作者:Andrea Quintiliani
来源:[J].The Journal of Risk Finance, 2017, Vol.18 (5), pp.564-580Emerald
摘要:This paper aims to propose a theoretical model designed to predict the likelihood of financial distress of an enterprise and to quantify the damages whenever the financial crisis became full-blown.;;Coherently with the objectives of the paper, the analysis considers the last...
作者:Andreas Behr , Jurij Weinblat
来源:[J].The Journal of Risk Finance, 2017, Vol.18 (5), pp.523-540Emerald
摘要:The purpose of this paper is to do a performance comparison of three different data mining techniques.;;Logit model, decision tree and random forest are applied in this study on British, French, German, Italian, Portuguese and Spanish balance sheet data from 2006 to 2012, which c...
作者:Alex Paseka , Aerambamoorthy Thavaneswaran
来源:[J].The Journal of Risk Finance, 2017, Vol.18 (5), pp.541-563Emerald
摘要:Recently, Stein et al. (2016) studied theoretical properties and parameter estimation of continuous time processes derived as solutions of a generalized Langevin equation (GLE). In this paper, the authors extend the model to a wider class of memory kernels and then propose a...
作者:Chen-Ying Lee
来源:[J].The Journal of Risk Finance, 2017, Vol.18 (5), pp.486-499Emerald
摘要:The purpose of this study is to analyze product diversification, business structure and insurer performance with a comprehensive look at the property-liability (P/L) insurance operations.;;Using a panel data, this study employs an ordinary least squares regression model, fix...
作者:Martin F. Grace , Jannes Rauch , Sabine Wende
来源:[J].The Journal of Risk Finance, 2017, Vol.18 (5), pp.500-522Emerald
摘要:The authors aim to analyze the impact of monetary policy interventions during the financial crisis of 2007-2009 on the stock prices of US insurance firms.;;The authors use an event study methodology and a database of 89 policy announcements to analyze if monetary policy inte...
作者:Ghassen Nouajaa , Jean-Laurent Viviani
来源:[J].The Journal of Risk Finance, 2017, Vol.18 (5), pp.581-600Emerald
摘要:The purpose of this paper is to investigate whether CEO compensation scheme may induce some agency conflicts in the foreign exchange risk hedging policy.;;Residual exposure is a post-hedging variable computed as the ratio of unrealized foreign exchange risk gains/losses to i...
作者:Hannes Köster , Matthias Pelster
来源:[J].The Journal of Risk Finance, 2018, Vol.19 (2), pp.154-173Emerald
摘要:Purpose(#br)The purpose of this paper is to analyze the impact of financial penalties on the stability of the banking sector. (#br)Design/methodology/approach(#br)A unique database of 671 financial penalties imposed on 68 international listed banks between 2007 and 2014 and ...
作者:Paolo Tasca , Adam Hayes , Shaowen Liu
来源:[J].The Journal of Risk Finance, 2018, Vol.19 (2), pp.94-126Emerald
摘要:Purpose(#br)This paper aims to gather together the minimum units of users’ identity in the Bitcoin network (i.e. the individual Bitcoin addresses) and group them into representations of business entities, what we call “super clusters”. While these clusters can remain la...
作者:Udo Klotzki , Alexander Bohnert , Nadine Gatzert ...
来源:[J].The Journal of Risk Finance, 2018, Vol.19 (2), pp.190-207Emerald
摘要:Purpose(#br)Due to the continuing low interest rate environment as well as the increase in acquisition costs, price transparency, cost transparency and competition with banks, the cost of life insurance becomes increasingly important for customers, insurers and shareholders....
作者:Stavros Stavroyiannis
来源:[J].The Journal of Risk Finance, 2018, Vol.19 (2), pp.127-136Emerald
摘要:Purpose(#br)The purpose of this paper is to examine the value-at-risk and related measures for the Bitcoin and to compare the findings with Standard and Poor’s SP500 Index, and the gold spot price time series. (#br)Design/methodology/approach(#br)A GJR-GARCH model has been i...


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