Risk Management eJournal最新文献_第7页

Leveraging Multi-Source Heterogeneous Data for Financial Risk Prediction: A Novel Hybrid-Strategy-Based Self-Adaptive Method 利用多源异构数据进行金融风险预测:一种新的基于混合策略的自适应方法

Risk Management eJournal Pub Date : 2021-01-09 DOI: 10.25300/misq/2021/16118

Gang Wang, Gang Chen, Huimin Zhao, Feng-xin Zhang, Shanlin Yang, Tian Lu

{"title":"Leveraging Multi-Source Heterogeneous Data for Financial Risk Prediction: A Novel Hybrid-Strategy-Based Self-Adaptive Method","authors":"Gang Wang, Gang Chen, Huimin Zhao, Feng-xin Zhang, Shanlin Yang, Tian Lu","doi":"10.25300/misq/2021/16118","DOIUrl":"https://doi.org/10.25300/misq/2021/16118","url":null,"abstract":"Emerging phenomena of ubiquitous multisource data offer promising avenues for making breakthroughs in financial risk prediction. While most existing methods for financial risk prediction are based on a single information source, which may not adequately capture various complex factors that jointly influence financial risks, we propose a hybrid-strategy-based self-adaptive method to effectively leverage heterogeneous soft information drawn from a variety of sources. The method uses a proposed new feature- sparsity learning method to adaptively integrate multisource heterogeneous soft features with hard features and a proposed improved evidential reasoning rule to adaptively aggregate base classifier predictions, thereby alleviating both the declarative bias and the procedural bias of the learning process. Evaluation in two cases at the individual level (concerning borrowers at a P2P lending platform) and the company level (concerning listed companies in the Chinese stock market) showed that, compared with relying solely on hard features, effectively incorporating multisource heterogeneous soft features using our proposed method enabled earlier prediction of financial risks with desirable performance.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125989044","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

Deep Learning for Disentangling Liquidity-Constrained and Strategic Default 深度学习解决流动性约束和战略违约问题

Risk Management eJournal Pub Date : 2020-12-26 DOI: 10.2139/ssrn.3755672

A. Bandyopadhyay, Yildiray Yildirim

引用次数: 5

Calculation of Sensitivities for FRTB Standardized Approach FRTB标准化方法灵敏度的计算

Risk Management eJournal Pub Date : 2020-12-23 DOI: 10.2139/ssrn.3764941

J. Zhan

引用次数: 3

Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis COVID-19危机期间加密货币市场的尾部风险网络效应

Risk Management eJournal Pub Date : 2020-12-22 DOI: 10.2139/ssrn.3753421

Rui Ren, Michael Althof, W. Härdle

引用次数: 5

It’s Not Time To Make a Change: Sovereign Fragility and the Corporate Credit Risk 现在还不是改变的时候:主权脆弱性和企业信用风险

