In this study, we propose a multi-agent model to examine bank lending and borrowing risk behaviors and their … interbank networks as they change with bank risk preferences, and thus facilitates the analysis of the banking systems stability … documented in the recent literature. A key finding of this study is that the risk aversion choice of individual bank leads to …

customers leads to default risk and bankruptcy as well as hampers economic growth of a country.However, little work is done to …

In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the … arrival of claims. We call it risk model based on general compound Hawkes process (RMGCHP). The Law of Large Numbers (LLN) and … the Functional Central Limit Theorem (FCLT) are proved. We also study the main properties of this new risk model, net …

The risk exposure of a business line could be perceived in many ways and is sensitive to the exercise that is performed …. One way is to understand the effect of some common/reference risk over the performance of the business line in question … scenarios. That is, measuring the tail risk is the main aim. We choose to evaluate the performance via an expectation, which is …

This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset …, we obtain analytical formulas for computing asset risk contributions of a given portfolio. Therefore, we define risk … mix policy. When assets exhibit jump risks like the short volatility strategy, we show that skewness-based risk parity …

decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find …

Mutual fund is an investment vehicle which well known for diversification of risk. The core of mutual fund lies in the … basket of securities in which the corpus of a fund is invested. Professionals are employed to minimise the risk at an … expected level of return. The level of risk of a scheme depends on the securities in which the corpus is invested. The present …

This paper discusses the theory that risk factors divide to the company specific and asset specific risk factors. The … for a specific asset. I find that equity market, value, and quality factors are indeed possible company specific risk … factors with influence on an expected equity of a company and dividend and volatility factors are possible stock specific risk …