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

IF 2.2

Risks Pub Date : 2024-08-19 DOI: 10.3390/risks12080132

Philipp Kreins, Stanislaus Maier-Paape, Qiji Jim Zhu

引用次数: 0

Trading Option Portfolios Using Expected Profit and Expected Loss Metrics 使用预期利润和预期损失指标交易期权组合

IF 2.2

Risks Pub Date : 2024-08-16 DOI: 10.3390/risks12080130

Johannes Hendrik Venter, Pieter Juriaan de Jongh

引用次数: 0

A Hypothesis Test for the Long-Term Calibration in Rating Systems with Overlapping Time Windows 具有重叠时间窗口的评级系统的长期校准假设检验

IF 2.2

Risks Pub Date : 2024-08-16 DOI: 10.3390/risks12080131

Patrick Kurth, Max Nendel, Jan Streicher

引用次数: 0

Uncovering the Impact of Digitalization on the Performance of Insurance Distribution 揭示数字化对保险分销绩效的影响

IF 2.2

Risks Pub Date : 2024-08-14 DOI: 10.3390/risks12080129

Thomas Köhne, Marija Köhne

{"title":"Uncovering the Impact of Digitalization on the Performance of Insurance Distribution","authors":"Thomas Köhne, Marija Köhne","doi":"10.3390/risks12080129","DOIUrl":"https://doi.org/10.3390/risks12080129","url":null,"abstract":"This study explores the impact of digitalization on the performance of insurance intermediaries, who still play a key role in the revenue generation of insurance companies. By using an interdisciplinary approach, this study is the first to examine the extent and type of digital technologies used by intermediaries, their impact on performance with respect to revenue, productivity, and interaction with clients, and the role of digital stress in this context. The research is exploratory, which is why a research model with many variables and relationships between them was built. The quantitative multivariate method of Partial Least Squares Structural Equation Modeling (PLS-SEM) was applied as it allows the simultaneous estimation of models with multiple dependent variables and their interconnections. In this context, data collected in 2022 from 671 insurance intermediaries from Germany, whose demographic distribution in the sample is representative of the German insurance market, were analyzed. The findings show that insurance intermediaries use many digital technologies compared to other industries, particularly those that create added value in their daily work. Empirical evidence also showed that using digital technologies positively affects performance but induces perceived digital stress. As this study reveals, the latter diminishes the positive effects on performance. Technology optimism, technological skills, and organizational support reduce the severity of stress. This means that insurers can start here to support intermediaries to mitigate the performance-limiting effects. This study adds to the insurance literature by providing a broader understanding of how insurance intermediaries deal with digitalization and what it means for their performance.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"43 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142197501","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

European Non-Performing Exposures (NPEs) and Climate-Related Risks: Country Dimensions 欧洲不良风险敞口（NPEs）与气候相关风险：国家层面

IF 2.2

Risks Pub Date : 2024-08-13 DOI: 10.3390/risks12080128

Elisa Di Febo, Eliana Angelini, Tu Le

{"title":"European Non-Performing Exposures (NPEs) and Climate-Related Risks: Country Dimensions","authors":"Elisa Di Febo, Eliana Angelini, Tu Le","doi":"10.3390/risks12080128","DOIUrl":"https://doi.org/10.3390/risks12080128","url":null,"abstract":"The EU faces two economic challenges: managing non-performing exposures (NPEs) and climate change. This paper analyzes the relationship between the NPEs of domestic banking groups and climate risks, including macroeconomic variables such as the GDP growth rate, unemployment rate (UnEmp), and the voice and accountability percentile (VCA) and the interaction variable between the GHG and the Rule of Law Percentile (GhGRLP). The estimation uses ordinary least squares with time-fixed and individual effects. Physical and transition risks significantly affect NPEs, showing that both adverse climate events and the transition to a low-carbon economy worsen the financial situation of European banking institutions. The analysis also revealed that increased levels of VCA lead to a rise in NPEs, while an increase in GhGRLP reduces NPEs. In contrast, financial institutions tend to recognize and report NPEs more accurately in contexts with greater transparency and accountability. In comparison, UnEmp negatively affects NPEs, suggesting that economic support measures during high unemployment can reduce NPEs in the subsequent period. In conclusion, climate risk management represents a crucial challenge for the financial stability of banking institutions. Policymakers and financial institutions must continue to develop and implement climate change mitigation and adaptation strategies to preserve financial system stability amid growing climate uncertainties.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"29 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142197502","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 Impact of Research and Development Investment on the Performance of Portuguese Companies 研发投资对葡萄牙公司业绩的影响

IF 2.2

Risks Pub Date : 2024-08-07 DOI: 10.3390/risks12080126

Ana Santos, Ana Bandeira, Patrícia Ramos

引用次数: 0

Risks最新文献