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measure</title> <meta name="description" content="Search results for: risk measure"> <meta name="keywords" content="risk measure"> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button class="d-block d-lg-none navbar-toggler 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id="custom-search-input"> <div class="input-group"> <i class="fas fa-search"></i> <input type="text" class="search-query" name="q" placeholder="Author, Title, Abstract, Keywords" value="risk measure"> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 8971</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: risk measure</h1> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8971</span> Risk Measure from Investment in Finance by Value at Risk</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mohammed%20El-Arbi%20Khalfallah">Mohammed El-Arbi Khalfallah</a>, <a href="https://publications.waset.org/abstracts/search?q=Mohamed%20Lakhdar%20Hadji"> Mohamed Lakhdar Hadji</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Managing and controlling risk is a topic research in the world of finance. Before a risky situation, the stakeholders need to do comparison according to the positions and actions, and financial institutions must take measures of a particular market risk and credit. In this work, we study a model of risk measure in finance: Value at Risk (VaR), which is a new tool for measuring an entity's exposure risk. We explain the concept of value at risk, your average, tail, and describe the three methods for computing: Parametric method, Historical method, and numerical method of Monte Carlo. Finally, we briefly describe advantages and disadvantages of the three methods for computing value at risk. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=average%20value%20at%20risk" title="average value at risk">average value at risk</a>, <a href="https://publications.waset.org/abstracts/search?q=conditional%20value%20at%20risk" title=" conditional value at risk"> conditional value at risk</a>, <a href="https://publications.waset.org/abstracts/search?q=tail%20value%20at%20risk" title=" tail value at risk"> tail value at risk</a>, <a href="https://publications.waset.org/abstracts/search?q=value%20at%20risk" title=" value at risk"> value at risk</a> </p> <a href="https://publications.waset.org/abstracts/61669/risk-measure-from-investment-in-finance-by-value-at-risk" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/61669.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">441</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8970</span> Portfolio Optimization with Reward-Risk Ratio Measure Based on the Mean Absolute Deviation</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Wlodzimierz%20Ogryczak">Wlodzimierz Ogryczak</a>, <a href="https://publications.waset.org/abstracts/search?q=Michal%20Przyluski"> Michal Przyluski</a>, <a href="https://publications.waset.org/abstracts/search?q=Tomasz%20Sliwinski"> Tomasz Sliwinski</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In problems of portfolio selection, the reward-risk ratio criterion is optimized to search for a risky portfolio with the maximum increase of the mean return in proportion to the risk measure increase when compared to the risk-free investments. In the classical model, following Markowitz, the risk is measured by the variance thus representing the Sharpe ratio optimization and leading to the quadratic optimization problems. Several Linear Programming (LP) computable risk measures have been introduced and applied in portfolio optimization. In particular, the Mean Absolute Deviation (MAD) measure has been widely recognized. The reward-risk ratio optimization with the MAD measure can be transformed into the LP formulation with the number of constraints proportional to the number of scenarios and the number of variables proportional to the total of the number of scenarios and the number of instruments. This may lead to the LP models with huge number of variables and constraints in the case of real-life financial decisions based on several thousands scenarios, thus decreasing their computational efficiency and making them hardly solvable by general LP tools. We show that the computational efficiency can be then dramatically improved by an alternative model based on the inverse risk-reward ratio minimization and by taking advantages of the LP duality. In the introduced LP model the number of structural constraints is proportional to the number of instruments thus not affecting seriously the simplex method efficiency by the number of scenarios and therefore guaranteeing easy solvability. Moreover, we show that under natural restriction on the target value the MAD risk-reward ratio optimization is consistent with the second order stochastic dominance rules. