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On the diversification effect in solvency II for extremely dependent risks
Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22
In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal … to our results, one can take advantages from the diversification effect for marginal risks with finite mean. This …
Persistent link: https://www.econbiz.de/10014370410
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Diversification and desynchronicity : an organizational portfolio perspective on corporate risk reduction
Shao, Xue-Feng; Guliamos, Kōstas Iō.; Luo, Ben Nan-Feng; … - In: Risks : open access journal 8 (2020) 2/51, pp. 1-16
reduction is diversification; however, evidence for the effectiveness of diversification remains inconclusive. According to … diversification and synchronization compensation. This study introduces “desynchronicity”, a process that operationalizes … 332 firms (from COMPUSTAT) were used to empirically test the relationships between diversification and risk, and …
Persistent link: https://www.econbiz.de/10012292861
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Portfolio optimization for extreme risks with maximum diversification : an empirical analysis
Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26
huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value … effect of diversification for extreme risks. In this paper, we empirically examine the DR strategy by using more than 350 S … turnover, and the degree of diversification. DR outperforms other strategies. In particular, DR shows the highest return and …
Persistent link: https://www.econbiz.de/10013358817
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The COVID-19 impact on supply chains, focusing on the automotive segment during the second and third wave of the pandemic
Pató, Beáta Sz. G.; Herczeg, Márk; … - In: Risks : open access journal 10 (2022) 10, pp. 1-17
In the last few years, there have been several big changes in the automotive industry, and global automotive supply chains have faced many challenges, mainly due to the COVID-19 epidemic. The virus had several huge impacts on the global market, with different risk management approaches companies...
Persistent link: https://www.econbiz.de/10013555662
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Supply chain management and risk management in an environment of stochastic uncertainty (retail)
Lochan, Sergey A.; Rozanova, Tatiana P.; Bezpalov, Valery V. - In: Risks : open access journal 9 (2021) 11, pp. 1-14
In the context of stochastic uncertainty and the increasing complexity of logistics processes in the retail sector, managers face a problem in obtaining accurate forecasts for the dynamics of changes in key business performance indicators. The purpose of the present work is to assess the impact...
Persistent link: https://www.econbiz.de/10012704024
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Supply chain risk management : literature review
Gurtu, Amulya; Johny, Jestin - In: Risks : open access journal 9 (2021) 1/16, pp. 1-16
The risks associated with global supply chain management has created a discourse among practitioners and academics. This is evident by the business uncertainties growing in supply chain management, which pose threats to the entire network flow and economy. This paper aims to review the existing...
Persistent link: https://www.econbiz.de/10012423018
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Towards a more resilient festival industry : an analysis of the adoption of risk management models for sustainability
Lorincz, Katalin; Formadi, Katalin; Ernszt, Ildiko - In: Risks : open access journal 11 (2023) 2, pp. 1-18
The COVID-19 pandemic has had a significant impact on numerous industries, including the event industry, resulting in widespread disruptions. The widespread cancellations of festivals have been a direct consequence of the pandemic, and, following the reopening, those that have taken place have...
Persistent link: https://www.econbiz.de/10014246213
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The impact of systemic risk on the diversification benefits of a risk portfolio
Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … occurrence, systemic risk can reduce dramatically the diversification benefits. It is clearly revealed via a non …
Persistent link: https://www.econbiz.de/10010399713
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Optimising portfolio risk by involving crypto assets in a volatile macroeconomic environment
Bányai, Attila; Tatay, Tibor; Thalmeiner, Gergő; … - In: Risks : open access journal 12 (2024) 4, pp. 1-21
Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there … optimise portfolio risk. We use VaR risk measures to optimise the process. Diversification opportunities are evaluated under … view so that the study results can be interpreted as a stress test in addition to observing the diversification effect. The …
Persistent link: https://www.econbiz.de/10014636496
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Actuarial geometry
Mildenhall, Stephen J. - In: Risks : open access journal 5 (2017) 2, pp. 1-44
The literature on capital allocation is biased towards an asset modeling framework rather than an actuarial framework. The asset modeling framework leads to the proliferation of inappropriate assumptions about the effect of insurance line of business growth on aggregate loss distributions. This...
Persistent link: https://www.econbiz.de/10011687307