Risks, Volume 11, Issue 7

This study constructs an agent-based model suitable for analyzing the propagation of economic shocks based on a macroeconomic agent-based model structure that covers major economic entities. Instead of setting an upstream and downstream structure of...

The motivation for this research was to strive towards specifying the risks for businesses under the conditions of the COVID-19 pandemic and crisis in the IT sector in Russia. This paper is aimed at performing a dataset analysis of the risks for Russ...

This paper studies two new models for a telegraph process: Cox-based and elliptical telegraph processes. The paper deals with the stochastic motion of a particle on a straight line and on an ellipse with random positive velocity and two opposite dire...

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature. However, losses based on VaR may be underestimated and TVaR allows us to account better for catas...

Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced...

This paper shows how to improve the measurement of credit scoring by means of factor clustering. The improved measurement applies, in particular, to small and medium enterprises (SMEs) involved in P2P lending. The approach explores the concept of fam...

Since the debut of cryptocurrencies, particularly Bitcoin, in 2009, cryptocurrency trading has grown in popularity among investors. Relative to other conventional asset classes, cryptocurrencies exhibit high volatility and, consequently, downside ris...

We enhance the precision of predicting daily stock market price volatility using the maximum overlapping discrete wavelet transform (MODWT) spectral model and two learning approaches: the heuristic gradient descent (FS.HGD) and hybrid neural fuzzy in...

Data are produced every single instant in the modern era of technological breakthroughs we live in today and is correctly termed as the lifeblood of today’s world; whether it is Google or Meta, everyone depends on data to survive. But, with the...

This paper explores risk management strategies for investments in Nonfungible Token (NFT) coins through their diversification within the S&P 500 industry sectors. Given the significant decline in NFT coin values in 2022, understanding these strat...