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Risks Journal: A Decade of Advancing Knowledge and Shaping the...
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Special Issue "Risks Journal: A Decade of Advancing Knowledge and Shaping the Future"

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: 31 July 2024 | Viewed by 2411

Special Issue Editor

Prof. Dr. Mogens Steffensen

E-Mail Website
Guest Editor
Department of Mathematical Sciences, University of Copenhagen, Universitetsparken 5, Copenhagen Ø, DK-2100 Copenhagen, Denmark
Interests: life insurance mathematics; asset-liability management; optimal asset allocation; personal finance and insurance; stochastic control theory
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

We are delighted to announce the upcoming Special Issue of Risks that will commemorate its remarkable journey over the past ten years. Risks, an open access publication, was founded in 2013 under the visionary leadership of Prof. Dr. Mogens Steffensen from the University of Copenhagen (Denmark). Since its inception, the journal has been dedicated to advancing the field of insurance and financial risk management, providing a platform for cutting-edge research and knowledge exchange.

Since its first publication in 2013, Risks has demonstrated its commitment to open access principles, offering unrestricted access to high-quality research. The journal's efforts were soon recognized when it was indexed by the Emerging Sources Citation Index (ESCI), Web of Science (Clarivate Analytics), in 2015, followed by its indexing by Scopus, Elsevier, in 2018, further amplifying its global reach and impact.

We are thrilled to share that Risks achieved a significant milestone in 2022 with the publication of its 1000th paper, a testament to the growing significance of the journal within the research community. The continuous dedication to excellence resulted in Risks receiving its CiteScore (2022) of 3.1 and its inaugural Impact Factor of 2.2 in 2023.

We are calling for contributions to our Special Issue, “Risks Journal: A Decade of Advancing Knowledge and Shaping the Future,” to celebrate this momentous occasion. We invite researchers, practitioners, and scholars worldwide to submit their original research articles, reviews, and case studies that align with the aims and scope of the Risks journal (https://www.mdpi.com/journal/risks/about).

This Special Issue aims to reflect on the diverse and innovative research that has shaped the field of insurance and financial risk management over the past ten years. By participating in this Special Issue, you can showcase your work to a broad audience of researchers, practitioners, and policymakers worldwide.

We look forward to your valuable contributions and joining us in celebrating a decade of the Risks journal.

Prof. Dr. Mogens Steffensen
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • insurance
  • financial risk management
  • asset pricing
  • statistical modeling
  • insurance finance
  • insurance markets
  • insurance institutions
  • insurance regulation
  • actuarial sciences

Published Papers (4 papers)