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=portfolio%20optimization" title="portfolio optimization">portfolio optimization</a>, <a href="https://publications.waset.org/abstracts/search?q=reward-risk%20ratio" title=" reward-risk ratio"> reward-risk ratio</a>, <a href="https://publications.waset.org/abstracts/search?q=mean%20absolute%20deviation" title=" mean absolute deviation"> mean absolute deviation</a>, <a href="https://publications.waset.org/abstracts/search?q=linear%20programming" title=" linear programming"> linear programming</a> </p> <a href="https://publications.waset.org/abstracts/61665/portfolio-optimization-with-reward-risk-ratio-measure-based-on-the-mean-absolute-deviation" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/61665.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">406</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8969</span> Research on Measuring Operational Risk in Commercial Banks Based on Internal Control</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Baobao%20Li">Baobao Li</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Operational risk covers all operations of commercial banks and has a close relationship with the bank’s internal control. But in the commercial banks' management practice, internal control is always separated from the operational risk measurement. With the increasing of operational risk events in recent years, operational risk is paid more and more attention by regulators and banks’ managements. The paper first discussed the relationship between internal control and operational risk management and used CVaR-POT model to measure operational risk, and then put forward a modified measurement method (to use operational risk assessment results to modify the measurement results of the CVaR-POT model). The paper also analyzed the necessity and rationality of this method. The method takes into consideration the influence of internal control, improves the accuracy and effectiveness of operational risk measurement and save the economic capital for commercial banks, avoiding the drawbacks of using some mainstream models one-sidedly. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=commercial%20banks" title="commercial banks">commercial banks</a>, <a href="https://publications.waset.org/abstracts/search?q=internal%20control" title=" internal control"> internal control</a>, <a href="https://publications.waset.org/abstracts/search?q=operational%20risk" title=" operational risk"> operational risk</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20measurement" title=" risk measurement"> risk measurement</a> </p> <a href="https://publications.waset.org/abstracts/10143/research-on-measuring-operational-risk-in-commercial-banks-based-on-internal-control" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/10143.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">398</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8968</span> Development of Pediatric Medical Trauma Stress (PMTS) Among Children at Risk</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Amichai%20Ben%20ari">Amichai Ben ari</a>, <a href="https://publications.waset.org/abstracts/search?q=Daniella%20Margalit"> Daniella Margalit</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Medical procedures, such as surgery, may have traumatic significance for some children. This study examines the relationship between maltreatment in children and the development Pediatric Medical Traumatic Stress (PMTS). To this end, differences in the level of distress of children after surgery were examined between two groups: children who were maltreated ("children at risk") and children from the control group ("children who are not at risk"). The study involved 230 parents of children who came to the hospital to undergo surgery. Parents filled out demographic questionnaires to measure socioeconomic variables and psychological questionnaires to measure the distress of the child and parent before surgery. After 6 months from the time of surgery, the parents again filled in the questionnaire measuring the child's distress. The results of the study showed that the level of distress experienced by children at risk after surgery was significantly higher relative to children who are not at risk. It was also found that the level of distress experienced by parents of children at risk in relation to their child’s surgery is significantly higher compared to parents of children who are not at risk. Finally, it was found that the variables: (1) pre-morbid psychological functioning of the child. (2) Parental and family functioning in daily life. (3) Exposure of the child to traumatic events. (4) Support factors for the family. Are variables that predict the development of PMTS in children after surgery, but only for children at risk and not for children who are not at risk. The significance of the findings in relation to the need to identify at-risk populations in the hospitals and the policies derived from them were discussed, and several directions were raised for further research. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=children%20at%20risk" title="children at risk">children at risk</a>, <a href="https://publications.waset.org/abstracts/search?q=pediatric%20medical%20traumatic%20stress%20%28PMTS%29" title=" pediatric medical traumatic stress (PMTS)"> pediatric medical traumatic stress (PMTS)</a>, <a href="https://publications.waset.org/abstracts/search?q=PTSD" title=" PTSD"> PTSD</a>, <a href="https://publications.waset.org/abstracts/search?q=medical%20procedures" title=" medical procedures"> medical procedures</a> </p> <a href="https://publications.waset.org/abstracts/148710/development-of-pediatric-medical-trauma-stress-pmts-among-children-at-risk" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/148710.