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The impact of blockchain on the quality of accounting information : an Iraqi case study

Alkafaji, Bashaer Khudhair Abbas; Dashtbayaz, Mahmoud Lari - In: Risks : open access journal 11 (2023) 3, pp. 1-22

This paper aims to investigate the impact of blockchain on the quality of the information in listed and non-listed companies in Iraq; the temporal scope of this study is 2022. The statistical population of this research is divided into two parts: one part is related to the level of familiarity...

Persistent link: https://www.econbiz.de/10014303635

The volatility of the "green" option-adjusted spread : evidence before and during the pandemic period

Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all...

Persistent link: https://www.econbiz.de/10013093081

Determining financial uncertainty through the dynamics of Sukuk bonds and prices in emerging market indices

Sial, Muhammad Safdar; Cherian, Jacob; Meero, … - In: Risks : open access journal 10 (2022) 3, pp. 1-13

The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk … market index and Sukuk bond price returns, except the one. There is no impact of the financial uncertainty indicator … reflected by the global volatility index (VIX) on the Sukuk index returns, and even this impact is negative for (VXEEM). The …

Persistent link: https://www.econbiz.de/10013161520

Decomposition of natural catastrophe risks : insurability using parametric CAT bonds

Marvi, Morteza Tavanaie; Linders, Daniël - In: Risks : open access journal 9 (2021) 12, pp. 1-19

Nat Cat risks are not insurable by traditional insurance mainly because of producing highly correlated losses. The source of such correlation among buildings of a region subject to a natural hazard is discussed. A decomposition method is proposed to split Nat Cat risk into idiosyncratic (and...

Persistent link: https://www.econbiz.de/10012705095

On the diversification of fixed income assets

Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21

This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...

Persistent link: https://www.econbiz.de/10012806470

Bond and CDS pricing via the stochastic recovery Black-Cox Model

Cohen, Albert; Costanzino, Nick - In: Risks : open access journal 5 (2017) 2, pp. 1-17

Building on recent work incorporating recovery risk into structural models by Cohen & Costanzino (2015), we consider the Black-Cox model with an added recovery risk driver. The recovery risk driver arises naturally in the context of imperfect information implicit in the structural framework....

Persistent link: https://www.econbiz.de/10011643417

Desirable portfolios in fixed income markets : application to credit risk premiums

Garrido, José; Okhrati, Ramin - In: Risks : open access journal 6 (2018) 1, pp. 1-21

An arbitrage portfolio provides a cash flow that can never be negative at zero cost. We define the weaker concept of a “desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk-free investments and subject to the risk measure used,...

Persistent link: https://www.econbiz.de/10011811620

Analysis of yields and their determinants in the European corporate green bond market

Grishunin, Sergei; Bukreeva, Alesya; Suloeva, Svetlana; … - In: Risks : open access journal 11 (2023) 1, pp. 1-19

The green bond market helps to mobilize financial sources toward sustainable investments. Green bonds are similar to conventional bonds but are specifically designed to raise money to finance environmental projects. The feature of green bonds is the existence of greenium, or the lower yield...

Persistent link: https://www.econbiz.de/10014233051

A wavelet analysis of the dynamic connectedness among oil prices, green bonds, and CO2 emissions

Marín-Rodríguez, Nini Johana; González-Ruiz, Juan David - In: Risks : open access journal 11 (2023) 1, pp. 1-21

Wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) are used to examine the co-movements among oil prices, green bonds, and CO2 emissions on daily data from January 2014 to October 2022. The WPS results show that oil returns exhibit significant volatility at low and medium...

Persistent link: https://www.econbiz.de/10014233065

The determinant of Sukuk rating : agency theory and asymmetry theory perspectives

Santoso, Bedjo; Widodo, Widodo; Akbar, Muhammad Taufiq; … - In: Risks : open access journal 10 (2022) 8, pp. 1-23

This research aims to develop a determinant variable of the Sukuk rating derived from agency and asymmetry theories …. This research is essential because Sukuk or Islamic Bonds is needed in Indonesia, with 85% of its population out of 320 … million people being Muslim. Many studies on the determinants of Sukuk ratings have been conducted and are still trending …

Persistent link: https://www.econbiz.de/10013368306