Search Results (1,601)

To remain competitive in the decarbonization process of the economy worldwide, energy companies must preserve their market value to attract new investors and remain resilient throughout the transition to net zero. This article examines the market value of US energy companies during the period 2012–2024 in relation to their power generation mix. Panel regression analyses reveal that Tobin’s q and price-to-book ratios increase significantly for solar and wind power, while they experience moderate increases for natural gas power. In contrast, Tobin’s q and price-to-book ratios decline for nuclear and coal power. Furthermore, accounting-based profitability, measured by the return on assets (ROA), does not show significant variation with any type of power generation. The findings suggest that market investors prefer solar, wind, and natural gas power generation, thereby attributing greater value (that is, demanding lower risk compensation) to green companies compared to traditional ones. These insights provide guidance to executives, investors, and policy makers on how the power generation mix can influence strategic decisions in the energy sector. Full article

In this study, we investigate the return propagation mechanism, hedging effectiveness, and portfolio performance across several common agricultural commodities, crude oil, and S&P 500 index, ranging from July 2000 to June 2024 by using a time-varying parameter vector autoregression (TVP-VAR) connectedness approach and three common multiple assets portfolio optimization strategies. The empirical results show that, the total connectedness peaked during the 2008 global financial crisis, followed by the European debt crisis and the COVID-19 pandemic, while it remained relatively lower at the onset of the Russia-Ukraine conflict. In the transmission mechanism, commodities and S&P 500 index exhibit distinct and dynamic characteristics as transmitters or receivers. Portfolio analysis reveals that, with exception of the COVID-19 pandemic, all three dynamic portfolios outperform the S&P 500 benchmark across major global crises. Additionally, the minimum correlation and minimum connectedness strategies are superior than transitional minimum variance method in most scenarios. Our findings have implications for policymakers in preventing systemic risk, for investors in managing portfolio risk, and for farmers and agribusiness enterprises in enhancing economic benefits. Full article

This paper develops an analytical pricing formula for vulnerable options with stochastic volatility under a two-factor stochastic interest rate model. We consider the underlying asset price following the Heston stochastic volatility model, while the interest rate is modeled as the sum of two processes. Using the joint characteristic function approach and measure change techniques, we derive an explicit pricing formula for a vulnerable European option. We also conduct numerical experiments to examine the effects of various model parameters on option values. This study provides a more realistic framework for pricing OTC derivatives by incorporating credit risk, stochastic volatility, and stochastic interest rates simultaneously. Full article

This study proposes a novel Deep Reinforcement Learning (DRL) policy network structure for portfolio management called PortRSMs. PortRSMs employs stacked State-Space Models (SSMs) for the modeling of multi-scale continuous regime shifts in financial time series, striking a balance between exploring consistent distribution properties over short periods and maintaining sensitivity to sudden shocks in price sequences. PortRSMs also performs cross-asset regime fusion through hypergraph attention mechanisms, providing a more comprehensive state space for describing changes in asset correlations and co-integration. Experiments conducted on two different trading frequencies in the stock markets of the United States and Hong Kong show the superiority of PortRSMs compared to other approaches in terms of profitability, risk–return balancing, robustness, and the ability to handle sudden market shocks. Specifically, PortRSMs achieves up to a 0.03 improvement in the annual Sharpe ratio in the U.S. market, and up to a 0.12 improvement for the Hong Kong market compared to baseline methods. Full article

We investigate whether a belief in trend continuation, often associated with the so-called “hot-hand effect,” can be endogenously triggered by personal performance feedback in a controlled financial experiment. Participants allocated funds across assets with randomly generated prices, under conditions of known probabilities and varying levels of risk. In a two-stage setup, participants were first exposed to random price sequences to learn the task and potentially develop perceptions of personal success. They then faced additional price paths under incentivized conditions. Our findings show that participants initially increased purchases following gains—consistent with a feedback-driven belief in momentum—but this pattern faded over time. When facing sustained losses, loss aversion dominated decision-making, overriding early optimism. These results highlight how cognitive heuristics and emotional biases interact dynamically, suggesting that belief in trend continuation is context-sensitive and constrained by the reluctance to realize losses. Full article

Climate change poses an escalating threat to cultural heritage (CH), driven by intensifying climate-related hazards and systemic vulnerabilities. In response, risk assessment frameworks and methodologies (RAFMs) have emerged to evaluate and guide adaptation strategies for safeguarding heritage assets. This study conducts a state-of-the-art (SotA) review of 86 unique RAFMs using a Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA)-guided systematic approach to assess their scope, methodological rigor, alignment with global climate and disaster risk reduction (DRR) frameworks, and consistency in conceptual definitions of hazard, exposure, and vulnerability. Results reveal a growing integration of Intergovernmental Panel on Climate Change (IPCC)-based climate projections and alignment with international policy instruments such as the Sendai Framework and United Nations Sustainable Development Goals (UN SDGs). However, notable gaps persist, including definitional inconsistencies, particularly in the misapplication of vulnerability concepts; fragmented and case-specific methodologies that challenge comparability; and limited integration of intangible heritage. Best practices include participatory stakeholder engagement, scenario-based modeling, and incorporation of multi-scale risk typologies. This review advocates for more standardized, interdisciplinary, and policy-aligned frameworks that enable scalable, culturally sensitive, and action-oriented risk assessments, ultimately strengthening the resilience of cultural heritage in a changing climate. Full article

