Risks最新文献_第2页

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":"389 1","pages":""},"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":"171 1","pages":""},"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":"29 1","pages":""},"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

Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model 巴切利耶-布莱克-斯科尔斯-默顿统一模型中的动态资产定价

IF 2.2

Risks Pub Date : 2024-08-27 DOI: 10.3390/risks12090136

W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi

{"title":"Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model","authors":"W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi","doi":"10.3390/risks12090136","DOIUrl":"https://doi.org/10.3390/risks12090136","url":null,"abstract":"We present a unified, market-complete model that integrates both Bachelier and Black–Scholes–Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or riskless rates. Unlike the classical Black–Scholes–Merton, we show that option pricing in the unified model differs depending on whether the replicating, self-financing portfolio uses riskless bonds or a single riskless bank account. We derive option price formulas and extend our analysis to the term structure of interest rates by deriving the pricing of zero-coupon bonds, forward contracts, and futures contracts. We identify a necessary condition for the unified model to support a perpetual derivative. Discrete binomial pricing under the unified model is also developed. In every scenario analyzed, we show that the unified model simplifies to the standard Black–Scholes–Merton pricing under specific limits and provides pricing in the Bachelier model limit. We note that the Bachelier limit within the unified model allows for positive riskless rates. The unified model prompts us to speculate on the possibility of a mixed multiplicative and additive deflator model for risk-neutral option pricing.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"199 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142197495","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

Financial Risk Management in Healthcare in the Provision of High-Tech Medical Assistance for Sustainable Development: Evidence from Russia 为可持续发展提供高科技医疗援助中的医疗财务风险管理：来自俄罗斯的证据

IF 2.2

Risks Pub Date : 2024-08-26 DOI: 10.3390/risks12090134

Abdula M. Chililov

{"title":"Financial Risk Management in Healthcare in the Provision of High-Tech Medical Assistance for Sustainable Development: Evidence from Russia","authors":"Abdula M. Chililov","doi":"10.3390/risks12090134","DOIUrl":"https://doi.org/10.3390/risks12090134","url":null,"abstract":"The research determines the level of financial risk in the Russian healthcare system and identifies prospects for improving the current Russian practice of financial risk management in healthcare when providing high-tech medical care for sustainable development (using Russia as an example). The author summarizes the advanced experience of the top 20 largest healthcare organizations in Russia by revenue in 2022. Based on this experience, the author developed an SEM model of the financial risks in healthcare during the provision of high-tech medical care in Russia from a sustainable development perspective. The theoretical significance of the developed model lies in uncovering the previously unknown causal relationships between the implementation of the ICT, sustainable development support, and financial risks in healthcare. The model reveals a new market dimension of financial risks for healthcare organizations in Russia. The main conclusion is that implementing the ICT and support for sustainable development helps to reduce the financial risks in healthcare. The identified potential for reducing financial risks in providing high-tech medical care in Russia until 2026 is practically significant. This prospect can be practically applied as a roadmap for the digital modernization and sustainable development of healthcare until 2026, enhancing the state healthcare policy in Russia. The established systemic relationship between ICT implementation, sustainable development support, and financial risks in healthcare is of managerial importance because it will increase the predictability of the financial risks in the market dimension of healthcare in Russia. The newly developed approach to risk management in healthcare during the provision of high-tech medical care in Russia has expanded the instrumental framework of risk management for healthcare organizations in Russia and revealed further opportunities for improving its efficiency.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"69 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142197496","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

Using the Fuzzy Version of the Pearl’s Algorithm for Environmental Risk Assessment Tasks 在环境风险评估任务中使用珀尔算法的模糊版本

IF 2.2

Risks Pub Date : 2024-08-26 DOI: 10.3390/risks12090135

Oleg Uzhga-Rebrov

引用次数: 0

Digital Risk and Financial Inclusion: Balance between Auxiliary Innovation and Protecting Digital Banking Customers 数字风险与普惠金融：辅助创新与保护数字银行客户之间的平衡

IF 2.2

Risks Pub Date : 2024-08-22 DOI: 10.3390/risks12080133

Faraz Ahmed, Arsalan Hussain, Sajjad Nawaz Khan, Arsalan Haneef Malik, Muhammad Asim, Sadique Ahmad, Mohammed El-Affendi

引用次数: 0

Quick Introduction into the General Framework of Portfolio Theory 投资组合理论总体框架快速入门