IF 2.2

Risks Pub Date : 2024-03-13 DOI: 10.3390/risks12030051

Danai Likitratcharoen, Lucksuda Suwannamalik

{"title":"Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand’s Transportation Sector during COVID-19","authors":"Danai Likitratcharoen, Lucksuda Suwannamalik","doi":"10.3390/risks12030051","DOIUrl":"https://doi.org/10.3390/risks12030051","url":null,"abstract":"The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of potential investment losses. Predominantly employed within financial sectors, it aids in adhering to regulatory mandates and in devising capital reserve strategies. Nonetheless, the predictive precision of VaR models frequently faces scrutiny, particularly during crises and heightened uncertainty phases. Phenomena like volatility clustering impinge on the accuracy of these models. To mitigate such constraints, conditional volatility models are integrated to augment the robustness and adaptability of VaR approaches. This study critically evaluates the efficacy of GARCH-type VaR models within the transportation sector amidst the Thai stock market’s volatility during the COVID-19 pandemic. The dataset encompasses daily price fluctuations in the Transportation Sector index (TRANS), the Service Industry index (SERVICE), and 17 pertinent stocks within the Stock Exchange of Thailand, spanning from 28 December 2018 to 28 December 2023, thereby encapsulating the pandemic era. The employed GARCH-type VaR models include GARCH (1,1) VaR, ARMA (1,1)—GARCH (1,1) VaR, GARCH (1,1)—M VaR, IGARCH (1,1) VaR, EWMA VaR, and csGARCH (1,1) VaR. These are juxtaposed with more traditional, less computationally intensive models like the Historical Simulation VaR and Delta Normal VaR. The backtesting methodologies encompass Kupiec’s POF test, the Independence Test, and Christoffersen’s Interval Forecast test. Intriguingly, the findings reveal that the Historical Simulation VaR model surpasses GARCH-type VaR models in failure rate accuracy. Within the GARCH-type category, the EWMA VaR model exhibited superior failure rate accuracy. The csGARCH (1,1) VaR and EWMA VaR models emerged as notably robust. These findings bear significant implications for managerial decision-making in financial risk management.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"21 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140150405","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 Longevity-Indexed Bond in Risk Management of Aggregated Defined Benefit Pension Scheme 长寿指数债券在综合固定福利养老金计划风险管理中的作用

IF 2.2

Risks Pub Date : 2024-03-06 DOI: 10.3390/risks12030049

Xiaoyi Zhang, Yanan Li, Junyi Guo

{"title":"The Role of Longevity-Indexed Bond in Risk Management of Aggregated Defined Benefit Pension Scheme","authors":"Xiaoyi Zhang, Yanan Li, Junyi Guo","doi":"10.3390/risks12030049","DOIUrl":"https://doi.org/10.3390/risks12030049","url":null,"abstract":"Defined benefit (DB) pension plans are a primary type of pension schemes with the sponsor assuming most of the risks. Longevity-indexed bonds have been used to hedge or transfer risks in pension plans. Our objective is to study an aggregated DB pension plan’s optimal risk management problem focusing on minimizing the solvency risk over a finite time horizon and to investigate the investment strategies in a market, comprising a longevity-indexed bond and a risk-free asset, under stochastic nominal interest rates. Using the dynamic programming technique in the stochastic control problem, we obtain the closed-form optimal investment strategy by solving the corresponding Hamilton–Jacobi–Bellman (HJB) equation. In addition, a comparative analysis implicates that longevity-indexed bonds significantly reduce solvency risk compared to zero-coupon bonds, offering a strategic advantage in pension fund management. Besides the closed-form solution and the comparative study, another novelty of this study is the extension of actuarial liability (AL) and normal cost (NC) definitions, and we introduce the risk neutral valuation of liabilities in DB pension scheme with the consideration of mortality rate.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"3 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140073945","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 Regime-Switching Structural Default Risk Model 制度转换结构性违约风险模型

IF 2.2

Risks Pub Date : 2024-03-04 DOI: 10.3390/risks12030048

Andreas Milidonis, Kevin Chisholm

引用次数: 0

What Matters for Comovements among Gold, Bitcoin, CO2, Commodities, VIX and International Stock Markets during the Health, Political and Bank Crises? 在健康、政治和银行危机期间，黄金、比特币、二氧化碳、大宗商品、VIX 和国际股票市场之间的相关性有何影响？

IF 2.2

Risks Pub Date : 2024-03-04 DOI: 10.3390/risks12030047

Wajdi Frikha, Azza Béjaoui, Aurelio F. Bariviera, Ahmed Jeribi

{"title":"What Matters for Comovements among Gold, Bitcoin, CO2, Commodities, VIX and International Stock Markets during the Health, Political and Bank Crises?","authors":"Wajdi Frikha, Azza Béjaoui, Aurelio F. Bariviera, Ahmed Jeribi","doi":"10.3390/risks12030047","DOIUrl":"https://doi.org/10.3390/risks12030047","url":null,"abstract":"This paper analyzes the connectedness between gold, wheat, and crude oil futures, Bitcoin, carbon emission futures, and international stock markets in the G7, BRICS, and Gulf regions with the outbreak of exogenous and unexpected shocks related to health, banking, and political crises. To this end, we use a wavelet-based method on the returns of different assets during the period 2 January 2019, to 21 April 2023. The empirical findings show that the existence of time-varying linkages between markets is well documented and appears stronger during the COVID-19 pandemic. However, it seems to diminish for some associations with the advent of the Russia-Ukraine War. The empirical results also show that investor risk perceptions measured by the VIX are negatively and substantially linked to stock markets in different regions. Other interesting findings emerge from the connectedness analysis with the outbreak of Silicon Valley bankruptcy. In particular, Bitcoin tends to regain its role as a safe-haven asset against some G7 stock markets during the bank crisis. Such findings can provide valuable insights for investors and policymakers concerning the relationship between different markets during different crises.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"32 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140074050","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

