Risks, Volume 12, Issue 9

Based on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds with...

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications...

Following the introduction of EUR/USD futures and USD/JPY futures on 31 October 2022, Thailand Futures Exchange first entered the top 11 list of derivatives exchanges based on foreign exchange derivative volumes in 2022. This paper investigates the d...

This study delves into the influence of banks’ governance and ownership structures on green lending. To examine this, we utilized the two-step system GMM and PCSE methods on the panel data of Vietnamese commercial banks spanning from 2010 to 20...

This study examines the influence of fraud disclosure (FR_DISC) in annual reports on the financial stability of Takaful insurance (TKI) in Saudi Arabia over the period of 2014 to 2022. Moreover, the current study aims to explore the mediating impact...

This study empirically investigates the association between board attributes and capital structure decisions of non-financial listed firms in Bangladesh. This study also investigates how this association is shaped and moderated by the level of inside...

This study examines risk factors in mergers and acquisitions (M&As) identified in the recent literature, addressing the following question: “What risk factors associated with M&A transactions are discussed in the recent academic literat...

This paper aims to assess the return and downside risk of a decumulation portfolio established at the retirement age of a senior, with a determined lifetime horizon differentiated by the sex of the citizen. To measure the portfolio’s return and...

The K-means algorithm and its variants are well-known clustering techniques. In actuarial applications, these partitioning methods can identify clusters of policies with similar attributes. The resulting partitions provide an actuarial framework for...

The current study aims to develop a financial stability model in Iraq; after reviewing the relevant literature and sources related to financial stability and considering Iraq’s social, economic, political, and cultural conditions, a conceptual...

The global foreign exchange (FX) market represents a critical and sizeable component of our financial system. It is a market where firms and investors engage in both speculative trading and hedging. Over the years, there has been a growing interest i...

Under the “dual carbon” goal, the core issue at present is to improve the environment while ensuring economic development. As a result, green finance, that is a tool that integrates finance and environmental protection, has shown increasi...

We leverage telematics data on driving behavior variables to assess driver risk and predict future insurance claims in a case study utilising a representative telematics sample. In the study, we aim to categorise drivers according to their driving ha...

We present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experie...

In risk assessment, numerous subfactors influence the probabilities of the main factors. These main factors reflect adverse outcomes, which are essential in risk assessment. A Bayesian network can model the entire set of subfactors and their intercon...

The research determines the level of financial risk in the Russian healthcare system and identifies prospects for improving the current Russian practice of financial risk management in healthcare when providing high-tech medical care for sustainable...