Risks最新文献 - Book学术

Funding Illiquidity Implied by S&P 500 Derivatives 标准普尔 500 指数衍生品隐含的资金流动性不足问题

IF 2.2

Risks Pub Date : 2024-09-18 DOI: 10.3390/risks12090149

Benjamin Golez, Jens Jackwerth, Anna Slavutskaya

引用次数: 0

Dynamics of Foreign Exchange Futures Trading Volumes in Thailand 泰国外汇期货交易量的动态变化

IF 2.2

Risks Pub Date : 2024-09-14 DOI: 10.3390/risks12090147

Woradee Jongadsayakul

{"title":"Dynamics of Foreign Exchange Futures Trading Volumes in Thailand","authors":"Woradee Jongadsayakul","doi":"10.3390/risks12090147","DOIUrl":"https://doi.org/10.3390/risks12090147","url":null,"abstract":"Following the introduction of EUR/USD futures and USD/JPY futures on 31 October 2022, Thailand Futures Exchange first entered the top 11 list of derivatives exchanges based on foreign exchange derivative volumes in 2022. This paper investigates the dynamics of foreign exchange futures trading volumes in Thailand through the VAR(2) model. Trading volumes of EUR/USD futures, USD/JPY futures, and USD/THB futures are considered over the sample period from 31 October 2022 to 12 January 2024. The empirical results provide no evidence that the trading volume of EUR/USD futures is dependent on the past trading volumes of USD/JPY futures and USD/THB futures. The Granger causality test results show the existence of bidirectional causality between the trading volumes of USD/JPY futures and USD/THB futures. The results of the impulse response function are consistent with the sign results of the VAR(2) model, showing that the USD/JPY futures trading volume has a negative impact on the USD/THB futures trading volume, and vice versa. The analysis of variance decomposition shows that the variability of the USD/JPY futures trading volume and USD/THB futures trading volume, apart from its own shock, is explained by other FX futures trading volume shocks. Therefore, traders should pay more attention to new FX futures trading activity due to its negative impact on the USD/THB futures trading volume and its contribution to the variance in the USD/THB futures trading volume. Understanding the futures trading volume relationship also helps Thailand Futures Exchange develop new products and services that can foster market liquidity and stability.","PeriodicalId":21282,"journal":{"name":"Risks","volume":null,"pages":null},"PeriodicalIF":2.2,"publicationDate":"2024-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142253961","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Automated Machine Learning and Asset Pricing 自动化机器学习和资产定价

IF 2.2

Risks Pub Date : 2024-09-14 DOI: 10.3390/risks12090148

Jerome V. Healy, Andros Gregoriou, Robert Hudson

引用次数: 0

What Drives Banks to Provide Green Loans? Corporate Governance and Ownership Structure Perspectives of Vietnamese Listed Banks 是什么促使银行提供绿色贷款？越南上市银行的公司治理和所有权结构视角

IF 2.2

Risks Pub Date : 2024-09-13 DOI: 10.3390/risks12090146

Ariful Hoque, Duong Thuy Le, Thi Le

引用次数: 0

Trends and Risks in Mergers and Acquisitions: A Review 并购的趋势与风险：综述

IF 2.2

Risks Pub Date : 2024-09-09 DOI: 10.3390/risks12090143

Manuel García-Nieto, Vicente Bueno-Rodríguez, Juan Manuel Ramón-Jerónimo, Raquel Flórez-López

