Risks, Volume 13, Issue 2

We devise two algorithms for approximating solutions of PSDisation, a problem in actuarial science and finance, to find the nearest valid correlation matrix that is positive semidefinite (PSD). The first method converts the PSDisation problem with a...

Our aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility curve as a function of the strike price for correlated stochastic volatility models. We also obtain an expression for the short-te...

This paper applies an empirical model of corporate capital structure, optimal debt, and overleveraging to estimate overleveraging measured as the difference between actual and optimal debt. Estimated using a sample of the twenty largest pharmaceutica...

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock–Dechert–Scheinkman (BDS) test, which is commonly used f...

This research determines the contribution of Corporate Social Responsibility (CSR) to reducing financial risks and, consequently, to the sustainable development of companies in different sectors of the economy and at different phases of the economic...

This paper introduces an innovative sell-type home reversion product aimed at monetizing Singapore’s public flats, serving as a new alternative to the existing Singapore Lease Buyback Scheme (LBS). This new product not only retains the LBS&rsqu...

We challenge the widely accepted premise that the valuation of an early-stage firm is simply the capital invested (USD) divided by the equity received (%). Instead, we argue that this calculation determines the break-even point for the investor; for...

Investigating how systemic risk originates and spreads across the financial system poses an inherently compositional question, i.e., a question concerning the joint distribution of relative risk share across several interdependent contributors. To ad...

This study addresses the quantification of credit risk in solidarity economy entities, proposing a new methodology to redefine the concept of a “default” in the frequent situations of extreme class imbalances. The objective is to develop...

When inter-arrival times between events follow an exponential distribution, this implies a Poisson frequency of events, as both models assume events occur independently and at a constant average rate. However, these assumptions are often violated in...