Risks, Volume 13, Issue 6

This paper demonstrates that perfectly calibrating a multi-asset model to observed market prices of all basket call options is insufficient to uniquely determine the price of a best-of call option. Previous research on multi-asset option pricing has...

Accurate corporate credit ratings are essential for financial risk assessment; yet, traditional methodologies relying on manual evaluation and basic statistical models often fall short in dynamic economic conditions. This study investigated the poten...

Several empirical studies have attempted to clarify whether differences in regulations affect people’s behavior. However, due to a lack of data, few have attempted to clarify whether these differences affect the purchase of insurance. Therefore...

The relationship between ESG and firm performance is complex and tends to yield mixed results globally. In South Africa, ESG implementation is still in its infancy stage due to economic and developmental challenges. Despite these challenges, the JSE...

There has been growing interest among investors to include cryptocurrencies in their portfolios because of their diversification potential. However, the diversification role of cryptocurrencies when added to South African bank equities is yet to be d...

In this paper, we study perpetual American put options with a generalized standard put payoff and establish sufficient conditions for the existence and uniqueness of the solution to the associated pricing problem. As a key tool, we express the Black&...

This paper examines the impacts of observed versus uncertain (stochastic) institutional quality of corporate debt financing. This paper compares the impacts of two distinct levels of institutional quality in developed and developing economies. World...

This paper examines the extent of stock-returns’ co-movements among firms in different countries and explores how various measures of closeness affect those co-movements by estimating a spatial autoregressive (SAR) convex combination model that...

In recent years, scholars have been paying more attention to financial inclusion, which has been positioned as a crucial component in accomplishing the majority of the seventeen Sustainable Development Goals set forward by the United Nations. Investi...

The emergence of InsurTech has significantly transformed the traditional insurance industry, leading to the development of a new ecosystem characterized by digital intermediation, strategic partnerships, and increasing interdependence among actors. T...

A robust model for natural gas prices should simultaneously capture the observed prices of both futures and options. While incorporating a seasonal factor in the convenience yield of the spot price effectively replicates forward curves, it proves ins...

This study investigates the impact of financial technology (Fintech) on bank stability in the Middle East and North Africa (MENA). Utilizing panel data from 94 banks in 10 countries over a 13-year period from 2011 to 2023, this research employs panel...

In a digitalized business, blockchain technology, fintech, AI, and IT governance are crucial for reducing risks and aligning with organizational goals. IT governance ensures smooth and efficient adoption of fintech solutions and AI. Blockchain introd...

This study analyzed the evolution of the poverty rate between 2004 and 2023 in 29 European countries, using two categories of variables: institutional variables (Corruption Control Index and Rule of Law Index) and economic variables (unemployment rat...

This study evaluates the utility derived by policyholders in a Danish pension company, from their life insurance coverages. We quantify the relative importance policyholders assign to their existing coverages versus a hypothetical complete coverage s...

This study examines the relevance of the Fraud Pentagon Theory in detecting fraudulent financial reporting among companies listed on the Bucharest Stock Exchange. While financial reporting is essential for informed stakeholder decisions, requiring in...

In natural resource-dependent economies, global resource price volatility makes financial systems more vulnerable to economic shocks. The relationship between natural resource rent and bank stability lies in how fluctuations in resource revenues can...

The estimation of age-to-age development factors is fundamental to loss reserving, with direct implications for risk management and regulatory compliance in the auto insurance sector. The precise and robust estimation of these factors underpins the c...