Risks, Volume 11, Issue 5

Credit-risk models that are designed for general application across sectors may not be suitable for the construction industry, which has unique characteristics and financial risks that require specialised modelling approaches. Moreover, advanced bank...

The development of risk models for managing portfolios of financial institutions and insurance companies requires, both from the regulatory and management points of view, a strong validation of the quality of the results provided by internal risk mod...

In this paper, a method was proposed for pricing NPL portfolios, which is currently a crucial point in the portfolio transactions between the banks and NPL servicers. The method was based on a simple mathematical model which simulated the collection...

We provide new evidence of a favorite long-shot bias for bets placed on baseball games. Our analysis uses the difference of mean run differentials as an observable proxy for the probability of a team to win. When baseball is viewed through this proxy...

Predictive analytics of financial markets in developed and emerging economies during the COVID-19 regime is undeniably challenging due to unavoidable uncertainty and the profound proliferation of negative news on different platforms. Tracking the med...

We propose a framework for constructing diversified portfolios with multiple pairs trading strategies. In our approach, several pairs of co-moving assets are traded simultaneously, and capital is dynamically allocated among different pairs based on t...

The main focus of this article is the problem of exacerbating agricultural risks in the context of the COVID-19 crisis, which started against the background of the novel coronavirus (COVID-19) pandemic. The motivation for conducting the research pres...

Artificial intelligence is changing the world in unprecedented ways and redefining all areas of human activity. In recent decades, the development of AI has progressed at an extraordinary pace. This study examines the scope of implementing AI in the...

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 elec...

The COVID-19 pandemic and its different waves brought several complications to people’s social lives and massively affected business activities worldwide. Accordingly, in this study, we explored the various COVID-19 threats, uncertainties, and...

Ecological risks are characterized by a high degree of uncertainty about the chances of unfavorable event outcomes and the losses associated with those outcomes. Subjective expert judgment is widely used when baseline data are insufficient. This intr...

Banks are exposed to climate risks through stranded assets. This risk can be substantial in the banking sector, as it can spawn systemic risk. After the Great Recession, macro-prudential instruments effectively addressed systemic risk. However, clima...

We explain the evolution of the volatility market and present the infamous day of ‘Volmageddon’ as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical...

The aim of this study was to investigate the Granger causality between geopolitical risk (GPR) sub-indices in order to examine the implications of geopolitical risk on ten agricultural commodities classified as softs or grains. The Granger causality...

Bitcoin Pricing Kernels (PKs) are estimated using a novel data set from Deribit, the leading Bitcoin options exchange. The PKs, as the ratio between risk-neutral and physical density, dynamically reflect the change in investor preferences. Thus, the...

We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which is based on a system of integral equations that relates terminal density and option prices. Using a discretization of the terminal...

Human resource (HR) risks are significant negative aspects of any organization. The main problem in the theory and practice of modern organizations is that there is no complex model and algorithm for managing HR risks. To define the essence of HR ris...

This study considers the impact of the FATF’s greylisting process from a market perspective. The results are intended to inform the development of public policy and improvement of market signalling. The study develops a theoretical market impac...

Within the insurance field, the digital revolution has enabled the collection and storage of large quantities of information [...]

Estimation of the value-at-risk (VaR) of a large portfolio of assets is an important task for financial institutions. As the joint log-returns of asset prices can often be projected to a latent space of a much smaller dimension, the use of a variatio...