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Research

20 pages, 1528 KiB  
Article
Coupled Price–Volume Equity Models with Auto-Induced Regime Switching
by
Manuel L. Esquível
,
Nadezhda P. Krasii
,
Pedro P. Mota
and
Victoria V. Shamraeva
Risks 2023, 11(11), 203; https://doi.org/10.3390/risks11110203 - 17 Nov 2023
Viewed by 448
Abstract
In this work, we present a rigorous development of a model for the Price–Volume relationship of transactions introduced in 2009. For this development, we rely on the precise formulation of diffusion auto-induced regime-switching models presented in our previous work of 2020. The auto-induced [...] Read more.
In this work, we present a rigorous development of a model for the Price–Volume relationship of transactions introduced in 2009. For this development, we rely on the precise formulation of diffusion auto-induced regime-switching models presented in our previous work of 2020. The auto-induced regime-switching models referred to may be based on a finite set of stochastic differential equations (SDE)—all defined on the same bounded time interval—and a sequence of interlacing stopping times defined by the hitting threshold times of the trajectories of the solutions of the SDE. The coupling between price and volume—which we take as a proxy of liquidity—is assumed to be the following: the regime switching in the price variable occurs at the stopping times for which there is a change of region—in the product state space of price and liquidity—for the liquidity variable (and vice versa). The regimes may be defined parametrically—that is, the SDE coefficients keep the same functional form but with varying parameters—or the functional form of the SDE coefficients may change with each regime. By using the same noise source for both the price and the liquidity regime-switching models—volume (liquidity), which, in general, is not a tradable asset—we ensure that despite incorporating information on liquidity, the price part of the coupled model can be assumed to be arbitrage free and complete, allowing the pricing and hedging of derivatives in a simple way. Full article
(This article belongs to the Special Issue Risks Journal: A Decade of Advancing Knowledge and Shaping the Future)
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26 pages, 5597 KiB  
Article
Macroeconomic Risks and Monetary Policy in Central European Countries: Parallels in the Czech Republic, Hungary, and Poland
by
István Ábel
and
Pierre Siklos
Risks 2023, 11(11), 200; https://doi.org/10.3390/risks11110200 - 15 Nov 2023
Viewed by 454
Abstract
Changes in interest rates, inflation, and exchange rates are the main components of macroeconomic risks (financial risks) in projects evaluation. However, the conduct of monetary policy as well as its impact on the economic environment is seldom considered as an important component of [...] Read more.
Changes in interest rates, inflation, and exchange rates are the main components of macroeconomic risks (financial risks) in projects evaluation. However, the conduct of monetary policy as well as its impact on the economic environment is seldom considered as an important component of macroeconomic risks. In this paper, we offer a simple framework to analyze the conduct of monetary policy. We examine the stabilizing properties of monetary policy, its impact, and the parallels in the monetary policy approaches taken in the Czech Republic, Hungary, and Poland until the pandemic. We provide a simple theoretical background to motivate the main elements of the debate and the choice of policy strategy. We then rationalize the adoption of a form of flexible inflation targeting (FIT). It is characterized by an explicit concern over exchange rates. The empirical evidence, consisting of calibrated and extended Taylor rules, together with local projections estimates, suggests that monetary policy has been practiced with considerable flexibility by all three central banks and has contributed to business cycle stabilization in the region. Most notably, the exchange rate plays an important role in the conduct of monetary policy. Full article
(This article belongs to the Special Issue Risks Journal: A Decade of Advancing Knowledge and Shaping the Future)
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17 pages, 2980 KiB  
Article
Discovering Intraday Tail Dependence Patterns via a Full-Range Tail Dependence Copula
by
Lei Hua
Risks 2023, 11(11), 195; https://doi.org/10.3390/risks11110195 - 11 Nov 2023
Viewed by 473
Abstract
In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a [...] Read more.
In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a rally thereafter. We also introduce a model-based unified tail dependence measure to directly model and compare various tail dependence patterns. Using regression analysis of the upper and lower tail dependence simultaneously, we have identified some interesting intraday tail dependence patterns, such as interactions between the upper and lower tail dependence over time among growth and value stocks and in different market regimes. Our results indicate that tail dependence tends to peak towards the end of the regular trading hours, and, counter-intuitively, upper tail dependence tends to be stronger than lower tail dependence for short-term returns during a market sell-off. Furthermore, we investigate how the Fama–French five factors affect the intraday tail dependence patterns and provide plausible explanations for the occurrence of these phenomena. Among these five factors, the market excess return plays the most important role, and our study suggests that when there is a moderate positive excess return, both the upper and lower tails tend to reach their lowest dependence levels. Full article
(This article belongs to the Special Issue Risks Journal: A Decade of Advancing Knowledge and Shaping the Future)
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25 pages, 857 KiB  
Article
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options
by
Federico Maglione
and
Maria Elvira Mancino
Risks 2023, 11(10), 183; https://doi.org/10.3390/risks11100183 - 20 Oct 2023
Viewed by 775
Abstract
This work aims to develop a measure of how much credit risk is priced into equity options. Such a measure appears particularly appealing when applied to a portfolio of equity options, as it allows for the factoring in of firm-specific default dynamics, thus [...] Read more.
This work aims to develop a measure of how much credit risk is priced into equity options. Such a measure appears particularly appealing when applied to a portfolio of equity options, as it allows for the factoring in of firm-specific default dynamics, thus producing a comparable statistic across different equities. As a matter of fact, comparing options written on different equities based on their moneyness does offer much guidance in understanding which option offers a better hedging against default. Our newly-introduced measure aims to fulfil this gap: it allows us to rank options written on different names based on the amount of default risk they carry, incorporating firm-specific characteristics such as leverage and asset risk. After having computed this measure using data from the US market, several empirical tests confirm the economic intuition of puts being more sensitive to changes in the default risk as well as a good integration of the CDS and option markets. We further document cross-sectional sectorial differences based on the industry the companies operate in. Moreover, we show that this newly-introduced measure displays forecasting power in explaining future changes in the skew of long-term maturity options. Full article
(This article belongs to the Special Issue Risks Journal: A Decade of Advancing Knowledge and Shaping the Future)
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