financial risk journal

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We argue that increasing international diversity in the boardroom improves both the quantity and quality of the information exchange between insiders and shareholders, thereby reducing adverse selection costs. Based on … Journal of Financial Risk Management (JFRM) is an open access journal published quarterly. The book does include a chapter on operational risk, but it focuses squarely on financial institutions. The outbreak of the SARS-CoV-2 pandemic will cause the market development to be slower than the model’s forecast, although the data for the first nine months of 2020 suggest that the upward trend will be maintained. Gain insight into the regulatory background, impact tolerances, scenario test…. View aims and scope. Financial risk management is the practice of protecting economic value in a firm by using financial instruments to manage exposure to risk: operational risk, credit risk and market risk, foreign exchange risk, shape risk, volatility risk, liquidity risk, inflation risk, business risk, legal risk, reputational risk, sector risk etc. We deploy three types of models throughout our experiments: (i) the Susceptible-Infective-Removed (SIR) that predicts the infections’ peak on 2020-03-27; (ii) volatility (GARCH), correlation (DCC), and risk-management (Value-at-Risk (VaR)) models that relate how bears painted Wall Street red; and, (iii) data-science trees algorithms with forward prunning, mosaic plots, and Pythagorean forests that crunch the data on confirmed, deaths, and recovered Covid-19 cases and then tie them to high-frequency data for 31 stock markets. In this paper, the possibility of using fundamental weighting as a tool to intentionally tilt a portfolio toward specific and unobservable risk factors in the illiquid and undeveloped Croatian stock market is explored. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on. This white paper discusses the potential impact of UMR on portfolios, profitability, strategy and resource. … Inflation has a negative impact on FDI flow regulations, which are aimed to promote private sector development is negatively related to FDI intensity. Furthermore, financial risk has declined over the last 3 decades, indicating that any upward trend in equity volatility was driven entirely by economic risk factors. Today, international tourism is one of the most affected sectors of the economy due to the global COVID-19 pandemic. When a company … You need to sign in to use this feature. Operational disruptions are becoming an everyday occurrence and financial firms need to be resilient against such crises. The journal publishes research relevant to banks and insurance companies, asset management companies, and non-financial corporations. Forward-looking financial risk management and the housing market in the United Kingdom: is there a role for sentiment indicators? Only two paragraphs address operational risk for nonfinancial institutions. In order to reach this objective, we use the method of description and comparison of opinions of various authors, the analysis of the research questionnaire into the impact of marketing communication of sustainable fashion houses on consumers from Generations Y and Z and its comparison with previous research for the last three years. Financial risk is caused due to market movements and market movements can include a host of factors. In addition, the short-run coefficients of the variables reveal that size, interest coverage, and liquidity have a positive and significant causal relationship with bank deposit rate in the short-run. In this paper, the possibility of using fundamental weighting as a tool to intentionally tilt a portfolio toward specific and unobservable risk factors in the illiquid and undeveloped Croatian stock market is explored. The main objective of the research is, through the opinions of selected authors and their studies, to compare the results of our own research focusing on Generations Y and Z and dealing with marketing communication of sustainable fashion. Risk Journals deliver academically rigorous, practitioner-focused content and resources for the rapidly evolving discipline of financial risk management. It was determined that the fuzzy sets methodology has an advantage in the conditions of instability of financial markets and optimizes the search for attractive corporate property for investment. The Journal of Credit Risk is at the forefront in tackling the many issues and challenges posed by the recent financial crisis, focusing on the measurement and management of credit risk, the valuation and hedging of credit products, and the promotion of greater understanding in the area of credit risk … Here, we analyze the underlying mechanisms of three agent-based models explaining these stylized facts in terms of market instabilities and compare them on empirical grounds. We find that all indicators reliably predict market events on simulated data and clearly distinguish the different models. Of particular note is the finding that the proportion of foreign directors on the board correlates negatively with debt structure. The Polish corporate bond market does not have a history as long as the American one, however, it is characterized by stable annual growth. The main aim of this paper was to investigate the impact of bank characteristics on capital structure empirically. View editorial board. Financial risk includes the problems that an investment firm creates for itself or others as a result of its financial condition (see Figure 2.2.3).In particular, this kind of risk occurs when a firm has insufficient financial … The debate on expanding the pool of comparable euro area assets focuses on “safe assets”, often on various combinations of government bonds, most of which would not entail a strong increase in euro VHQLA. We propose a nonparametric estimation approach which does not involve smoothing and thus is free of the bandwidth choice. … The FDI, macroeconomic and risk data were sourced from the Federal Reserve Economic Data (FRED) database. During financial crises, liquidity tends to become scarce, a problem that disproportionately affects small companies. JRFM was … Financial risk tolerance is a ubiquitous phrase commonly used among financial advisers.When used broadly, financial risk tolerance is sometimes used as a catchall for many risk-related concepts. About the Journal of Financial Crises The Journal of Financial Crises (JFC) is an online publication of the Yale Program on Financial Stability (YPFS), the mission of which is to create, preserve, and disseminate knowledge about financial crises. Moreover, for the market to continue to thrive, a rating must be compulsory for corporate bond