Robust Estimation of the Tail Index of a Single Parameter Pareto Distribution from Grouped Data 从分组数据中稳健估计单参数帕累托分布的尾部指数

IF 2.2

Risks Pub Date : 2024-03-01 DOI: 10.3390/risks12030045

Chudamani Poudyal

引用次数: 0

Navigating Inflation Challenges: AI-Based Portfolio Management Insights 应对通胀挑战：基于人工智能的投资组合管理洞察

IF 2.2

Risks Pub Date : 2024-03-01 DOI: 10.3390/risks12030046

Tibor Bareith, Tibor Tatay, László Vancsura

{"title":"Navigating Inflation Challenges: AI-Based Portfolio Management Insights","authors":"Tibor Bareith, Tibor Tatay, László Vancsura","doi":"10.3390/risks12030046","DOIUrl":"https://doi.org/10.3390/risks12030046","url":null,"abstract":"After 2010, the consumer price index fell to a low level in the EU. In the euro area, it remained low between 2010 and 2020. The European Central Bank has even had to take action against the emergence of deflation. The situation changed significantly in 2021. Inflation jumped to levels not seen for 40 years in the EU. Our study aims to use artificial intelligence to forecast inflation. We also use artificial intelligence to forecast stock index changes. Based on the forecasts, we propose portfolio reallocation decisions to protect against inflation. The forecasting literature does not address the importance of structural breaks in the time series, which, among other things, can affect both the pattern recognition and prediction capabilities of various machine learning models. The novelty of our study is that we used the Zivot–Andrews unit root test to determine the breakpoints and partitioned the time series into training and testing datasets along these points. We then examined which database partition gives the most accurate prediction. This information can be used to re-balance the portfolio. Two different AI-based prediction algorithms were used (GRU and LSTM), and a hybrid model (LSTM–GRU) was also included to investigate the predictability of inflation. Our results suggest that the average error of the inflation forecast is a quarter of that of the stock market index forecast. Inflation developments have a fundamental impact on equity and government bond returns. If we obtain a reliable estimate of the inflation forecast, we have time to rebalance the portfolio until the inflation shock is incorporated into government bond returns. Our results not only support investment decisions at the national economy level but are also useful in the process of rebalancing international portfolios.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"21 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140017871","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

Market Equilibrium and the Cost of Capital with Heterogeneous Investment Horizons 异质投资视野下的市场均衡与资本成本

IF 2.2

Risks Pub Date : 2024-02-29 DOI: 10.3390/risks12030044

Moshe Levy, Haim Levy

引用次数: 0

Climate Change-Related Disaster Risk Mitigation through Innovative Insurance Mechanism: A System Dynamics Model Application for a Case Study in Latvia 通过创新保险机制缓解气候变化相关灾害风险：拉脱维亚案例研究中的系统动力学模型应用

IF 2.2

Risks Pub Date : 2024-02-28 DOI: 10.3390/risks12030043

Maksims Feofilovs, Andrea Jonathan Pagano, Emanuele Vannucci, Marina Spiotta, Francesco Romagnoli

{"title":"Climate Change-Related Disaster Risk Mitigation through Innovative Insurance Mechanism: A System Dynamics Model Application for a Case Study in Latvia","authors":"Maksims Feofilovs, Andrea Jonathan Pagano, Emanuele Vannucci, Marina Spiotta, Francesco Romagnoli","doi":"10.3390/risks12030043","DOIUrl":"https://doi.org/10.3390/risks12030043","url":null,"abstract":"This study explores how the System Dynamics modeling approach can help deal with the problem of conventional insurance mechanisms by studying the feedback loops governing complex systems connected to the disaster insurance mechanism. Instead of addressing the disaster’s underlying risk, the traditional disaster insurance strategy largely focuses on providing financial security for asset recovery after a disaster. This constraint becomes especially concerning as the threat of climate-related disasters grows since it may result in rising long-term damage expenditures. A new insurance mechanism is suggested as a solution to this problem to lower damage costs while safeguarding insured assets and luring new assets to be protected. A local case study utilizing a System Dynamics stock and flow model is created and validated by examining the model’s structure, sensitivity analysis, and extreme value test. The results of the case study performed on a city in Latvia highlight the significance of effective disaster risk reduction strategies applied within the innovative insurance mechanism in lowering overall disaster costs. The logical coherence seen throughout the analysis of simulated scenario results strengthens the established model’s plausibility. The case study’s findings support the innovative insurance mechanism’s dynamic hypothesis and show the main influencing factors on the dynamics within the proposed innovative insurance mechanism. The information this study can help insurance firms, policy planners, and disaster risk managers make decisions that will benefit local communities and other stakeholders regarding climate-related disaster risk mitigation.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"252 1","pages":""},"PeriodicalIF":2.2,"publicationDate":"2024-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140008604","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

When to Hedge Downside Risk? 何时对冲下行风险？

IF 2.2

Risks Pub Date : 2024-02-18 DOI: 10.3390/risks12020042

Christos I. Giannikos, Hany Guirguis, Andreas Kakolyris, Tin Shan (Michael) Suen

引用次数: 0

Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings 美国主动型共同基金是否兑现了其 ESG 承诺？来自投资组合持股的证据

IF 2.2

Risks Pub Date : 2024-02-18 DOI: 10.3390/risks12020041

Massimo Guidolin, Monia Magnani

引用次数: 0

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