January 2024 - 16 articles
Carbon risk, a type of climate risk, is expected to have a crucial impact, especially on high-carbon-emitting, “polluting” firms as opposed to less carbon-intensive, “clean” ones. With a rising number of actions and policies b...
It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is esp...
Possibility and probability are the two aspects of uncertainty, where uncertainty represents the ignorance of a given individual. The notion of alternative (or event) belongs to the domain of possibility. An event is intrinsically subdivisible and a...
Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level...
In this study, we proposed two types of hybrid models based on the heterogeneous autoregressive (HAR) model and support vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is firs...
This study examines the moderating function of corporate governance (CG) to the relationship between leverage and firm value (FV) using Korean market data. The study employs ordinary least-squares panel data regressions and two methods to manage endo...
In non-life insurance practice, actuaries are often faced with the challenge of predicting the number of claims and claim amounts to be incurred at any given time, which serve to implement fair pricing and reserves given the nature of the risk. This...
Socially responsible investments, also referred to as ethical or sustainable investments, have experienced rapid global growth in recent years. They represent an investment approach that incorporates social, environmental, and ethical considerations...
This article combines the traditional definition of portfolio risk with minimum-spanning-tree-based “interconnectedness risk” to improve equal risk contribution portfolio performance. We use betweenness centrality to measure an asset&rsqu...
Variable annuities (VAs) and other long-term equity-linked insurance products are typically difficult to hedge in the incomplete markets. A state-dependent fee tied with market volatility for VAs is designed to contribute the risk-sharing mechanism b...
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