Persistent link: https://www.econbiz.de/10015135746

Portfolio construction by using different risk models: a comparison among diverse economic scenarios

Hunjra, Ahmed Imran; Alawi, Suha Mahmoud; Colombage, Sisira - In: Risks : open access journal 8 (2020) 4/126, pp. 1-23

We aim to construct portfolios by employing different risk models and compare their performance in order to understand their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean absolute deviation (MaD) and conditional value at risk...

Persistent link: https://www.econbiz.de/10012390956

The Quality of reserve risk calculation models under solvency II and IFRS 17

Arató, N. Miklós; Martinek, László - In: Risks : open access journal 10 (2022) 11, pp. 1-13

We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how successful they are at predicting distributions and VaRs of claim developments in particular. Both actual data and hypothetical claim triangles support our results. The...

Persistent link: https://www.econbiz.de/10014225942

Multi-Variate risk measures under Wasserstein Barycenter

Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15

When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...

Persistent link: https://www.econbiz.de/10013555458