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The Performance of Compliant Stocks During the COVID-19 Crisis COVID-19危机期间合规股票的表现
Risk Management eJournal Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3916435
Amel Farhat, Amal Hili
{"title":"The Performance of Compliant Stocks During the COVID-19 Crisis","authors":"Amel Farhat, Amal Hili","doi":"10.2139/ssrn.3916435","DOIUrl":"https://doi.org/10.2139/ssrn.3916435","url":null,"abstract":"The outbreak of the COVID-19 pandemic led to a sharp decline in the market value of the global equity markets. The purpose of this paper is to answer the following question: Do Compliant firms outperform the Non-Compliant during the COVID-19 pandemic? A compliant firm must satisfy the qualitative and quantitative criteria defined by Islamic law. Previous research focused on Compliant mutual funds, banks, and stock market indexes. Our paper stands out by sorting the cross-section of individual firms into Compliant and Non-Compliant firms and by analyzing the stock performance of both groups during the COVID-19 crisis. Our empirical investigation includes quarterly cross sectional regressions of stock returns and volatility during the first two quarters of 2020 and daily difference-in-difference regressions of daily stock performance during the COVID period starting from February 24th to April 17th of 2020. We find that Compliant stocks outperform the Non compliant peers during the pandemic. We highlight that this out-performance is not associated with higher firm-specific or total risk.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133666452","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 Complex Financial Instruments on Banks’ Vulnerability: Empirical Evidence on SSM Banks 复杂金融工具对银行脆弱性的影响:基于SSM银行的经验证据
Risk Management eJournal Pub Date : 2021-07-29 DOI: 10.2139/ssrn.3896326
Perez Tommaso, Francesco Potente, A. Carboni, Alberto Di Iorio, Jacopo Raponi
{"title":"The Impact of Complex Financial Instruments on Banks’ Vulnerability: Empirical Evidence on SSM Banks","authors":"Perez Tommaso, Francesco Potente, A. Carboni, Alberto Di Iorio, Jacopo Raponi","doi":"10.2139/ssrn.3896326","DOIUrl":"https://doi.org/10.2139/ssrn.3896326","url":null,"abstract":"Level 2 (L2) and Level 3 (L3) assets and liabilities represent a substantial portion of European banks’ balance sheets, and valuing them is extremely difficult, since no liquid market prices are available. This paper relies on a large panel of euro-area banks between 2014 and 2019, and two different econometric frameworks, in order to estimate the relationship between the holdings of selected instruments (L2, L3 and Non-Performing Loans, NPLs) and banks’ key performance and risk profile metrics, namely Credit Default Swaps (CDSs), Price-to-Book (PtB) ratios and Z-scores. It finds that larger holdings of L2 tend to be associated with higher CDSs, at least in the short run, while larger amounts of NPLs and L3 tend to characterize banks with higher CDSs, lower PtB ratios and worse Z-scores, other things being equal.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122921832","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
Mean-Variance Insurance Design with Counterparty Risk and Incentive Compatibility 考虑交易对手风险和激励兼容性的均值-方差保险设计
Risk Management eJournal Pub Date : 2021-07-27 DOI: 10.2139/ssrn.3894050
T. Boonen, Wenjun Jiang
{"title":"Mean-Variance Insurance Design with Counterparty Risk and Incentive Compatibility","authors":"T. Boonen, Wenjun Jiang","doi":"10.2139/ssrn.3894050","DOIUrl":"https://doi.org/10.2139/ssrn.3894050","url":null,"abstract":"This paper studies the optimal insurance design from the perspective of an insured when there is possibility for the insurer to default on its promised indemnity. Default of the insurer leads to limited liability, and the promised indemnity is only partially recovered in case of a default. To alleviate the potential ex post moral hazard, an incentive compatibility condition is added to restrict the permissible indemnity function. Under the actuarial premium principle and mean-variance preferences of the insured, we derive the explicit structure of the optimal indemnity function through the marginal indemnity function formulation of the problem. It is shown that the optimal indemnity function depends on the first and second order conditional expectations of the random recovery rate. The methodology and results in this paper complement the literature regarding the optimal insurance subject to the default risk and provide new insights on problems of similar types. Moreover, we also apply the techniques in this paper to the case of additive background risk, which yields an alternative proof of the main result of Chi and Tan (2021).","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"157 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122185290","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
Risk Management Beyond Regulatory Compliance 超越法规遵从性的风险管理
Risk Management eJournal Pub Date : 2021-07-19 DOI: 10.2139/ssrn.3889592
Sonjai Kumar
{"title":"Risk Management Beyond Regulatory Compliance","authors":"Sonjai Kumar","doi":"10.2139/ssrn.3889592","DOIUrl":"https://doi.org/10.2139/ssrn.3889592","url":null,"abstract":"In the last two decades, the application of Enterprise Risk Management (ERM) has increased in its pace and more penetration particularly after the 2007-08 financial crisis. Such application was largely driven due to regulatory push. However, ERM is more to offer than just regulatory compliance.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127143954","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
Learning from History-A Risk Management Perspective 从历史中学习——风险管理的视角
Risk Management eJournal Pub Date : 2021-07-19 DOI: 10.2139/ssrn.3889557
Sonjai Kumar
