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Methodology for economic analysis of highly uncertain innovative projects of improbability type
Babkin, Aleksandr; Kvasha, Nadezhda; Demidenko, Daniil; … - In: Risks : open access journal 11 (2023) 1, pp. 1-20
ensures that the flexible risk response concept under conditions of improbable uncertainty is taken into account when …
Persistent link: https://www.econbiz.de/10014232403
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Are investors' attention and uncertainty aversion the risk factors for stock markets? : international evidence from the COVID-19 crisis
Shear, Falik; Ashraf, Badar Nadeem; Sadaqat, Mohsin - In: Risks : open access journal 9 (2021) 1/2, pp. 1-15
In this paper, we examine the impact of investors' attention to COVID-19 on stock market returns and the moderating effect of national culture on this relationship. Using daily data from 34 countries over the period 23 January to 12 June 2020, and measuring investors' attention with the Google...
Persistent link: https://www.econbiz.de/10012422883
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Optimal investment under cost uncertainty
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...
Persistent link: https://www.econbiz.de/10011811536
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Imbalance market real options and the valuation of storage in future energy systems
Moriarty, John; Palczewski, Jan - In: Risks : open access journal 7 (2019) 2/39, pp. 1-30
As decarbonisation progresses and conventional thermal generation gradually gives way to other technologies including intermittent renewables, there is an increasing requirement for system balancing from new and also fast-acting sources such as battery storage. In the deregulated context, this...
Persistent link: https://www.econbiz.de/10012019299
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Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation
Hillman, Timothy; Zhang, Nan; Zhuo, Jin - In: Risks : open access journal 6 (2018) 2, pp. 1-20
We extend an existing numerical model (Grasselli (2011)) for valuing a real option to invest in a capital project in an incomplete market with a finite time horizon. In doing so, we include two separate effects: the possibility that the project value is partly describable according to a...
Persistent link: https://www.econbiz.de/10011866522
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A compound up-and-in call like option for wind projects pricing
Bufalo, Michele; Di Bari, Antonio; Villani, Giovanni - In: Risks : open access journal 11 (2023) 5, pp. 1-13
Wind energy projects represent, currently, a valid opportunity to support United Nations Sustainable Development Goal 7. However, these projects can appear financially unattractive considering the unfavorable meteorological conditions, uncertain electricity market price, uncertain market demand,...
Persistent link: https://www.econbiz.de/10014332155
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Risk information in non-financial disclosure
Fijałkowska, Justyna; Hadro, Dominika - In: Risks : open access journal 10 (2022) 1, pp. 1-18
This paper aims to research the topics related to risk included in non-financial disclosure (NFD) of companies listed … on the Warsaw Stock Exchange (WSE) and explore factors that influence the risk topics ratio in NFD. We applied a content … analysis using topic modeling to discover latent risk topics in NFD. Next, with Ward's clustering, we identified four groups of …
Persistent link: https://www.econbiz.de/10012805397
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Measuring equity share related risk perception of investors in economically backward regions
Singh, Ranjit; Bhattacharjee, Jayashree - In: Risks : open access journal 7 (2019) 1/12, pp. 1-20
Risk perception is an idiosyncratic process of interpretation. It is a highly personal process of making a decision … based on an individual’s frame of reference that has evolved over time. The purpose of this paper is to find out the risk … perception level of equity investors and to identify the factors influencing their risk perception. The study was conducted using …
Persistent link: https://www.econbiz.de/10012018617
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Estimating and forecasting conditional risk measures with extreme value theory : a review
Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16
One of the key components of financial risk management is risk measurement. This typically requires modeling …
Persistent link: https://www.econbiz.de/10011866456
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Risk approach : risk hierarchy or construction investment risks in the light of interim empiric primary research conclusions
Szemere, Tibor Pál; Garai-Fodor, Mónika; … - In: Risks : open access journal 9 (2021) 5, pp. 1-18
economic interactions, certain risks are associated with their implementation. Risk factors were given a particular priority … during the secondary and primary research, while determining the most relevant risk factors of investment project processes … in relation to the B2B market. The risk map for investment project processes was created in line with the relevant …
Persistent link: https://www.econbiz.de/10012508818