Risks, Volume 10, Issue 8

Government bonds are one of the safest and most attractive instruments in the investment portfolio for private investors and investment funds. Although bonds are perceived as an alternative to bank deposits, a number of macroeconomic factors influenc...

This paper describes the development of situational awareness models and applications to assess cybersecurity risks based on Annex ISO 27001:2013. The risk assessment method used is the direct testing method, namely audit, exercise and penetration te...

Due to the increasing interest in several markets in life annuity products with a guaranteed periodic benefit, the back-side effects of some features that may prove to be critical either for the provider or the customer should be better understood. I...

The COVID-19 crisis is unique in that it is caused by a pandemic and has created a special context for entrepreneurship in 2020. The motivation for this study is, firstly, to concretise and accurately quantify the impacts of the pandemic on entrepren...

The increasing rate at which IoT technologies are being developed has enabled smarter and innovative solutions in the sectors of health, energy, transportation, etc. Unfortunately, some inherent characteristics of these technologies are compromised t...

We construct a new age-specific mortality framework and implement an exemplar (DLGC) that provides an excellent fit to data from various countries and across long time periods while also providing accurate mortality forecasts by projecting parameters...

The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price app...

Our research focuses on investment initiatives. The perceived risks are analysed from the consumer’s viewpoint, i.e., the client’s perspective, from the standpoint of the project. In the literature, there are several risk interpretations...

This study investigates the application of orthogonal generalized auto-regressive conditional heteroscedasticity (OGARCH) in predicting the co-movement of banking sector stocks in Indonesia. All state-owned banking sector stocks in Indonesia were stu...

Debt finance, when considered a source of finance, always leads to financial risk; however, it is also considered a source of increased profitability in the normal business scenario. It has always been challenging to find the correct debt equity comb...

Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability...

Life insurers, whose contractual liabilities include providing minimum guaranteed interest rates to policyholders, are significantly affected by persistently low interest rates. Hence, this study reviews the literature on the prolonged low interest r...

Classification models are very sensitive to data uncertainty, and finding robust classifiers that are less sensitive to data uncertainty has raised great interest in the machine learning literature. This paper aims to construct robust support vector ...

We discuss several known formulas that use the Macaulay duration and convexity of commonly used cash flow streams to approximate their net present value, and compare them with a new approximation formula that involves hyperbolic functions. Our object...

How to consider the a priori risks in experience-rating models has been questioned in the actuarial community for a long time. Classic past-claim-rating models, such as the Buhlmann–Straub credibility model, normalize the past experience of eac...

The revolution in neural networks is a significant technological shift. It has an impact on not only all aspects of production and life, but also economic research. Neural networks have not only been a significant tool for economic study in recent ye...

This research aims to develop a determinant variable of the Sukuk rating derived from agency and asymmetry theories. This research is essential because Sukuk or Islamic Bonds is needed in Indonesia, with 85% of its population out of 320 million peopl...

The problem of determining the cost of equity is crucial to the development of organizations. It is an essential means of calculating value creation. The financial literature has proposed several models for estimating the cost of equity, such as the...

In this study, we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY-driven Ornstein–Uhlenbeck process. To this end, we first calculate the characteristic function of the transition...

The prediction of future mortality improvements is of substantial importance for areas such as population projection, government welfare policies, pension planning and annuity pricing. The Lee-Carter model is one of the widely applied mortality model...

Crediting represents one of the biggest risks faced by the banking sector, and especially by commercial banks. In the literature, there have been a number of studies concerning credit risk management, often involving credit scoring systems making use...

Early investors possess unique sets of decision-making characteristics. They are more open to experience and eager to face risks. However, to the best of the authors’ knowledge, the discussions of nascent investors upon making the investment de...

We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula familie...

This article presents a systematic review of the theoretical and empirical literature on option grants and managerial risk taking. One of the objectives is the motivation of further research on the topic. Risk-averse managers hold less diversified po...

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its...