Search Results - S.I.: Recent Developments in Financial Modeling and Risk Management

Preface: recent developments in financial modelling and risk management by Cerqueti, Roy, D’Ecclesia, Rita Laura, Levantesi, Susanna

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Organizational and Financial Modeling of Transnational Industrial Clusters Sustainable Development: Experience, Risks, Management Innovation by Andreeva, O.V., Shevchik, E.V.

“…The article is devoted to a research of current trends and priorities of organizational and financial modeling of sustainable development…”
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Developing a Process-Oriented Notation for Modeling Operational Risks - A Conceptual Metamodel Approach to Operational Risk Management in Knowledge Intensive Business Processes within the Financial Industry by Weiss, Burkhard, Winkelmann, Axel

“… Operational risks in banks are closely linked to the underlying business process landscape. Recently, researchers have suggested to model this process landscape in banks with new semantic business process modeling approaches…”
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Crypto price discovery through correlation networks by Giudici, Paolo, Polinesi, Gloria

“…We aim to understand the dynamics of crypto asset prices and, specifically, how price information is transmitted among different bitcoin market exchanges, and…”
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Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation by Norton, Matthew, Khokhlov, Valentyn, Uryasev, Stan

“…Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quantile, are frequently used to characterize the tails of probability distributions and are popular measures of risk in applications…”
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Trimmed fuzzy clustering of financial time series based on dynamic time warping by D’Urso, Pierpaolo, De Giovanni, Livia, Massari, Riccardo

“… In this paper by adopting a fuzzy approach and using the Partitioning Around Medoids strategy, we suggest to cluster multivariate financial time series by considering the dynamic time warping distance…”
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Detecting bubbles in Bitcoin price dynamics via market exuberance by Cretarola, Alessandra, Figà-Talamanca, Gianna

“…Empirical evidence suggests the presence of bubble effects on Bitcoin price dynamics during its lifetime, starting in 2009. Previous research, mostly…”
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Modelling tail risk with tempered stable distributions: an overview by Fallahgoul, Hasan, Loeper, Gregoire

“… (financial asset returns). First, we define and discuss the properties of stable and tempered stable random variables…”
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Asset allocation: new evidence through network approaches by Clemente, Gian Paolo, Grassi, Rosanna, Hitaj, Asmerilda

“…The main contribution of the paper is to unveil the role of the network structure in the financial markets to improve the portfolio selection process, where nodes indicate securities and edges capture…”
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Systemic risk assessment through high order clustering coefficient by Cerqueti, Roy, Clemente, Gian Paolo, Grassi, Rosanna

“…In this article we propose a novel measure of systemic risk in the context of financial networks…”
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Modeling the flow of information between financial time-series by an entropy-based approach by Benedetto, F., Mastroeni, L., Vellucci, P.

“…Recent literature has been documented that commodity prices have become more and more correlated with prices of financial assets…”
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Forecasting bankruptcy using biclustering and neural network-based ensembles by du Jardin, Philippe

“… In the second case, it assumes that any financial situation that can lead to failure is the same for all firms…”
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Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy by Benedetti, Davide, Biffis, Enrico, Chatzimichalakis, Fotis, Fedele, Luciano Lilloy, Simm, Ian

“… what we call Smart Carbon Portfolios. We find that investors could reduce ex-post risk by lowering the weightings of some fossil fuel stocks with corresponding higher weightings in lower-risk fossil fuel stocks and/or in…”
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Fused Lasso approach in portfolio selection by Corsaro, Stefania, De Simone, Valentina, Marino, Zelda

“…In this work we present a new model based on a fused Lasso approach for the multi-period portfolio selection problem in a Markowitz framework. In a…”
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Enterprise risk management and economies of scale and scope: evidence from the German insurance industry by Altuntas, Muhammed, Berry-Stölzle, Thomas R., Cummins, J. David

“…Enterprise risk management (ERM) is the approach of managing all risks faced by an enterprise in an integrated, holistic fashion…”
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Minimum Rényi entropy portfolios by Lassance, Nathan, Vrins, Frédéric

“… In this paper, we tackle this problem by assessing the risk of the portfolio through the “amount of randomness…”
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Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach by Dhesi, Gurjeet, Shakeel, Bilal, Ausloos, Marcel

“… Subsequently an auto-regressive analysis on these parameters advances the modelling and forecasting of kurtosis and returns distributions, providing the accurate shape of returns distributions…”
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Regulatory Implications of the Supervision and Management of Liquidity Risk: An Analysis of Recent Developments in Spanish Financial Institutions by Mariscal-Cáceres, Juan, Cristófol-Rodríguez, Carmen, Cerdá-Suárez, Luis Manuel

“…The aim of this paper is to analyze the evolution of bank liquidity regulations, considering the global regulatory framework applicable to financial institutions, from the beginning of the banking…”
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The value of knowing the market price of risk by Colaneri, Katia, Herzel, Stefano, Nicolosi, Marco

“…We study an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk…”
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Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system by Devolder, Pierre, Levantesi, Susanna, Menzietti, Massimiliano

“… Despite many appealing features, the NDC system presents some drawbacks: first, it is vulnerable to demographic and economic shocks compromising the financial sustainability…”
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