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Risks
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Risk Management Models with Applications to Economic, Social and Natural...
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Risk Management Models with Applications to Economic, Social and Natural Environment Sustainability

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: closed (20 October 2022) | Viewed by 18124

Special Issue Editor

Dr. Silvia Dedu

E-Mail Website
Guest Editor
Department of Applied Mathematics, Bucharest University of Economic Studies, 6 Romana Sq., District 1, 010734 Bucharest, Romania
Interests: statistics; risk theory; information theory; operations research; risk measures; entropy measures; actuarial science; financial mathematics
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

Many recent studies have revealed the crucial contribution of risk analysis to mitigating the influence of uncertain negative events and enhancing sustainability in various fields. The aim of the present Special Issue is to provide a framework for the discussion and design of new statistical models and optimization techniques for risk assessment, forecasting and control. Special attention will be paid to modelling and simulating the behavior and evolution of complex systems under uncertainty by using statistical models, information measures, risk measures, inequality measures, stochastic processes, as well as data analysis, big data, machine learning and other computational techniques. In addition, applications of modern quantitative models to risk management in economic, social and natural environments would be highly appreciated. We will include the following research directions: risk management in finance and insurance, risk mitigation to achieve economic convergence and sustainable development, risk of poverty, economic inequality, risk of social exclusion, food security risk, longevity risk and environmental risk.

Dr. Silvia Dedu
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • risk models
  • risk measures
  • entropy measures
  • inequality measures
  • financial risk management
  • risk of poverty
  • risk of social exclusion
  • longevity risk
  • environmental risk

Published Papers (5 papers)

