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On the Risk-Based Contagion of G7 Banking System and the COVID-19 Pandemic 七国集团银行体系风险传染与新冠肺炎疫情研究
Risk Management eJournal Pub Date : 2021-03-15 DOI: 10.2139/ssrn.3805120
Paulo Rogério Matos, Antonio Costa, Cristiano da Silva
{"title":"On the Risk-Based Contagion of G7 Banking System and the COVID-19 Pandemic","authors":"Paulo Rogério Matos, Antonio Costa, Cristiano da Silva","doi":"10.2139/ssrn.3805120","DOIUrl":"https://doi.org/10.2139/ssrn.3805120","url":null,"abstract":"We revisit the discussion on banking system contagion by proposing a risk-based empirical analysis during the current pandemic period. We use daily returns on G7 banking sector indices from 1 January 2015 to 31 December 2019 (pre-pandemic), and from 1 January 2020 to 16 October 2020 (pandemic). Based on the dissimilarities, the pandemic has intensified banking contagion. Frequency-based Granger causality is useful to tell the history of the pass-through of this health crisis across G7 banking sectors. We highlight the increase in the predictive relevance of Italian banking cycles during the pandemic. VaR ratio analysis, considering 21 possible pairwise combinations with the G7 financial indices, suggests a stronger contagion between banking systems. The greatest contagion is evident in the Italian and French banking systems, countries severely affected by deaths by COVID-19, while we find less contagion between Japan and Germany, countries least affected by the first wave of COVID-19.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114504912","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: 6
Estimating and Testing Skewness in a Stochastic Volatility Model 随机波动模型偏度的估计与检验
Risk Management eJournal Pub Date : 2021-03-09 DOI: 10.2139/ssrn.3862981
C. Lee, K. Kang
{"title":"Estimating and Testing Skewness in a Stochastic Volatility Model","authors":"C. Lee, K. Kang","doi":"10.2139/ssrn.3862981","DOIUrl":"https://doi.org/10.2139/ssrn.3862981","url":null,"abstract":"In this paper we propose a novel approach to estimating and testing skewness in a stochastic volatility (SV) model. Our key idea is to replace a normal return error in the standard SV model with a split normal error. We show that this simple variation in the model brings about two large computational advantages. First, the SV can be simulated fast and efficiently using a one-block Gibbs sampling technique. Second, more importantly, this is the first to provide a marginal likelihood calculation method to formally test the skewness and SV in a Bayesian framework. We subsequently demonstrate the efficiency and reliability of our posterior sampling and model comparison methods through a simulation study. The simulation study results also show that neglecting skewness leads to inaccurate SV estimates and conditional expected returns. Our empirical applications to daily stock return data also show strong evidence of negative skewness.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"105 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128371235","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
Shapley Lorenz Values for Artificial Intelligence Risk Management 人工智能风险管理的Shapley Lorenz值
Risk Management eJournal Pub Date : 2021-03-08 DOI: 10.2139/ssrn.3800243
N. Bussmann, Roman Enzmann, Paolo Giudici, E. Raffinetti
{"title":"Shapley Lorenz Values for Artificial Intelligence Risk Management","authors":"N. Bussmann, Roman Enzmann, Paolo Giudici, E. Raffinetti","doi":"10.2139/ssrn.3800243","DOIUrl":"https://doi.org/10.2139/ssrn.3800243","url":null,"abstract":"A trustworthy application of Artificial Intelligence requires to measure in advance its possible risks. When applied to regulated industries, such as banking, finance and insurance, Artificial Intelligence methods lack explainability and, therefore, authorities aimed at monitoring risks may not validate them. To solve this issue, explainable machine learning methods have been introduced to \"interpret\" black box models. Among them, Shapley values are becoming popular: they are model agnostic, and easy to interpret. However, they are not normalised and, therefore, cannot become a standard procedure for Artificial Intelligence risk management. This paper proposes an alternative explainable machine learning method, based on Lorenz Zonoids, that is statistically normalised, and can therefore be used as a standard for the application of Artificial Intelligence.<br><br>The empirical analysis of 15,000 small and medium companies asking for credit confirms the advantages of our proposed method.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131557798","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
An Exceedance Probability of Financial Return and Its Application to the Risk Analysis 财务收益超出概率及其在风险分析中的应用
Risk Management eJournal Pub Date : 2021-03-03 DOI: 10.2139/ssrn.3796839