issuers. Financial risk is any of various types of risk associated with financing, including financial transactions that include company loans in risk of default. To use this feature you will need an individual account. This telethon will cover four key themes across three hours of discussion, broken into a range of formats – but t…, On December 9th, join the debate with industry experts to discuss the implications of the EU bond issuance, how it impacts derivatives market, and what opportunities and challenges a relatively fa…. The results of this empirical analysis support the proposed hypothesis. FDI activity by firms tend to be lower when corruption levels are higher in the country. Despite constantly growing environmental awareness, we are still facing the issue of overconsumption in both the textile and fashion industries. Evidence from scenario building, The econophysics of asset prices, returns and multiple expectations, Estimating the contagion effect through the portfolio channel using a network approach, Interdependencies in the euro area derivatives clearing network: a multilayer network approach, California Privacy Rights – Do not sell my information. The article substantiates the use of the fuzzy set approach to assess corporate investment decisions as the most effective in terms of risk and uncertainty. This paper assesses the main effects of such a proposal on banks under different possible scenarios. The paper also demonstrates that when used in conjunction with a complementary currency system such as mutual credit as a liquidity source the effectiveness of obligation-clearing can be doubled. These models will provide an opportunity to generate reliable forecasts, which will allow timely identification of potential threats and making effective decisions to address them. Thus far, fundamental-weighting has been shown to be able to outperform the cap-weighted index in such environments but no attempt regarding control for implicit factor exposure of such portfolios has been reported. Now in its twenty-first year, the Risk Journals portfolio serves, broad and international readership communities that bridge academia and industry. Such an asset would also be very beneficial during crisis periods, such as the current COVID19 crisis, by allowing banks to transform mortgages into very high quality liquid assets that can be used for funding and as a collateral in operations with the Eurosystem, thus enhancing the possible credit to sustain small and medium-sized enterprises (SMEs). Here, we analyze the underlying mechanisms of three agent-based models explaining these stylized facts in terms of market instabilities and compare them on empirical grounds. The paper concludes by outlining recommendations for how even greater savings could be achieved by including the tax authority as another node in the obligation network. Sessions include AI in the Ibor transition, fallback provisions, and impacts on risk management. Journal of Risk and Financial Management (ISSN 1911-8074; ISSN 1911-8066 for printed edition) is an international peer-reviewed open access journal on risk and financial management. Forecasts indicate that the growth will continue. Previous attempts focusing purely on portfolio risk reduction by estimating minimum variance portfolios failed both from an in-sample and out-of-sample perspective. It encapsulates the practices, procedures, and policies that will be used as guidelines on the acceptability of financial … However, out-of-sample testing yielded poor results both in terms of risk and return. These instruments are also relevant from the point of view of risk mitigation for lenders, based in part on the information on individual companies that the mutual credit circuit manager can provide to banks (upon the circuit member’s request) and in part on the relief that liquidity-saving provides especially to NPL companies. Managing Editor: G. William Schwert. View aims and scope Guide for authors. Financial Accounting & Reporting - The latest news about Financial Accounting & Reporting from the WSJ Risk & Compliance Journal Blog. In contrast, a systematic comparison on the stocks of the Forbes 500 companies shows a markedly lower performance. The types of control maps for each of the coefficients that have a significant impact on the assessment of the financial stability of the enterprise in the service sector were identified. Financial risk is the possibility of losing money on an investment or business venture. We focus on the factors that lead the firm to select the zero-debt policy. Please note that many of the page functionalities won't work as expected without javascript enabled. It also predicts that firms that are farther away from their target capital structures are less likely to select the zero-debt policy when compared to firms that are close to their target levels. By the end of 2021, the global rates market needs to be ready for the death of Libor. It covers the topic such as alternative risk-transfer mechanisms, Capital structure and credit-arbitrage methods, Commercial insurance and reinsurance, Derivatives and structured financial products, Financial market regulation, Investing in various financial markets and instruments, effective management of financial, operational, and business risk, Risk and performance management and measurement, Risk management processes, Risk modelling, and Risk … Sustainability and corporate social responsibility have today become key assets of many successful businesses and corporations. Both the borrowing (leverage) ratio and equity ratio used in the analysis cover short-term deposits and long-term deposits as a fundamental determinant variable on the capital structure. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis Federal Reserve Board. Financial risks present the possibility of losses primarily from credit risks related to various sources … Barriers to Financial Innovation—Corporate Finance Perspective, Barriers to Green Entrepreneurship: An ISM-Based Investigation, Enterprise Risk Management: A Literature Review and Agenda for Future Research, The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market, This study uses the hidden Markov model (HMM) to identify different market regimes in the US stock market and proposes an investment strategy that switches factor investment models depending on the current detected regime. The findings of the study are in line with the results of capital structure theories, especially the hierarchy theory and balancing theory. At the same time, the issues of managing information support of economic entities in the field of international tourism need to be further developed in order to reduce risks. The statements, opinions and data contained in the journal Journal of Risk