Risks, Volume 13, Issue 3

This paper provides a model to interpret the relative behavior of expected returns of high- and low-resilience assets from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup allows us to...

This study examines the market reaction to the approval of the Nature Restoration Law, a key component of the EU Biodiversity Strategy, and its implications for biodiversity-related financial risks. Using an event study methodology, we analyze the eq...

This paper studies the volatility of electricity spot prices in the Nordic market (Sweden, Finland, Denmark, and Norway) under regime switching. Utilizing Markov-switching GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models, we p...

The cryptocurrency market, known for its inherent volatility, has been significantly influenced by external shocks, particularly during periods of global crises such as the COVID-19 pandemic and the Russia–Ukraine war. This study investigates t...

This study endeavors to explore the shock-transmission mechanism between Trade Policy Uncertainty (TPU) and the volatility inherent in the Gulf Cooperation Council (GCC) Islamic stock markets by employing the novel Quantile Vector Auto Regression (QV...

Forward-looking metrics of uncertainty based on options-implied information should be highly predictive of equity market returns in accordance with asset pricing theory. Empirically, however, the ability of the VIX, for example, to predict returns is...

Inflation rate is considered undesirable in the modern globalized world due to its adverse and long-lasting impacts. The Kingdom of Saudi Arabia (KSA, hereafter) has also experienced inflationary pressure during the last few years, specifically post-...

Deviation of an asset price from its fundamental value, commonly referred to as a price bubble, is a well-known phenomenon in financial markets. Mathematically, a bubble arises when the deflated price process transitions from a martingale to a strict...

This paper presents an integrated risk management methodology for measuring and managing the economics, risks, and financial resources/constraints related to deposits and loans in a commercial bank. Within a comprehensive and integrated framework, we...

The study aims to examine the enterprise risk management (ERM) practices of Ethiopian commercial banks. This approach is undertaken to examine the current approach to enterprise risk management within the Ethiopian banking context. A mixed-methods re...

This study investigates the relationship between news delivered via the QUICK terminal and stock market behavior. Specifically, through an evaluation of the performance of investment strategies that utilize news index created based on its scores indi...

This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a metric for global future risks, as we show statistically through the association with crises of different nature, for stock returns of 1...

We examine financial reporting and firm operations, focusing specifically on the roles of ‘enterprise risk management’ (ERM), within which a holistic approach is taken to the conceptualization and management of all types of risk. We measu...

This article examines the relationship between implementing sustainable development measures and financial risk in the context of global companies and the recycling economy. This study uses statistics from Forbes, TIME, and Statista on 50 global comp...

This study examines the integrated impacts of cyberattacks, geopolitical, and financial market volatility on rare earth markets during the 2014–2024 period, using Time-Varying Parameter Vector Autoregression and wavelet analysis. By bridging cr...

This paper investigates how board gender diversity (BGD) impacts information asymmetry (IA) and investment efficiency (IE), in addition to the moderating role of board gender diversity on the nexus between information asymmetry and investment efficie...

In an era of rapid economic transformation, evolving regulatory landscapes, and technological advancements, the need for robust financial analytics, effective corporate financial strategies, and risk management frameworks has never been more critical...

Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing...

In this study, we focus on managerial incentives provided by debt-like compensation and further investigate whether and to what extent such managerial incentives may affect CEOs’ decisions on risk management. Building on cumulative prospect the...

Our investigation examined the impact of ESG (Environmental, Social, and Governance) activities on corporate financial distress. This research utilised data from companies listed in the FTSE All-Share index from 2014 to 2022 from the Refinitiv EIKON...

We develop a deep reinforcement learning (RL) framework for an optimal market-making (MM) trading problem, specifically focusing on price processes with semi-Markov and Hawkes Jump-Diffusion dynamics. We begin by discussing the basics of RL and the d...

Advancements in technology and emerging digital trends are driving the expectations of bank clients. With the development of new, innovative technologies, the banking sector has started creating new products and services and looking for new channels...