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">127</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8967</span> Performativity and Valuation Techniques: Evidence from Investment Banks in the Wake of the Global Financial Crisis </h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Alicja%20Reuben">Alicja Reuben</a>, <a href="https://publications.waset.org/abstracts/search?q=Amira%20Annabi"> Amira Annabi</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, we explore the relationship between the selection of valuation techniques by investment banks and the banks’ risk perceptions and performance in the context of the theory of performativity. We use inferential statistics to study these relationships by building a unique dataset based on the disclosure of 12 investment banks’ 2012-2015 annual financial statements. Moreover, we create two constructs, namely intensity of use and risk perception. We measure the intensity of use as a frequency metric of how often a particular bank adopts valuation techniques for a particular asset or liability. We measure risk perception based on disclosed ranges of values for unobservable inputs. Our results are twofold: we find a significant negative correlation between (1) intensity of use and investment bank performance and (2) intensity of use and risk perception. These results indicate that a performative process takes place, and the valuation techniques are enacting their environment. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=language" title="language">language</a>, <a href="https://publications.waset.org/abstracts/search?q=linguistics" title=" linguistics"> linguistics</a>, <a href="https://publications.waset.org/abstracts/search?q=performativity" title=" performativity"> performativity</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20techniques" title=" financial techniques"> financial techniques</a> </p> <a href="https://publications.waset.org/abstracts/116825/performativity-and-valuation-techniques-evidence-from-investment-banks-in-the-wake-of-the-global-financial-crisis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/116825.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">160</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8966</span> A Mixed Approach to Assess Information System Risk, Operational Risk, and Congolese Microfinance Institutions Performance</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Alfred%20Kamate%20Siviri">Alfred Kamate Siviri</a>, <a href="https://publications.waset.org/abstracts/search?q=Angelus%20Mafikiri%20Tsongo"> Angelus Mafikiri Tsongo</a>, <a href="https://publications.waset.org/abstracts/search?q=Jean%20Robert%20Kala%20Kamdjoug"> Jean Robert Kala Kamdjoug</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Digitalization and information systems well organized have been selected as relevant measures to mitigate operational risks within organizations. Unfortunately, information system comes with new threats that can cause severe damage and quick organization lockout. This study aims to measure perceived information system risks and their effects on operational risks within the microfinance institution in D.R. Congo. Also, the factors influencing the operational risk are identified, and the link between operational risk with other risks and performance is to be assessed. The study proposes a research model drawn on the combination of Resources-Based-View, dynamic capabilities, the agency theory, the Information System Security Model, and social theories of risk. Therefore, we suggest adopting a mixed methods research with the sole aim of increasing the literature that already exists on perceived operational risk assessment and its link with other risk and performance, a focus on IT risk. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Democratic%20Republic%20Congo" title="Democratic Republic Congo">Democratic Republic Congo</a>, <a href="https://publications.waset.org/abstracts/search?q=information%20system%20risk" title=" information system risk"> information system risk</a>, <a href="https://publications.waset.org/abstracts/search?q=microfinance%20performance" title=" microfinance performance"> microfinance performance</a>, <a href="https://publications.waset.org/abstracts/search?q=operational%20risk" title=" operational risk"> operational risk</a> </p> <a href="https://publications.waset.org/abstracts/138708/a-mixed-approach-to-assess-information-system-risk-operational-risk-and-congolese-microfinance-institutions-performance" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/138708.