and Financial Management are solely those of the individual authors and contributors and not of the publisher and the editor(s). The study analyzes the impact of macroeconomic, governance and risk factors on foreign direct investment (FDI) intensity with respect to the US market during the period 1960–2019. About the Journal Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not … The debate on expanding the pool of comparable euro area assets focuses on “safe assets”, often on various combinations. In other words, big banks use more foreign sources than small banks to use the tax shield advantage. We develop a theoretical model based on several theories, mainly pecking order theory and theory of information economics, as well as on theoretical arguments provided by economic sociology and psychology to investigate for the first time the impact of the presence of a foreign board member on capital structure. © Infopro Digital Risk (IP) Limited (2020). Foreign Direct Investment – Under the Sign of Profit or Sustainable Development? Control maps were constructed for each coefficient, which are part of the integrated indicator of financial stability, and their analysis was carried out for the presence of special reasons for the variability of the process of financial stability assessment. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on the density of the sizes of claims. It also helps to explain why zero-debt firms often pay higher dividends when compared to other firms. IJFERM is a scholarly peer-reviewed international journal covering all aspects of the theory and practice of financial engineering and risk management. Financial Risk Management for Management Accountants Published by The Society of Management Accountants of Canada, the American Institute of Certified Public Accountants and The Chartered … This is mainly due to improper marketing. Second, we introduce three different indicators to predict those onsets. Financial Risk. We then back-tested our model on out-of-sample historical data from September 2017 to April 2020 and found that it both delivers higher absolute returns and performs better than each of the individual factor models according to traditional portfolio benchmarking metrics. For example, it predicts that firms with zero-debt policy should be influenced by free cash flow considerations more than by bankruptcy cost considerations. A comparison of the ratings of individual issuers enables investors to analyze the risk and profitability of corporate bonds in an easier way. The method of managing the corporate property portfolio in order to reduce the level of risk was optimized in the research, based on differentiated and portfolio approaches: the differentiated approach is used when considering corporate property as a set of individual elements that determine self-management; the portfolio one is used under the condition of combining corporate property in the management portfolio. Sustainability and corporate social responsibility have today become key assets of many successful businesses and corporations. The growth of the market is related to the growth of its liquidity and is determined by a number of entities, both on the demand and the supply side. ISSN: 0972-916X A 'peer reviewed' journal indexed on Cabell's Directory, and also distributed by EBSCO and Proquest Database It is a quarterly journal that focuses on identifying Financial risk in Capital/Debt/Forex markets and their management models; Derivatives as Price Discovery Tools and Hedging devices; Hedging techniques; Asset-liability management; Organizational culture, Risk … On the in-sample estimation basis, the proposed approach significantly improves the portfolio’s performance and, if restrictions to weights are imposed, it can outperform the cap-weighted benchmark. The perception of the effectiveness of a government’s commitment towards the quality of public and civil services is directly related to FDI investment. Companies are registered in England and Wales with company registration numbers 09232733 & 04699701. The goal of this journal is to provide a platform for scientists and academicians all over the world to promote, share, and discuss various new issues and developments in all areas of financial risk … Each quarter Risk Journals contain peer-reviewed … The Polish corporate bond market does not have a history as long as the American one, however, it is characterized by stable annual growth. The higher the governance perception in terms of voice and accountability of citizens, the greater the propensity to attract FDI. The concept of modeling a system for assessing the financial stability of service enterprises is developed in the article, which is based on the collection of financial data, a comprehensive analysis of factors influencing the financial condition, a study of the controllability of the process of assessing financial stability, building a model of an integral indicator of financial stability, and its program implementation. Often it is understood to include only downside risk, … Each quarter Risk Journals contain peer-reviewed research and technical papers, delivered to a global audience in print and online. The main purpose of this article is to analyze current trends and identify prospects for the international tourism development in the context of increasing globalization risks in the world, using the example of Ukraine’s integration into the global tourism industry, as Ukraine is located in the centre of Europe and belongs to a number of countries with developing economies, and has the potential to expand its tourism industry, which may be of interest to the international scientific community in terms of overcoming the bifurcation point of its economic development. In addition, the model generates new empirical predictions that have not yet been tested. The statements, opinions and data contained in the journals are solely Each of the three indicators is derived from and tailored to one of the models, namely quantifying information content, critical slowing down or market risk perception. (This article belongs to the Special Issue, The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. This is in contrast to most traditional signalling literature where debt serves as a signal of quality. The aim is to increase substantially the outstanding amount of euro VHQLA. Compared with the Fourier-transformation-based estimators, our estimators have simpler forms and thus are easier to calculate. We build a model of debt for firms with investment projects, for which flexibility and free cash flow problems are important issues. We find that all indicators reliably predict market events on simulated data and distinguish... 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