{"title":"Learning from History-A Risk Management Perspective","authors":"Sonjai Kumar","doi":"10.2139/ssrn.3889557","DOIUrl":"https://doi.org/10.2139/ssrn.3889557","url":null,"abstract":"Though risk management and its application in the corporate world are new, its essence is very old. One must remember that risk is always about the future and the future is always unknown. There is no idea what will unfold in the future, however, some ideas about the future can be assessed based on past data, present information, and judicious judgment about the future. In the life insurance business which is about long-term assessment of risk is based on similar methodologies. Life insurance businesses have been successful throughout the world based on actuarial principles. To address any risk, it is very important to first identify the risk, assess its likely impact, and plan for preventative action now, to minimize the impact of the risk, should risk materializes. Risk assessment requires a mindset with a vision to anticipate the future based on certain key risk indicators of the present which always emanate important information about the expected future. In the very recent past we witnessed economic slowdown resulting from reduced economic activities, the key question that is addressed in this article is, could this have been anticipated to address the economic risks to take mitigating actions earlier than later","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132027640","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 Appetite: A Risk Management Tool 风险偏好:风险管理工具
Risk Management eJournal Pub Date : 2021-07-17 DOI: 10.2139/ssrn.3888605
Sonjai Kumar
{"title":"Risk Appetite: A Risk Management Tool","authors":"Sonjai Kumar","doi":"10.2139/ssrn.3888605","DOIUrl":"https://doi.org/10.2139/ssrn.3888605","url":null,"abstract":"This document discusses in detail the risk appetite, setting the risk appetite, statistical ways of representation of risk appetite, and factors important for risk appetite. The document also describes the spread of risk appetite across a 2x2 matrix and from there how risk appetite can be set.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125108957","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
Choosing an Insurer 选择保险公司
Risk Management eJournal Pub Date : 2021-07-17 DOI: 10.2139/ssrn.3888579
Sonjai Kumar
{"title":"Choosing an Insurer","authors":"Sonjai Kumar","doi":"10.2139/ssrn.3888579","DOIUrl":"https://doi.org/10.2139/ssrn.3888579","url":null,"abstract":"This paper is about how customers can choose an insurance company for taking insurance policies based on its financial position. In some market such as in India, the ranking of the insurance companies are based on new business but this paper also gives other variables to select.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134166446","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 Mitigation, Monitoring and Reporting in Life Insurance Business 人寿保险业务的风险缓解、监测和报告
Risk Management eJournal Pub Date : 2021-07-17 DOI: 10.2139/ssrn.3888612
Sonjai Kumar
{"title":"Risk Mitigation, Monitoring and Reporting in Life Insurance Business","authors":"Sonjai Kumar","doi":"10.2139/ssrn.3888612","DOIUrl":"https://doi.org/10.2139/ssrn.3888612","url":null,"abstract":"A business value is created by identifying the risks in the business and developing the risk mitigation plan. Only identification of risks is of little use unless an effective advance plan is developed and implemented to reduce either the likelihood or impact or both of the events. In this chapter, different methods of risk mitigation are discussed in the life insurance industry. The chapter also discusses the utility of monitoring of risks and reporting.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121326807","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
Peer Preference and Asset-Liability Management in InsurTech Market 保险科技市场的同业偏好与资产负债管理
Risk Management eJournal Pub Date : 2021-07-16 DOI: 10.2139/ssrn.3888113
C. Deng, Xizhi Su, Chao Zhou
{"title":"Peer Preference and Asset-Liability Management in InsurTech Market","authors":"C. Deng, Xizhi Su, Chao Zhou","doi":"10.2139/ssrn.3888113","DOIUrl":"https://doi.org/10.2139/ssrn.3888113","url":null,"abstract":"Technology advances have enhanced competition in insurance industry. This paper investigates a class of dynamic asset and liability management(ALM) game among mean-variance insurers with relative log return performance. We obtain the unique explicit time-consistent equilibrium ALM strategies for both the finite non-zero-sum game and mean field game, respectively. The results show that competition leads the increases of insurers’ risky asset investment and the insurance liability. The equilibrium solution implies that “social util- ity”(relative concerns) leads to “social learning”(herd effect) in the complete information market. In particular, the peer relative concern can induce preference interaction. Finally, we find the Granger causal relationship between industry competition and herd behavior in the empirical data and conduct sensitivity analysis of the competition outcome with respect to the estimated risk parameters.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128205134","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 Enterprise Risk Management 风险管理与企业风险管理
Risk Management eJournal Pub Date : 2021-07-16 DOI: 10.2139/ssrn.3891339
Sonjai Kumar
{"title":"Risk Management and Enterprise Risk Management","authors":"Sonjai Kumar","doi":"10.2139/ssrn.3891339","DOIUrl":"https://doi.org/10.2139/ssrn.3891339","url":null,"abstract":"This article discusses the differences between risk management and enterprise risk management. Though the concept of risk management is very old, almost as old as the beginning of human existence the concept of ERM is new around two decades old. The importance of enterprise risk management increased over the period of time due to various crises and the emergence risk based capital in the banking and insurance industry. The article discusses the various factors necessary for the success of enterprise risk management.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"256 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134426466","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
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