Climate change represents one of the main challenges of this century. The hazards generated by this process are various and involve territorial assets all over the globe. Hydrogeological risk represents one of these aspects, and the violence of rain precipitations has led experts to focus their interest on the study of geotechnical assets in relation to these dangerous weather events. At the same time, geospatial representation in 3D WebGIS based on open-source solutions led specialists to employ this kind of technology to remotely analyze and monitor territorial events considering different sources of information. This study considers the construction of a 3D WebGIS framework for the real-time management of geospatial information developed with open-source technologies applied to the dynamic mapping of precipitation in the metropolitan area of Palermo (Italy) based on real-time weather station acquisitions. The structure considered is a WebGIS platform developed with Cesium.js JavaScript libraries, the Postgres database, Geoserver and Mapserver geospatial servers, and the Anaconda Python platform for activating real-time data connections using Python scripts. This framework represents a basic geospatial digital twin structure useful to municipalities, civil protection services, and firefighters for land management and for activating any preventive operations to ensure territorial safety. Furthermore, the open-source nature of the platform favors the free diffusion of this solution, avoiding expensive applications based on property software. The components of the framework are available and shared using GitHub. Full article

This study provides a comprehensive synthesis of climate risk and financial stability literature through a systematic review and bibliometric analysis of 174 Scopus-indexed publications from 1988 to 2024. Publications increased by 500% from 1988 to 2019, indicating growing research interest following the 2015 Paris Agreement. It explores how physical and transition climate risks affect financial markets, asset pricing, financial regulation, and long-term sustainability. Common themes include macroprudential policy, climate disclosures, and environmental risk integration in financial management. Influential authors and key journals are identified, with keyword analysis showing strong links between “climate change”, “financial stability”, and “climate risk”. Various methodologies are used, including econometric modeling, panel data analysis, and policy review. The main finding indicates a shift toward integrated, risk-based financial frameworks and rising concern over systemic climate threats. Policy implications include the need for harmonized disclosures, ESG integration, and strengthened adaptation finance mechanisms. Full article

This study evaluates the risk-adjusted performance of Hospitality REITs using multi-factor asset pricing models and downside risk measures with the aim of assessing their diversification potential and crisis sensitivity. Unlike prior studies that examine REITs in aggregate, this study isolates Hospitality REITs to explore their unique cyclical and macroeconomic sensitivities. This study looks at the risk-adjusted performance of Hospitality Real Estate Investment Trusts (REITs) in relation to more general REIT indexes and the S&P 500 Index. The study reveals that monthly returns of Hospitality REITs increasingly move in tandem with the stock markets during financial crises, which reduces their historical function as portfolio diversifiers. Investing in Hospitality REITs exposes one to the hospitality sector; however, these investments carry notable risks and provide little protection, particularly during economic upheavals. Furthermore, the study reveals that Hospitality REITs underperform on a risk-adjusted basis relative to benchmark indexes. The monthly returns of REITs show significant volatility during the post-COVID-19 era, which causes return-to-risk ratios to be below those of benchmark indexes. Estimates from multi-factor models indicate negative alpha values across conditional models, indicating that macroeconomic variables cause unremunerated risks. This industry shows great sensitivity to market beta and size and value determinants. Hospitality REITs’ susceptibility comes from their showing the most possibility for exceptional losses across asset classes under Value at Risk (VaR) and Conditional Value at Risk (CvaR) downside risk assessments. The findings have implications for investors and portfolio managers, suggesting that Hospitality REITs may not offer consistent diversification benefits during downturns but can serve a tactical role in procyclical investment strategies. Full article

The movement towards low-emission and sustainable building practices has driven increased use of natural, carbon-based materials such as wood. While these materials offer significant environmental advantages, their inherent flammability introduces new challenges for timber building safety. Despite advancements in fire protection standards and building regulations, the risk of fire incidents—whether from technical failure, human error, or intentional acts—remains. The rapid detection of fire onset is crucial for safeguarding human life, animal welfare, and valuable assets. This study investigates the potential of monitoring fire precursor gases emitted inside building structures during pre-ignition and early combustion stages. The research also examines the sensitivity and effectiveness of commercial smoke detectors compared with custom sensor arrays in detecting these emissions. A representative structural sample was constructed and subjected to a controlled fire scenario in a laboratory setting, providing insights into the integration of gas sensing technologies for enhanced fire resilience in sustainable building systems. Full article