Risk Management eJournal Pub Date : 2020-12-14 DOI: 10.2139/ssrn.3785620

F. Fornari, Andrea Zaghini

引用次数: 2

Mutual Risk Sharing and Fintech: The Case of Xiang Hu Bao 风险共担与金融科技:以湘湖宝为例

Risk Management eJournal Pub Date : 2020-12-08 DOI: 10.2139/ssrn.3781998

Hanming Fang, X. Qin, Wenfeng Wu, Tong Yu

{"title":"Mutual Risk Sharing and Fintech: The Case of Xiang Hu Bao","authors":"Hanming Fang, X. Qin, Wenfeng Wu, Tong Yu","doi":"10.2139/ssrn.3781998","DOIUrl":"https://doi.org/10.2139/ssrn.3781998","url":null,"abstract":"Xiang Hu Bao (XHB), meaning 'mutual treasury' in Chinese, is a novel online mutual aid platform operated by Alibaba's Ant Financial to facilitate mutual risk sharing of critical illness exposures. XHB reached nearly 100 million members in less than one year since its launch and so far has offered its members critical illness protections at significantly lower cost than traditional critical illness insurance. There are three major distinctions between XHB and traditional insurance products. First, XHB leverages the tech giant's platform and digital technology to lower enrollment and claim processing costs. Second, different from insurance applying sophisticated actuarial pricing models, XHB collects no premiums ex ante from members, but instead equally allocates indemnities and administrative costs among participants after each claims period. Third, XHB limits coverage amount, often below critical illness insurance products, particularly for older participants. We show this restriction potentially leads to separating equilibrium, a la Rothschild-Stiglitz, where low-risk individuals enroll in XHB while high-risk individuals purchase critical illness insurance. Data shows that the incidence rate of the covered illness among XHB members is well below that of comparable critical illness insurance. Our findings further suggest the role of advantageous selection in explaining the cost advantages of the Fintech-based mutual aid programs.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129785591","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

Do Multiple Credit Ratings Reduce Money Left on the Table? Evidence from U.S. IPOs 多重信用评级会减少剩余资金吗?来自美国ipo的证据

Risk Management eJournal Pub Date : 2020-12-01 DOI: 10.2139/ssrn.3358474

M. Goergen, D. Gounopoulos, Panagiotis Koutroumpis

引用次数: 6

Pension Regulation, Firm Borrowing, and Investment Risk 养老金监管、企业借贷与投资风险

Risk Management eJournal Pub Date : 2020-12-01 DOI: 10.1111/jori.12299

Margaret J. Lay

引用次数: 1

Feeling the Heat: Climate Shocks and Credit Ratings 感受热度:气候冲击和信用评级

Risk Management eJournal Pub Date : 2020-12-01 DOI: 10.5089/9781513564548.001.A001

Serhan Cevik, J. Jalles

引用次数: 16

Multi-portfolio Optimization: A Fairness-aware Target-oriented Model 多投资组合优化:一个具有公平性意识的目标导向模型

Risk Management eJournal Pub Date : 2020-12-01 DOI: 10.2139/ssrn.3740629

G. Yu, Xiaoqiang Cai, Daniel Zhuoyu Long, Lianmin Zhang

{"title":"Multi-portfolio Optimization: A Fairness-aware Target-oriented Model","authors":"G. Yu, Xiaoqiang Cai, Daniel Zhuoyu Long, Lianmin Zhang","doi":"10.2139/ssrn.3740629","DOIUrl":"https://doi.org/10.2139/ssrn.3740629","url":null,"abstract":"We consider a multi-portfolio optimization problem where nonlinear market impact costs result in a strong dependency of one account's performance on the trading activities of other accounts. We develop a novel target-oriented model that jointly optimizes the rebalancing trades and split of market impact costs. The key advantages of our proposed model include the consideration of clients' targets on investment returns and the incorporation of distributional uncertainty. The former helps the fund manager circumvent the difficulty in identifying clients' utility functions or risk parameters, while the latter addresses a practical challenge that the probability distributions of risky asset returns cannot be fully observed. Specifically, to evaluate multiple portfolios' investment payoffs achieving their targets, we propose a new type of performance measure, called the fairness-aware multi-participant satisficing (FMS) criterion. This criterion can be extended to encompass the distributional uncertainty and has the salient feature of addressing the fairness issue with the collective satisfaction level as determined by the least satisfied participant. We find that, structurally, the FMS criterion has a dual connection with a set of risk measures. For multi-portfolio optimization, we consider the FMS criterion with conditional value-at-risk, a popular risk proxy in financial studies, being the underlying risk measure to further account for the magnitude of shortfalls against targets. The resulting problem, although non-convex, can be solved efficiently by solving an equivalent converging sequence of tractable subproblems. The numerical study shows that our approach outperforms utility-based models in achieving targets and is more robust in out-of-sample performance.","PeriodicalId":306152,"journal":{"name":"Risk Management eJournal","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129545097","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