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Research

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20 pages, 1939 KiB  
Article
Rare Earth Market, Electric Vehicles and Future Mobility Index: A Time-Frequency Analysis with Portfolio Implications
by Inzamam Ul Haq, Paulo Ferreira, Apichit Maneengam and Worakamol Wisetsri
Risks 2022, 10(7), 137; https://doi.org/10.3390/risks10070137 - 6 Jul 2022
Cited by 5 | Viewed by 1949
Abstract
This study investigates the co-movements between the Solactive Electric Vehicle and Future Mobility Index (EVFMI) and multiple rare earth elements (REEs). We applied a TVP-VAR model and bivariate wavelet coherence approach to capture co-movements both in the time and frequency domain considering short-, [...] Read more.
This study investigates the co-movements between the Solactive Electric Vehicle and Future Mobility Index (EVFMI) and multiple rare earth elements (REEs). We applied a TVP-VAR model and bivariate wavelet coherence approach to capture co-movements both in the time and frequency domain considering short-, medium- and long-term investment horizons. Using daily returns from 1 June 2012 to 4 June 2021, the results of the TVP-VAR model show that individual REEs and the EVFMI have strong return connectedness and are heterogenous over time. The bivariate wavelet coherence approach reveals that Dysprosium, Neodymium, Praseodymium and Terbium returns have positive co-movement (in-phase) with the EVFMI in the medium-term and long-term. In contrast, Cerium, Europium, Lanthanum and Yttrium returns have negative co-movements (out-phase) with the EVFMI in the medium-term and long-term. We find strong positive co-movements between the MVIS Global Rare Earth/Strategic Metals Index (MVREMX) and EVFMI at multiple wavelet scales. Following the lead/lag relationship, Cerium, Europium and Lanthanum, Yttrium returns are leading the EVFMI, and Neodymium, Dysprosium, Praseodymium, Terbium and MVREMX returns are lagging to the EVFMI. This study, therefore, suggests heterogenous hedging and diversification properties of REEs over time and investment horizons. Specifically, Cerium, Europium, Lanthanum and Yttrium act as strong hedges in long-term investment horizons and Neodymium, Dysprosium, Praseodymium and Terbium are weak hedges or diversifiers in short-term investment horizons. These results may be of particular interest to investors and relevant to policymakers considering multiple investment horizons. Full article
(This article belongs to the Special Issue Risk Management Models with Applications to Economic, Social and Natural Environment Sustainability)
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13 pages, 411 KiB  
Article
Consumer Bankruptcy Prediction Using Balanced and Imbalanced Data
by Magdalena Brygała
Risks 2022, 10(2), 24; https://doi.org/10.3390/risks10020024 - 18 Jan 2022
Cited by 12 | Viewed by 3369
Abstract
This paper examines the usefulness of logit regression in forecasting the consumer bankruptcy of households using an imbalanced dataset. The research on consumer bankruptcy prediction is of paramount importance as it aims to build statistical models that can identify consumers in a difficult [...] Read more.
This paper examines the usefulness of logit regression in forecasting the consumer bankruptcy of households using an imbalanced dataset. The research on consumer bankruptcy prediction is of paramount importance as it aims to build statistical models that can identify consumers in a difficult financial situation that may lead to consumer bankruptcy. In the face of the current global pandemic crisis, the future of household finances is uncertain. The change of the macroeconomic and microeconomic situation of households requires searching for better and more precise methods. The research relies on four samples of households: two learning samples (imbalanced and balanced) and two testing samples (imbalanced and balanced) from the Survey of Consumer Finances (SCF) which was conducted in the United States. The results show that the predictive performance of the logit model based on a balanced sample is more effective compared to the one based on an imbalanced sample. Furthermore, mortgage debt to assets ratio, age, being married, having credit constraints, payday loans or payments more than 60 days past due in the last year appear to be predictors of consumer bankruptcy which increase the risk of becoming bankrupt. Moreover, both the ratio of credit card debt to overall debt and owning a house decrease the risk of going bankrupt. Full article
(This article belongs to the Special Issue Risk Management Models with Applications to Economic, Social and Natural Environment Sustainability)
19 pages, 385 KiB  
Article
Investors’ Trading Activity and Information Asymmetry: Evidence from the Romanian Stock Market
by Cristiana Tudor
Risks 2021, 9(8), 149; https://doi.org/10.3390/risks9080149 - 19 Aug 2021
Cited by 3 | Viewed by 2067
Abstract
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004–2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years period, as [...] Read more.
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004–2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years period, as well as aggregate data on foreign and domestic investors (both institutional and individual) sales and purchases on the Romanian stock market, this research intends to provide an answer to the following question: Are foreign investors better informed than the domestic ones and continually achieve higher rates of return on the Romanian stock market? We compare the information advantage of the different investors’ categories by separating the stock in our data sample into two categories, namely blue-chips stocks (mostly stocks that are part of the BET index, and also containing one international stock, Erste Bank), and “regular” stocks. Subsequently, we study the explanatory power for stock returns of potential impact factors, which reflect the monthly net position of four groups of investors on the Romanian Stock market (Purchases-Sales) by employing multivariate regression models and a five variable VAR system. Ultimately, we are interested in whether investors in one particular category are consistently net buyers just before stock returns increase and are net sellers before stock returns decrease, thus suggesting they have an information advantage as compared to the domestic ones. Our aim is to provide robust empirical evidence on the nature of investors’ information asymmetry by utilising a unique data set and directly assessing relevant inter-relationships. Full article
(This article belongs to the Special Issue Risk Management Models with Applications to Economic, Social and Natural Environment Sustainability)
20 pages, 2057 KiB  
Article
Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach
by Muhammad Sheraz and Imran Nasir
Risks 2021, 9(5), 89; https://doi.org/10.3390/risks9050089 - 8 May 2021
Cited by 9 | Viewed by 2810
Abstract
The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The [...] Read more.
The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification of the randomness of PSX-100. The methodology includes two approaches: (i) the implementation of EGARCH, GJR-GARCH, and TGARCH models to estimate the volatilities; and (ii) analysis of randomness in volatilities series, return series, and PSX-100 closing prices for pre-pandemic and pandemic period by using Shannon’s, Tsallis, approximate and sample entropies. Volatility modeling suggests the existence of the leverage effect in both the underlying periods of study. The results obtained using GARCH modeling reveal that the stock market volatility has increased during the pandemic period. However, information-theoretic results based on Shannon and Tsallis entropies do not suggest notable variation in the estimated volatilities series and closing prices. We have examined regularity and randomness based on the approximate entropy and sample entropy. We have noticed both entropies are extremely sensitive to choices of the parameters. Full article
(This article belongs to the Special Issue Risk Management Models with Applications to Economic, Social and Natural Environment Sustainability)
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Review

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21 pages, 2660 KiB  
Review
Reputational Risk and Sustainability: A Bibliometric Analysis of Relevant Literature
by Haitham Nobanee, Maryam Alhajjar, Ghada Abushairah and Safaa Al Harbi
Risks 2021, 9(7), 134; https://doi.org/10.3390/risks9070134 - 14 Jul 2021
Cited by 16 | Viewed by 5420
Abstract
This study aims to conduct a bibliometric analysis of reputational risk and sustainability. The research was conducted using the Scopus database, which returned 88 publications published during 2001–2020, revealing that the amount of research output within this field is limited, and more research [...] Read more.
This study aims to conduct a bibliometric analysis of reputational risk and sustainability. The research was conducted using the Scopus database, which returned 88 publications published during 2001–2020, revealing that the amount of research output within this field is limited, and more research output should be conducted in the field of reputational risk and sustainability. We identified nine research streams: reputation risk, reputation risk and sustainability, supply chain management, social responsibility, reputation risk management, strategic approach, sustainable development, corporate sustainability and risk assessment. This bibliometric analysis provides managerial and policy implications for sustainability consideration of reputational risk with perceptions to advance knowledge in this important research field. Full article
(This article belongs to the Special Issue Risk Management Models with Applications to Economic, Social and Natural Environment Sustainability)
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