{"title":"Trends and Risks in Mergers and Acquisitions: A Review","authors":"Manuel García-Nieto, Vicente Bueno-Rodríguez, Juan Manuel Ramón-Jerónimo, Raquel Flórez-López","doi":"10.3390/risks12090143","DOIUrl":"https://doi.org/10.3390/risks12090143","url":null,"abstract":"This study examines risk factors in mergers and acquisitions (M&As) identified in the recent literature, addressing the following question: “What risk factors associated with M&A transactions are discussed in the recent academic literature?” A semi-systematic literature review was conducted using a comprehensive search strategy with targeted keywords related to M&A risks. Papers from 2020 to 2024 were selected based on quality and relevance, with detailed review of abstracts and titles. Co-occurrence analysis using VOSviewer software (version 1.6.20) was applied to categorize key themes. The review of 118 papers identified four main risk categories: information asymmetry; performance and corporate reputation; litigation and investor protection; and geopolitical factors. Findings reveal complex interdependencies among these risks, highlighting the need for a holistic approach to risk management. Corporate social responsibility (CSR) is crucial for mitigating risks, improving transparency, and enhancing reputation. This study offers recommendations for better financial disclosures, robust environmental, social and governance strategies, and the integration of digital finance technologies as blockchain in M&A activity. Future research should include longitudinal studies on M&A risk dynamics, case studies on corporate governance, advanced valuation methods, and comparative analyses across regions and industries, focusing on emerging technologies like AI and blockchain.","PeriodicalId":21282,"journal":{"name":"Risks","volume":null,"pages":null},"PeriodicalIF":2.2,"publicationDate":"2024-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142197492","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Role of Sex in the Assessment of Return and Downside Risk in Decumulation Financial Planning 性别在评估养老金财务规划中的收益和下行风险中的作用

IF 2.2

Risks Pub Date : 2024-09-06 DOI: 10.3390/risks12090142

Amaia Jone Betzuen Álvarez, Amancio Betzuen Zalbidegoitia

引用次数: 0

Insurance Analytics with Clustering Techniques 利用聚类技术进行保险分析

IF 2.2

Risks Pub Date : 2024-09-05 DOI: 10.3390/risks12090141

Charlotte Jamotton, Donatien Hainaut, Thomas Hames

引用次数: 0

A Financial Stability Model for Iraqi Companies 伊拉克公司财务稳定模式

IF 2.2

Risks Pub Date : 2024-09-04 DOI: 10.3390/risks12090140

Narjis Abdlkareem Ibrahim, Mahdi Salehi, Hussen Amran Naji Al-Refiay, Mahmoud Lari Dashtbayaz

{"title":"A Financial Stability Model for Iraqi Companies","authors":"Narjis Abdlkareem Ibrahim, Mahdi Salehi, Hussen Amran Naji Al-Refiay, Mahmoud Lari Dashtbayaz","doi":"10.3390/risks12090140","DOIUrl":"https://doi.org/10.3390/risks12090140","url":null,"abstract":"The current study aims to develop a financial stability model in Iraq; after reviewing the relevant literature and sources related to financial stability and considering Iraq’s social, economic, political, and cultural conditions, a conceptual model and a research questionnaire have been developed. Based on the developed conceptual model, macro variables at the level of the economy, micro variables at the level of companies, the environmental variables of companies, and corporate governance have been selected as model dimensions. Each dimension has several components, including several indicators; 39 indicators were measured through questions in 2024. The research questionnaire was subjected to the opinion of 21 experts with sufficient experimental and academic records on this subject, and by using the Analytic Hierarchy Process (AHP) and Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) methods, the results were analyzed, and the final model was extracted. In this model, the scientific method used to analyze the results determines the weight of each dimension, component, and indicator. The results of this research show that the dimensions of corporate governance, the variables of the company environment, micro variables at the company level, and macro variables at the economic level with coefficients of 0.345, 0.251, 0.236, and 0.168, respectively, have the most significant impact on the ranking of the company’s financial stability. So far, research has yet to be conducted to present the financial stability model of Iraqi companies. Therefore, the present research is one of the first studies in this respect, which presents a model both qualitatively (by designing a questionnaire and conceptual model) and quantitatively (through a mathematical model) to measure financial stability that can help the development of science and knowledge in this field.","PeriodicalId":21282,"journal":{"name":"Risks","volume":null,"pages":null},"PeriodicalIF":2.2,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142197504","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A Novel Hybrid Deep Learning Method for Accurate Exchange Rate Prediction 用于准确汇率预测的新型混合深度学习方法

