2025 December - 26 articles
This paper develops a robust portfolio optimization framework that integrates Weighted Shannon Entropy (WSE) into the classical mean–variance paradigm, offering a distribution-free approach to diversification suited for volatile and heavy-taile...
The One-X property, introduced by Zetocha in a 2023 paper, provides a novel stochastic order with direct implications for constructing arbitrage-free implied volatility surfaces. The current work revisits its theoretical foundations and explores its...
We show that financial integration in emerging Asia is state-dependent in the sense that cross-market linkages vary systematically across regimes of global uncertainty and market stress. Focusing on Indonesia, Malaysia, Singapore, Thailand, and Vietn...
The transition toward renewable energy systems offers significant opportunities to reduce greenhouse gas (GHG) emissions, while also introducing new challenges in risk management and policy design. This study examines the long-term effects of renewab...
The widespread adoption of cryptocurrencies has transformed the financial landscape by enabling swift, decentralised transactions. However, the pseudonymous nature of digital currencies has also fuelled illicit activities, such as money laundering. C...
Environmental, social, and governance (ESG) disclosure has gained global prominence, yet its implementation in emerging markets particularly in environmentally intensive sectors remains fragmented. In Indonesia’s energy industry, ESG transparen...
We show that epistemic uncertainty–our iterated ignorance about our own ignorance–inevitably thickens statistical tails, even under perceived thin-tailed environments from past realizations. Any claim of precise risk carries a margin of e...
This study employs a quantile-on-quantile connectedness approach to analyze the asymmetric, distribution-dependent, and time-varying spillovers between FinTech indices and traditional financial markets. The results show that spillovers are concentrat...
This study examines how sovereign risk shapes the financial performance of sustainable investments, using the MSCI Emerging Markets ESG Index as a reference. The analysis covers 24 emerging and frontier economies from Latin America, Asia, the Middle...
This paper analyzes how the agricultural insurance market is adapting to climate change, particularly as extreme weather events become more frequent and severe. We focus on the optimal decision faced by a risk-averse farmer who wants to insure their...
Institutional investors exert significant influence on the operations and development of financial institutions, with different categories of investors playing distinct roles. We contend that institutional investor diversity may affect systemic finan...
This study examines the impact of Environmental, Social, and Governance (ESG) disclosures on the firm valuation of non-financial firms listed in South Africa, using Tobin’s Q as a firm value proxy. Using a panel data approach of 642 firm-year o...
Background: Despite the apparent importance of global catastrophe risks (GCRs), human society has invested relatively little to reduce them. One possible reason is that we do not understand the significance of reducing GCRs, especially when measured...
This study examines the use of artificial neural networks (ANNs) to classify financial risks in micro-, small-, and medium-sized enterprises (MSMEs) in Montenegro and the wider Western Balkan region. The economies in this region share structural simi...
European Union legislation, particularly Council Directive 2004/113/EC, mandates gender neutrality in credit scoring to prevent discrimination. However, this creates a regulatory paradox if gender is a statistically relevant predictor of default risk...
The rapid growth of the consumer credit card market has introduced substantial regulatory and risk management challenges. To address these challenges, financial institutions increasingly adopt advanced machine learning models to improve default predi...
Understanding how ESG performance and corporate governance practices influence financial policies has become increasingly critical for investors, regulators, and other stakeholders. This study specifically examines the simultaneous independent effect...
This study investigates the relationship between emission performance, environmental disclosure, and firm value in Southeast Asia, where climate-related risks are increasingly shaping corporate strategies and investor decisions. Using a sample of 206...
Integrating Environmental, Social, and Governance (ESG) metrics into supply chain finance is critical for promoting sustainable development. However, the dynamic mechanisms through which real-time ESG performance influences credit allocation and, con...
Reducing stock price crash risk is vital for capital market stability, particularly in emerging economies such as China. This study investigates whether Employee Stock Ownership Plans (ESOPs) can mitigate crash risk by analyzing panel data from A-sha...
This study examines the portfolio optimization problem of an insurance company that issues an annuity, receives the associated premiums as a lump sum, and invests in a financial market. The insurer’s objective is to determine an investment stra...
This study investigates the impact of environmental, social, and governance (ESG) performance on the link between financial reporting quality (FRQ) and corporate risk-taking (CRT). Building upon agency and stakeholder theories, we contend that ESG pr...
Statistical models are crucial in analyzing insurance loss and claims data, offering insights into various risk elements. The prevailing statistical notion that “all models are wrong, but some are useful” can wield significant influence,...
This paper analyzes solvency dynamics in Ecuador’s mutualist segment by modeling the joint behavior of the productive-assets-to-total-assets ratio (PATR) and portfolio-specific delinquency rates. Using monthly supervisory data from the Superint...
Purpose of the article: The study aims to explore how demographic characteristics—including gender, age, education, employment type, household composition, and place of residence—affect perceived financial security among Hungarian adults....
This paper investigates the return spillover dynamics among carry trade, stock, foreign exchange, and commodity markets to identify their roles as net transmitters or receivers of shocks under varying market conditions. Employing a Quantile Vector Au...
