Special Issue "Systemic Risk in Finance and Insurance"
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (31 December 2019) | Viewed by 16658
Interests: optimal investment and pricing in incomplete markets; equilibrium pricing of non-tradable risks; optimal portfolio selection with regulatory constraints; time consistent portfolio management; prospect theory
Financial regulations usually deal with limiting the risk of institutions, focusing mostly on idiosyncratic components while underestimating the systemic risk, which, in turn, may lead to financial crises. During a financial crisis, there are societal costs due to bailouts of failing banks, and economies tend to undercapitalize leading to financial contagion through banking-correlated networks. Thus, it appears only natural to come up with realistic measures for systemic risk to reduce the costs of financial crises or to prevent them in the first place. One such a measure of systemic risk is the systemic expected shortfall (SES) proposed by Acharya, Pedersen, Philippon, and Richardson (2017). SES is the expected amount by which a bank is undercapitalized in a global financial crisis scenario. Scenario risk measurements, developed by Larsen, Pirvu, Shreve, and Tutuncu (2005), may be also employed in quantifying systemic risk. The risk return optimization, which banks and insurance companies undertake, may be then considered within a paradigm that sets limits to their SES or other systemic risk measures.
Prof. Dr. Traian A Pirvu
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- Measures of systemic risk
- Systemic expected shortfall
- Market scenarios analysis of financial crisis
- Risk return optimization via systemic risk