IF 2.2

Risks Pub Date : 2024-08-30 DOI: 10.3390/risks12090139

Farhat Iqbal, Dimitrios Koutmos, Eman A. Ahmed, Lulwah M. Al-Essa

{"title":"A Novel Hybrid Deep Learning Method for Accurate Exchange Rate Prediction","authors":"Farhat Iqbal, Dimitrios Koutmos, Eman A. Ahmed, Lulwah M. Al-Essa","doi":"10.3390/risks12090139","DOIUrl":"https://doi.org/10.3390/risks12090139","url":null,"abstract":"The global foreign exchange (FX) market represents a critical and sizeable component of our financial system. It is a market where firms and investors engage in both speculative trading and hedging. Over the years, there has been a growing interest in FX modeling and prediction. Recently, machine learning (ML) and deep learning (DL) techniques have shown promising results in enhancing predictive accuracy. Motivated by the growing size of the FX market, as well as advancements in ML, we propose a novel forecasting framework, the MVO-BiGRU model, which integrates variational mode decomposition (VMD), data augmentation, Optuna-optimized hyperparameters, and bidirectional GRU algorithms for monthly FX rate forecasting. The data augmentation in the Prevention module significantly increases the variety of data combinations, effectively reducing overfitting issues, while the Optuna optimization ensures optimal model configuration for enhanced performance. Our study’s contributions include the development of the MVO-BiGRU model, as well as the insights gained from its application in FX markets. Our findings demonstrate that the MVO-BiGRU model can successfully avoid overfitting and achieve the highest accuracy in out-of-sample forecasting, while outperforming benchmark models across multiple assessment criteria. These findings offer valuable insights for implementing ML and DL models on low-frequency time series data, where artificial data augmentation can be challenging.","PeriodicalId":21282,"journal":{"name":"Risks","volume":null,"pages":null},"PeriodicalIF":2.2,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142197493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Claim Prediction and Premium Pricing for Telematics Auto Insurance Data Using Poisson Regression with Lasso Regularisation 利用泊松回归与拉索正则化实现车联网汽车保险数据的理赔预测和保费定价

IF 2.2

Risks Pub Date : 2024-08-28 DOI: 10.3390/risks12090137

Farha Usman, Jennifer S. K. Chan, Udi E. Makov, Yang Wang, Alice X. D. Dong

{"title":"Claim Prediction and Premium Pricing for Telematics Auto Insurance Data Using Poisson Regression with Lasso Regularisation","authors":"Farha Usman, Jennifer S. K. Chan, Udi E. Makov, Yang Wang, Alice X. D. Dong","doi":"10.3390/risks12090137","DOIUrl":"https://doi.org/10.3390/risks12090137","url":null,"abstract":"We leverage telematics data on driving behavior variables to assess driver risk and predict future insurance claims in a case study utilising a representative telematics sample. In the study, we aim to categorise drivers according to their driving habits and establish premiums that accurately reflect their driving risk. To accomplish our goal, we employ the two-stage Poisson model, the Poisson mixture model, and the Zero-Inflated Poisson model to analyse the telematics data. These models are further enhanced by incorporating regularisation techniques such as lasso, adaptive lasso, elastic net, and adaptive elastic net. Our empirical findings demonstrate that the Poisson mixture model with the adaptive lasso regularisation outperforms other models. Based on predicted claim frequencies and drivers’ risk groups, we introduce a novel usage-based experience rating premium pricing method. This method enables more frequent premium updates based on recent driving behaviour, providing instant rewards and incentivising responsible driving practices. Consequently, it helps to alleviate cross-subsidization among risky drivers and improves the accuracy of loss reserving for auto insurance companies.","PeriodicalId":21282,"journal":{"name":"Risks","volume":null,"pages":null},"PeriodicalIF":2.2,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142197500","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0