Financial Risk and Management Reviews最新文献

Does the Business Model Increase Bank Stability? 商业模式能增加银行稳定性吗?

Financial Risk and Management Reviews Pub Date : 2022-07-14 DOI: 10.18488/89.v8i1.3062

L. Nguyen, P. T. Tran, N. Trinh, A. Le

引用次数: 0

Performance and Dividend Policy of State-Owned Banks Before and After COVID-19 新冠肺炎疫情前后国有银行业绩与分红政策

Financial Risk and Management Reviews Pub Date : 2022-05-09 DOI: 10.18488/89.v8i1.2989

I. W. B. Artha, T. Widyastuti, Irvandi Gustari

引用次数: 0

Predictive Creditworthiness Modeling in Energy-Saving Finance: Machine Learning Logit and Neural Network 节能金融中的预测信用建模:机器学习Logit和神经网络

Financial Risk and Management Reviews Pub Date : 2022-02-08 DOI: 10.18488/89.v8i1.2919

Herlan, Eka Sudarmaji, M. Yatim

{"title":"Predictive Creditworthiness Modeling in Energy-Saving Finance: Machine Learning Logit and Neural Network","authors":"Herlan, Eka Sudarmaji, M. Yatim","doi":"10.18488/89.v8i1.2919","DOIUrl":"https://doi.org/10.18488/89.v8i1.2919","url":null,"abstract":"Customer's creditworthiness was becoming more crucial for ESCO. Machine learning was used to predict the creditworthiness of clients in retrofit financing processes. Machine learning was used to predict the creditworthiness of clients in ESCO financing processes. This research aimed to develop a retrofitting scoring model to leverage a machine learning and life cycle cost analysis (LCCA) to evaluate alternative financing for Energy Efficiency Saving in Indonesia. The model was built on the Logistic Regression model and Artificial Neural Networks model of machine learning. The model was developed and tested using the Python algorithm, and the proposed model's efficiency was demonstrated. The logistic regression calculations showed that the accuracy value of prediction data with test data was 88.3562 % and 87.67% for Artificial Neural Networks and Logistic Regression models. The prediction rate result that refers to the correct predictions among all test data for Artificial Neural Networks and Logistic Regression model was 92.20% and 91.98%, respectively. Meanwhile, the percentage of customers who were correct to all customers predicted to default was 94.41% for Artificial Neural Networks and 93.81% for the Logistic Regression model. Credit models were helpful to evaluate the risk of consumer loans. Finally, the quality and performance of these models were evaluated and compared to identify the best one. The logistic regression and neural network models obtained were good and very similar, although the neural network was slightly better.","PeriodicalId":282667,"journal":{"name":"Financial Risk and Management Reviews","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133233539","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

Risk Management and Financial Performance of Manufacturing Firms in Nigeria 尼日利亚制造业企业的风险管理和财务绩效

Financial Risk and Management Reviews Pub Date : 2021-12-28 DOI: 10.18488/journal.89.2021.71.67.77

G. Akinleye, Comfort Temidayo Olanipekun

引用次数: 0

Performance Evaluation of Chinese Commercial Banks Based on the Malmquist Index 基于Malmquist指数的中国商业银行绩效评价

Financial Risk and Management Reviews Pub Date : 2021-10-22 DOI: 10.18488/journal.89.2021.71.60.66

Wenjing Xie, Meiling He, Guohui Huang, Lu He, Fan Lin, Wenming Pan

{"title":"Performance Evaluation of Chinese Commercial Banks Based on the Malmquist Index","authors":"Wenjing Xie, Meiling He, Guohui Huang, Lu He, Fan Lin, Wenming Pan","doi":"10.18488/journal.89.2021.71.60.66","DOIUrl":"https://doi.org/10.18488/journal.89.2021.71.60.66","url":null,"abstract":"Commercial banks have the function of promoting the raising and rational distribution of funds in economic construction in China. Commercial banks are also important in promoting the smooth development of socialist economic activities and the development of national economy and other socialist productive economic activities. At present, one of the biggest difficulties faced by China's commercial banks is the improvement of their efficiency and competitiveness in the face of continuous development and change. This paper establishes the efficiency evaluation model of commercial banks using the DEA-based Malmquist index; it also uses a data envelopment analysis (DEA) to analyze the financial data of nine listed banks in China from 2011 to 2020, studies the efficiency of commercial banks in China, and finds the efficiency differences. Based on empirical research, this paper puts forward corresponding suggestions. The research shows that the key to dealing with this situation depends on the banks’ effective utilization of scientific and technological innovation and technological progress. In order to achieve the goal of innovative and sustainable development of commercial banks, it is necessary to integrate the continuous developments of science and technology with finance.","PeriodicalId":282667,"journal":{"name":"Financial Risk and Management Reviews","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132678430","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: 2

Likelihood of Insurance Coverage on Damages Due to Level of Insecurity in Nigeria: Logistic Modeling Approach 尼日利亚不安全程度导致损害的保险概率：逻辑模型法

Financial Risk and Management Reviews Pub Date : 2021-09-23 DOI: 10.18488/journal.89.2021.71.50.59