E. Karatetskaya, V. Lakshina
{"title":"An Exceedance Probability of Financial Return and Its Application to the Risk Analysis","authors":"E. Karatetskaya, V. Lakshina","doi":"10.2139/ssrn.3796839","DOIUrl":"https://doi.org/10.2139/ssrn.3796839","url":null,"abstract":"This paper studies a new specification of the autoregressive binary choice model for estimating the exceedance probability of return and its application to the risk management tasks, especially for Value-at-Risk calculation. The author proposed a new parametrization of the volatility equation, which implies the presence of an additional random term. Such a model could not be estimated using the methods of classical statistics; therefore the Bayesian NUTS algorithm was chosen as an appropriate toolkit. Estimated exceedance probabilities were applied in calculating VaR. As a data set, it was taken the daily return of PAO «Sberbank» shares and the one-minute return of the USD-RUB currency pair. The results of VaR estimation were tested for asymptotic convergence to the true value by Engle and Manganelli’s dynamic quantile test.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"27 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132899025","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 Bloomberg Corporate Default Risk Model (DRSK) for Private Firms 彭博私营企业违约风险模型(DRSK)
Risk Management eJournal Pub Date : 2021-03-01 DOI: 10.2139/ssrn.3911330
M. Bondioli, Martin Goldberg, Nan Hu, Chengrui Li, Olfa Maalaoui Chun, Harvey J. Stein
{"title":"The Bloomberg Corporate Default Risk Model (DRSK) for Private Firms","authors":"M. Bondioli, Martin Goldberg, Nan Hu, Chengrui Li, Olfa Maalaoui Chun, Harvey J. Stein","doi":"10.2139/ssrn.3911330","DOIUrl":"https://doi.org/10.2139/ssrn.3911330","url":null,"abstract":"The DRSK private firm model produces estimates of real-world default probabilities (DPs) for private companies. The product covers all firms for which the requisite data is available, providing point in time DP term structures for about 500,000 private firms globally. This year, we are recalibrating the model to account for changes made in the DRSK public firm model. The recalibration includes various enhancements to bring the private model more in alignment with the public model. The new model largely improves accuracy ratios and R-squared values. We describe the new model, analyze its performance and compare it to the previous model.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114214570","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
Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach 将金融大数据纳入小投资组合风险分析:市场风险管理方法
Risk Management eJournal Pub Date : 2021-02-25 DOI: 10.2139/ssrn.3792785
Donggyu Kim, Seunghyeon Yu
{"title":"Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach","authors":"Donggyu Kim, Seunghyeon Yu","doi":"10.2139/ssrn.3792785","DOIUrl":"https://doi.org/10.2139/ssrn.3792785","url":null,"abstract":"When applying Value at Risk (VaR) procedures to specific positions or portfolios, we often focus on developing procedures only for the specific assets in the portfolio. However, since this small portfolio risk analysis ignores information from assets outside the target portfolio, there may be significant information loss. In this paper, we develop a dynamic process to incorporate the ignored information. We also study how to overcome the curse of dimensionality and discuss where and when benefits occur from a large number of assets, which is called the blessing of dimensionality. We find empirical support for the proposed method.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125234380","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
Efficiency or Resiliency? Corporate Choice between FInancial and Operational Hedging 效率还是弹性?财务套期保值与业务套期保值的企业选择
Risk Management eJournal Pub Date : 2021-02-25 DOI: 10.2139/ssrn.3792886
V. Acharya, Heitor Almeida, Y. Amihud, Ping Liu
{"title":"Efficiency or Resiliency? Corporate Choice between FInancial and Operational Hedging","authors":"V. Acharya, Heitor Almeida, Y. Amihud, Ping Liu","doi":"10.2139/ssrn.3792886","DOIUrl":"https://doi.org/10.2139/ssrn.3792886","url":null,"abstract":"We study the corporate choice between financial efficiency and operational resiliency. Firms substitute between saving cash for financial hedging, which mitigates the risk of financial default, and spending on operational hedging, which mitigates the risk of operational default such as a failure to deliver on obligations to customers. This tradeoff is particularly strong for financially constrained firms and results in a positive relationship between operational spread (markup) and financial leverage or credit risk. We present empirical evidence supporting this tradeoff, the effect being pronounced for constrained firms.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"214 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115197561","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: 3
