2022 January - 22 articles
This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the s...
The purpose of this work is to investigate the influence of macroeconomics determinants on non-performing loans (NPLs) in the Italian banking system over the period 2008Q3–2020Q4. We mainly contribute to the literature by being the first empiri...
The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of selected...
Quantile regression provides a way to estimate a driver’s risk of a traffic accident by means of predicting the percentile of observed distance driven above the legal speed limits over a one year time interval, conditional on some given charact...
This study on explaining aggregated recovery rates (ARR) is based on the largest existing loss and recovery database for commercial loans provided by Global Credit Data, which includes defaults from 5 continents and over 120 countries. The dependence...
This paper focuses on the problem of the high financial risks of agricultural entrepreneurship, which hinder the sustainable development of agriculture and do not provide food security. This problem is especially topical in the conditions of the COVI...
After the financial crisis, the European Banking Authority (EBA) has established tighter standards around the definition of default (Capital Requirements Regulation CRR Article 178, EBA/GL/2017/16) to increase the degree of comparability and consiste...
The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange. An important aspect of the study was to employ accounting beta co...
This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we...
The motivation of this research consists in the following: the traditional commercial approach to financial risk management amid economic crises implies the reduction of corporate social responsibility, based on the assumption that this responsibilit...
The risk-based capital (RBC) ratio, an insurance company’s financial soundness system, evaluates the capital adequacy needed to withstand unexpected losses. Therefore, continuous institutional improvement has been made to monitor the financial...
The application of industry 4.0 in banking presents many challenges, with several operational risks related to downtime and timeout services due to system failures. One of the operational risk management steps is to estimate the value of the maximum...
This paper aims to research the topics related to risk included in non-financial disclosure (NFD) of companies listed on the Warsaw Stock Exchange (WSE) and explore factors that influence the risk topics ratio in NFD. We applied a content analysis us...
The purpose of this paper is an analysis of the presence of self-selection mechanisms on the market that could bring the market closer to the separating equilibrium state, in line with the Rothschild–Stiglitz equilibrium model and its subsequen...
(1) Background: The coronavirus pandemic has highlighted the problem of combining work and private life. The pandemic conditions have turned out to be particularly difficult for parents who, due to changes in the organization of the education system,...
Thailand recently reached “aged” society status, signifying that over twenty percent of the population is over sixty. Considering that Thailand has a low literacy rate, a fractured pension system, and no regulations that could provide suf...
The activity of each construction company in conditions of high competitiveness is exposed to a number of risks that make it difficult to maintain high financial liquidity. In order to provide the continuity of ongoing economic processes and to be ab...
The effective operation of national innovation systems can be a source of many opportunities, but it cannot be forgotten that innovation in itself may mean limiting but also generating various types of risks for the functioning of the local market. T...
This paper presents a methodology for making decisions in the stock market using the AHP-TOPSIS multi-criteria technique. The problem is related to the stock market’s investment process considering the criteria of liquidity, risk, and profitabi...
Two-part models are important to and used throughout insurance and actuarial science. Since insurance is required for registering a car, obtaining a mortgage, and participating in certain businesses, it is especially important that the models that pr...
This article proposes an interest rate model ruled by mean reverting Lévy processes with a sub-exponential memory of their sample path. This feature is achieved by considering an Ornstein–Uhlenbeck process in which the exponential decayi...
The breakdown of stock indices is an obvious part of the financial market cycle. A common question about a bear market is the time and the depth of the downtrend, as well as the speed of the following recovery. As the COVID-19 pandemic spread globall...