Corrosion in maritime ballast tanks is a major driver of maintenance costs and operational risks for maritime assets. Inspections are hampered by complex geometries, hazardous conditions, and the limitations of conventional methods, particularly visual assessment, which struggles with subjectivity, accessibility, and early detection, especially under coatings. This paper critically examines these challenges and explores the potential of Light Detection and Ranging (LiDAR) and Hyperspectral Imaging (HSI) to form the basis of improved inspection approaches. We discuss LiDAR’s utility for accurate 3D mapping and providing a spatial framework and HSI’s potential for objective material identification and surface characterization based on spectral signatures along a wavelength range of 400-1000nm (visible and near infrared). Preliminary findings from laboratory tests are presented, demonstrating the basic feasibility of HSI for differentiating surface conditions (corrosion, coatings, bare metal) and relative coating thickness, alongside LiDAR’s capability for detailed geometric capture. Although these results do not represent a deployable system, they highlight how LiDAR and HSI could address key limitations of current practices and suggest promising directions for future research into integrated sensor-based corrosion assessment strategies. Full article

Accurate prediction of landslide-induced displacement is essential for the structural integrity and operational safety of buildings and infrastructure situated in geologically unstable regions. This study introduces a novel hybrid predictive framework that synergistically integrates Gaussian Process Regression (GPR) with Temporal Convolutional Neural Networks (TCNs), herein referred to as the GTCN model, to forecast displacement at building monitoring points subject to landslide activity. The proposed methodology is validated using time-series monitoring data collected from the slope adjacent to the Zhongliang Reservoir in Wuxi County, Chongqing, an area where slope instability poses a significant threat to nearby structural assets. Experimental results demonstrate the GTCN model’s superior predictive performance, particularly under challenging conditions of incomplete or sparsely sampled data. The model proves highly effective in accurately characterizing both abrupt fluctuations within the displacement time series and capturing long-term deformation trends. Furthermore, the GTCN framework outperforms comparative hybrid models based on Gated Recurrent Units (GRUs) and GPR, with its advantage being especially pronounced in data-limited scenarios. It also exhibits enhanced capability for temporal feature extraction relative to conventional imputation-based forecasting strategies like forward-filling. By effectively modeling both nonlinear trends and uncertainty within displacement sequences, the GTCN framework offers a robust and scalable solution for landslide-related risk assessment and early warning applications. Its applicability to building safety monitoring underscores its potential contribution to geotechnical hazard mitigation and resilient infrastructure management. Full article

Transformers are critical assets for power system reliability, as they connect different voltage levels across generation, transmission, and distribution. Their failure can lead to significant impacts on multiple aspects. Given the aging transformer fleet, supply chain challenges, and constrained investment capacity, the adoption of risk-based strategies is essential to support long-term maintenance planning and investment. This paper proposes a multicriteria framework to assess the probability and impact of transformer failure, enabling a more comprehensive and data-driven risk evaluation. The method was applied to a sample fleet, enabling the identification and prioritization of the most critical units through a risk plot. The framework enhances asset management by identifying critical units within a transformer fleet, promoting efficiency, reliability, and long-term planning based on objective risk indicators. Full article

In this paper, we aim to provide a new algorithm for managing financial risk in portfolios containing multiple high-volatility assets. We assess the variability of volatility with the Volterra model, and we construct an estimator of the Value-at-Risk (VaR) function using quantile regression. Because of its long-memory property, the Volterra model is particularly useful in this domain of financial time series data analysis. It constitutes a good alternative to the standard approach of Black–Scholes models. From the weighted asymmetric loss function, we construct a new estimator of the VaR function usable in Multi-Functional Volterra Time Series Model (MFVTSM). The constructed estimator highlights the multi-functional nature of the Volterra–Gaussian process. Mathematically, we derive the asymptotic consistency of the estimator through the precision of the leading term of its convergence rate. Through an empirical experiment, we examine the applicability of the proposed algorithm. We further demonstrate the effectiveness of the estimator through an application to real financial data. Full article

Credit-linked notes (CLNs) are vital for transferring and diversifying credit risks in asset securitization, yet their application in China remains limited despite policy support. This paper optimizes China’s CLN pricing mechanism by developing the structured model incorporating the dynamic default boundary and the probability of government implicit guarantees. The model transforms the pricing problem into a semi-unbounded problem via partial differential methods, yielding an explicit pricing solution through Poisson’s formula. Empirical analysis reveals that government implicit guarantees are observed in systemically important institutions in the domestic CLN market and significantly reduce credit risk premiums, with Monte Carlo simulations indicating an approximately positive linear correlation between guarantee probability and CLN prices. Our results demonstrate the dual impact of implicit guarantees—lowering risk premiums while potentially hindering market discipline. This research advances China’s credit derivative pricing theory, offering institutions a pricing tool and further providing policy and practical suggestions for regulatory authorities. Full article