Climate Change Valuation Adjustment (CCVA) Using Parameterized Climate Change Impacts 基于气候变化影响参数化的气候变化价值调整
Risk Management eJournal Pub Date : 2021-02-21 DOI: 10.2139/ssrn.3790098
Chris M. Kenyon, Mourad Berrahoui
{"title":"Climate Change Valuation Adjustment (CCVA) Using Parameterized Climate Change Impacts","authors":"Chris M. Kenyon, Mourad Berrahoui","doi":"10.2139/ssrn.3790098","DOIUrl":"https://doi.org/10.2139/ssrn.3790098","url":null,"abstract":"We introduce Climate Change Valuation Adjustment (CCVA) to capture climate change impacts on XVA that are currently invisible assuming typical market practice. To discuss such impacts on XVA from changes to instantaneous hazard rates we introduce a flexible and expressive parameterization to capture the path of this impact to climate change endpoints, and transition effects. Finally we provide quantification of examples of typical interest where there is risk of economic stress from sea level change up to 2101, and from transformations of business models. We find that even with the slowest possible uniform approach to a climate change impact in 2101 there can still be significant XVA impacts on interest rate swaps of 20 years or more maturity. Transformation effects on XVA are strongly dependent on timing and duration of business model transformation. Using a parameterized approach enables discussion with stakeholders of economic impacts on XVA, whatever the details behind the climate impact.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124518119","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
Black-Box Model Risk in Finance 金融中的黑箱模型风险
Risk Management eJournal Pub Date : 2021-02-09 DOI: 10.2139/ssrn.3782412
Samuel N. Cohen, Derek Snow, L. Szpruch
{"title":"Black-Box Model Risk in Finance","authors":"Samuel N. Cohen, Derek Snow, L. Szpruch","doi":"10.2139/ssrn.3782412","DOIUrl":"https://doi.org/10.2139/ssrn.3782412","url":null,"abstract":"Machine learning models are increasingly used in a wide variety of financial settings. The difficulty of understanding the inner workings of these systems, combined with their wide applicability, has the potential to lead to significant new risks for users; these risks need to be understood and quantified. In this sub-chapter, we will focus on a well studied application of machine learning techniques, to pricing and hedging of financial options. Our aim will be to highlight the various sources of risk that the introduction of machine learning emphasises or de-emphasises, and the possible risk mitigation and management strategies that are available.<br>","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131105173","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: 8
Do Mutual Funds Walk the Talk? A Textual Analysis of Risk Disclosure by Mutual Funds 共同基金言行一致吗?共同基金风险披露的文本分析
Risk Management eJournal Pub Date : 2021-02-08 DOI: 10.2139/ssrn.3757077
Jinfei Sheng, Nan Xu, Lu Zheng
{"title":"Do Mutual Funds Walk the Talk? A Textual Analysis of Risk Disclosure by Mutual Funds","authors":"Jinfei Sheng, Nan Xu, Lu Zheng","doi":"10.2139/ssrn.3757077","DOIUrl":"https://doi.org/10.2139/ssrn.3757077","url":null,"abstract":"Do risk disclosures by mutual funds reflect funds’ actual investment risks? Using textual analysis, we examine risk disclosures in funds’ summary prospectuses to determine whether funds do accurately disclose their risks. We first document the types of risks disclosed by funds and study the relation between fund-disclosed risks and risk factors documented in academic studies. We find that most disclosed risks can be linked to meaningful and well-known academic risk factors. In our main tests, we develop fund-level measures to evaluate the informativeness of funds’ risk disclosure, including risk coverage, conciseness, and uniqueness. Our findings suggest that disclosed risks in general reflect a large proportion of funds’ investment risks but with substantial cross-fund heterogeneity. Younger funds, larger funds, riskier funds, funds with higher expense ratios, and funds with inferior performance tend to make more comprehensive disclosures. Interestingly, we find that funds tend to overdisclose risks; half of the disclosed risks are not significant in explaining the variations in fund returns. Further tests show a negative and significant relation between risk coverage and subsequent fund performance. However, new money flows are not related to risk coverage. Finally, we document some evidence that funds disclose their risks in a timely manner.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115421572","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: 5
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