Technical paper/Risk
The important role of information technology and internal auditing in risk management: evidence from Greece
The authors investigate the value of using information technologies in internal audit, finding that its effective use can help mitigate risks in business operations.
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
Using a vine copula, he authors demonstrate that global systemically important banks face lower credit risk using data from commercial banks based on three risk factors.
Application of the radial basis function in solving an operational risk management model: investigating the probability of bank survival with risk reserves
The authors investigate the probability of bank survival in relation to operational risk and risk reserve and calculate the amount of risk storage necessary to achieve the desired probability of survival.
Locational arbitrage strategies for Shanghai crude futures
The authors investigate crude oil futures introduced on the Shanghai International Energy Exchange in March 2018 and the locational trading strategies they can provide and put forward an example of locational arbitrage hedged against foreign risk.
A theory for combinations of risk measures
This paper investigates combinations of risk measures under no restrictive assumption on the set of alternatives, obtaining results regarding the preservation of properties and acceptance sets for these combinations of risk measures.
Managerial connections and corporate risk-taking: evidence from the Great Recession
Using the the 2007-9 Great Recession as an example, the authors investigate the relationship between managers’ connections, corporate risk-taking and corporate performance during a period of crisis.
A risk-based internal audit methodology for Greek local government organizations
The authors propose a methodology for evaluating possible risks when preparing an audit plan in Greek municipalities, with applicability beyond this area.
Internet financial risk assessment in China based on a particle swarm optimization–analytic hierarchy process and fuzzy comprehensive evaluation
The authors propose a comprehensive evaluation system to index internet financial risk, based on the identification of China's internet financial risk.
Allocating and forecasting changes in risk
This paper considers time-dependent portfolios and discuss the allocation of changes in the risk of a portfolio to changes in the portfolio’s components.
Imbalanced data issues in machine learning classifiers: a case study
The author outlines characteristics of machine learning classifiers, compares methods for dealing with imbalanced data issues, and proposes terms of best practice in model development, evaluation, and validation.
The Compliance Index: a behavioral approach to compliance risk management in the (post-) Covid-19 era
This paper proposes the Compliance Index - a behavioral measurement system for controlling and monitoring the effectiveness of compliance programs to mitigate compliance risk - designed in response to the shift to remote working during the Covid-19…
Dynamic spillover between the crude oil, natural gas and BRICS stock markets
This paper investigates the dynamic spillover between crude oil, natural gas and the stock markets in Brazil, Russia, India, China and South Africa (BRICS).
Future portfolio returns and the VIX term structure
The authors use a measure that captures the expected evolution of risk and generate results supportive of the concept that there are multiple facets within volatility risk that are priced individually.
Expected shortfall model based on a neural network
This paper presents a model that combines ES models based on EVT and neural networks and meets all criteria for the validity of the Basel III standard.
Option pricing using high-frequency futures prices
The authors examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of…
The trade-off between liquidity risk and counterparty risk in money market networks
The authors examine how liquidity is exchanged in different types of Colombian money market networks (ie, secured, unsecured and the central bank’s repurchase networks) as registered in the local financial market infrastructure.
Portfolio allocation based on expected profit and loss measures
The authors formulate the portfolio allocation problem from a trading point of view, allowing both long and short positions and taking trading and interest rate costs into account.
A general framework for the identification and categorization of risks: an application to the context of financial markets
This paper is, to the best of the authors' knowledge, the first to develop an algorithm-based and generally applicable framework that generates an extensive and integrated identification and categorization scheme of certain risks by using text mining and…
Risk measures: a generalization from the univariate to the matrix-variate
This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting.
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.
Optimal foreign exchange hedge tenor with liquidity risk
The authors develop an optimal currency hedging strategy that allows fund managers who own foreign assets to choose the hedge tenors that will maximize their foreign exchange carry returns within a liquidity risk constraint.