Orumie, Ukamaka Cynthia, D. C. Bartholomew, C. P. Obite, Kiwu Chizoba Lawrence

{"title":"Likelihood of Insurance Coverage on Damages Due to Level of Insecurity in Nigeria: Logistic Modeling Approach","authors":"Orumie, Ukamaka Cynthia, D. C. Bartholomew, C. P. Obite, Kiwu Chizoba Lawrence","doi":"10.18488/journal.89.2021.71.50.59","DOIUrl":"https://doi.org/10.18488/journal.89.2021.71.50.59","url":null,"abstract":"Insurance serves as a protection against the unexpected and it is one of the most effective risk management tools that protect individuals from being bankrupt due to various contingencies. The binary logistic regression model approach was used to model the described dataset; the model so obtained was statistically significant. All the levels of education were statistically significant in predicting the odds of having insurance cover except for primary education level. Also, employment status and age were statistically significant in predicting the likelihood for insurance cover in Nigeria. The results showed that individuals who move from no formal education to obtain Higher education level are 21.66 times more likely to obtain insurance cover and individuals who move from no formal education to obtain Secondary education level are 2.63 times more likely to obtain insurance cover. The odd ratio is not significant for moving from no formal education to Primary education and therefore should not be interpreted. Further, individuals who move from being unemployed to being employed are more likely to obtain insurance cover. Education has the highest impact in predicting the likelihood for one to have insurance cover in Nigeria. This paper recommends overhauling of the educational system in order to revamp this sector.","PeriodicalId":282667,"journal":{"name":"Financial Risk and Management Reviews","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127404233","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: 2

Modeling and Estimation of Cumulative Abnormal Return using VECM 基于VECM的累积异常收益建模与估计

Financial Risk and Management Reviews Pub Date : 2021-09-21 DOI: 10.18488/journal.89.2021.71.36.49

Sri Ambarwati, Eka Sudarmaji, Herlan Masrio, Ismiriati Nasip

引用次数: 0

A Blockchain Research Review 区块链研究综述

Financial Risk and Management Reviews Pub Date : 2021-09-06 DOI: 10.18488/journal.89.2021.71.26.35

Dr Mohammad Tariq Hasan, M. H. Miraz, Farhana Rahman Sumi, Shumi Sarkar

{"title":"A Blockchain Research Review","authors":"Dr Mohammad Tariq Hasan, M. H. Miraz, Farhana Rahman Sumi, Shumi Sarkar","doi":"10.18488/journal.89.2021.71.26.35","DOIUrl":"https://doi.org/10.18488/journal.89.2021.71.26.35","url":null,"abstract":"Blockchain technology was first introduced as Bitcoin’s underlying technology which is one type of distributed ledger that consists of replicated, shared, and synchronized data over the Internet. This study extends prior studies on blockchain. A fundamental framework for a blockchain research classification was proposed by analyzing 230 articles related to the study of blockchain published in Asia and around the world from 2016 to 2020. The study applies a comprehensive meta-analysis based on findings, literature sources, research objectives, research methods, and context. The objective of the study is to summarize the current blockchain research, its constraints, and future trends. Meta-analysis is characterized by the process of theory construction. It is a powerful tool to analyze the literature in a descriptive form which will guide for further study. Research shows that the study at home is more decentralized, non-systematic, and has failed to gain a certain research depth—Moreover, it lacks quantitative analysis. Future research will focus on digital currency, Internet financing, and the risk of blockchain technology research.","PeriodicalId":282667,"journal":{"name":"Financial Risk and Management Reviews","volume":"20 3-4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133551433","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: 1

Modelling Stock Returns Volatility and Asymmetric News Effect: A Global Perspective 股票收益波动和不对称新闻效应建模:一个全球视角

Financial Risk and Management Reviews Pub Date : 2021-01-11 DOI: 10.18488/JOURNAL.89.2021.71.1.15

K. Onyele, Emmanuel Chijioke Nwadike

{"title":"Modelling Stock Returns Volatility and Asymmetric News Effect: A Global Perspective","authors":"K. Onyele, Emmanuel Chijioke Nwadike","doi":"10.18488/JOURNAL.89.2021.71.1.15","DOIUrl":"https://doi.org/10.18488/JOURNAL.89.2021.71.1.15","url":null,"abstract":"This paper modelled stock returns volatility using daily S&P Global 1200 index from 1st September, 2010 to 30th September, 2020. The S&P 1200 represents a free-float weighted stock market index of global equities covering seven (7) regional stock market indices and approximately 70% of the global market capitalization, hence was used to compute global stock returns. The data analysis was carried out with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) techniques. Of the variant GARCH models specified in this study, the symmetric GARCH-M (1,1) and the asymmetric TGARCH (1,1) models were found suitable for the estimation. The findings from the GARCH-M and TGARCH models revealed explosive volatility persistence and strong asymmetric news effect in the global stock market, respectively. The implication of volatility persistence is that current volatility shocks influenced expected returns over a long period. The asymmetric news effect showed that negative news (bad news) spurred stock returns volatility than positive news (good news) especially in 2020 which was due to the COVID-19 crisis as shown by the plot of the conditional variance. These results were consistent with the empirical findings of a number of studies in emerging markets. Hence, the study concludes that the global stock market exhibited high volatility persistence and leverage effect during the sampled period. The paper contributes the first logical analysis that volatility of S&P 1200 returns is explosive and largely influenced by news available in the global markets.","PeriodicalId":282667,"journal":{"name":"Financial Risk and Management Reviews","volume":"347 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123190048","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: 1

Evaluating the Effectiveness of CAPM and APT for Risk Measuring and Assets Pricing 评估CAPM和APT在风险计量和资产定价中的有效性

Financial Risk and Management Reviews Pub Date : 2020-03-18 DOI: 10.18488/JOURNAL.89.2020.61.14.21

Fahim Afzal, Haiying Pan

引用次数: 1