Risks, Volume 10, Issue 12

The purpose of this paper was to investigate technologies, methods, and approaches that can be used to effectively manage smart city risks in the context of the COVID-19 pandemic. The paper was based on a review of specialized literature sources and...

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the...

Liquid money controlled by a trustworthy central bank can serve as an insurance against external surprises such as stock market crashes, bank fails and other setbacks that endanger the yield of illiquid savings. In turbulent times, the insurance prop...

The time series movements of Bitcoin prices are commonly characterized as highly nonlinear and volatile in nature across economic periods, when compared to the characteristics of traditional asset classes, such as equities and commodities. From a ris...

Efficient management of working capital is essential for firms to avoid overinvesting in short-term assets for maximum profitability while guaranteeing much-needed liquidity to run their operations. This study examines the impact of working capital m...

In this paper, we apply machine learning models to execute certain short-option strategies on the S&P500. In particular, we formulate and focus on a supervised classification task which decides if a plain short straddle on the S&P500 should b...

This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for the Ho Chi Minh Stock Exchange (HOSE). The data utilized in this study are the daily VN30-Index futures contract trading volume star...

This paper seeks to identify the most important global drivers of credit-to-GDP gaps for 35 countries. The analysis is performed on a country-by-country basis for the sub-periods 2000Q1:2007Q2, 2007Q3:2013Q4, and 2014Q1:2021Q1 and is based on two sta...

In this paper, we introduce a 3D finite dimensional Gaussian process (GP) regression approach for learning arbitrage-free swaption cubes. Based on the possibly noisy observations of swaption prices, the proposed ‘constrained’ GP regressio...

The main objective of this study is to highlight the internal risk factors associated with maritime transportation accidents and the important role of presenting them in the dataset at the time of the incident. Since the study period involves a pre-...