Risks, Volume 13, Issue 7

This paper enhances the calibration procedure for pricing spread options with liquidity risk. The novelty is the use of Chebyshev interpolation to fit the prices.Numerical experiments reveal that the calibrated parameters are close to the ones obtain...

As requested by the Editorial Office, the authors have removed Eliana Angelini from the author list due to insufficient contribution to the published paper (Di Febo 2025) [...]

As investment portfolios become increasingly diversified and financial asset risks grow more complex, accurately forecasting the risk of multiple asset classes through mathematical modeling and identifying their heterogeneity has emerged as a critica...

The simulation of wind power, electricity load, and natural gas prices will allow commodity traders to see the future movement of prices in a more probabilistic manner. The ability to observe possible paths for wind power, electricity load, and natur...

Over the past decade, multifactor models have shown enhanced capability compared to single-factor models in explaining asset return variability. Given the common assertion that higher risk tends to yield higher returns, this study empirically examine...

This study explores the presence of hidden market regimes in a sector-specific stock index within the Thai equity market. The behavior of such indices often deviates from broader macroeconomic trends, making it difficult for conventional models to de...

This study examines the degree of alignment between the actual environmental performance and the ESG disclosures of 365 listed financial institutions in Europe for the fiscal year 2024. Although ESG reporting has become a standard practice in the fin...

Healthcare cost acceleration and resource allocation issues have worsened across European health systems, where a small group of patients drives excessive healthcare spending. The prediction of high-cost utilization patterns is important for the sust...

This paper is concerned with the choice of data granularity for the application of the Mack chain ladder model to forecast a loss reserve. It is a sequel to a related paper by Taylor, which considers the same question for the EDF chain ladder model....

The growth of Artificial Intelligence applications requires the development of risk management models that can balance opportunities with risks. This paper contributes to the development of Artificial Intelligence risk management models by means of a...