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">224</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8965</span> Perceived Social Support, Resilience and Relapse Risk in Recovered Addicts</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Islah%20Ud%20Din">Islah Ud Din</a>, <a href="https://publications.waset.org/abstracts/search?q=Amna%20Bibi"> Amna Bibi</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The current study was carried out to examine the perceived social support, resilience and relapse risk in recovered addicts. A purposive sampling technique was used to collect data from recovered addicts. A multidimensional scale of perceived social support by was used to measure the perceived social support. The brief Resilience Scale (BRS) was used to assess resilience. The Stimulant Relapse Risk Scale (SRRS) was used to examine the relapse risk. Resilience and Perceived social support have substantial positive correlations, whereas relapse risk and perceived social support have significant negative associations. Relapse risk and resilience have a strong inverse connection. Regression analysis was used to check the mediating effect of resilience between perceived social support and relapse risk. The findings revealed that perceived social support negatively predicted relapse risk. Results showed that Resilience plays a role as partial mediation between perceived social support and relapse risk. This Research will allow us to explore and understand the relapse risk factor and the role of perceived social support and resilience in recovered addicts. The study's findings have immediate consequences in the prevention of relapse. The study will play a significant part in drug rehabilitation centers, clinical settings and further research. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=perceived%20social%20support" title="perceived social support">perceived social support</a>, <a href="https://publications.waset.org/abstracts/search?q=resilience" title=" resilience"> resilience</a>, <a href="https://publications.waset.org/abstracts/search?q=relapse%20risk" title=" relapse risk"> relapse risk</a>, <a href="https://publications.waset.org/abstracts/search?q=recovered%20addicts" title=" recovered addicts"> recovered addicts</a>, <a href="https://publications.waset.org/abstracts/search?q=drugs%20addiction" title=" drugs addiction"> drugs addiction</a> </p> <a href="https://publications.waset.org/abstracts/188955/perceived-social-support-resilience-and-relapse-risk-in-recovered-addicts" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/188955.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">34</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8964</span> The Properties of Risk-based Approaches to Asset Allocation Using Combined Metrics of Portfolio Volatility and Kurtosis: Theoretical and Empirical Analysis</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Maria%20Debora%20Braga">Maria Debora Braga</a>, <a href="https://publications.waset.org/abstracts/search?q=Luigi%20Riso"> Luigi Riso</a>, <a href="https://publications.waset.org/abstracts/search?q=Maria%20Grazia%20Zoia"> Maria Grazia Zoia</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Risk-based approaches to asset allocation are portfolio construction methods that do not rely on the input of expected returns for the asset classes in the investment universe and only use risk information. They include the Minimum Variance Strategy (MV strategy), the traditional (volatility-based) Risk Parity Strategy (SRP strategy), the Most Diversified Portfolio Strategy (MDP strategy) and, for many, the Equally Weighted Strategy (EW strategy). All the mentioned approaches were based on portfolio volatility as a reference risk measure but in 2023, the Kurtosis-based Risk Parity strategy (KRP strategy) and the Minimum Kurtosis strategy (MK strategy) were introduced. Understandably, they used the fourth root of the portfolio-fourth moment as a proxy for portfolio kurtosis to work with a homogeneous function of degree one. This paper contributes mainly theoretically and methodologically to the framework of risk-based asset allocation approaches with two steps forward. First, a new and more flexible objective function considering a linear combination (with positive coefficients that sum to one) of portfolio volatility and portfolio kurtosis is used to alternatively serve a risk minimization goal or a homogeneous risk distribution goal. Hence, the new basic idea consists in extending the achievement of typical risk-based approaches’ goals to a combined risk measure. To give the rationale behind operating with such a risk measure, it is worth remembering that volatility and kurtosis are expressions of uncertainty, to be read as dispersion of returns around the mean and that both preserve adherence to a symmetric framework and consideration for the entire returns distribution as well, but also that they differ from each other in that the former captures the “normal” / “ordinary” dispersion of returns, while the latter is able to catch the huge dispersion. Therefore, the combined risk metric that uses two individual metrics focused on the same phenomena but differently sensitive to its intensity allows the asset manager to express, in the context of an objective function by varying the “relevance coefficient” associated with the individual metrics, alternatively, a wide set of plausible investment goals for the portfolio construction process while serving investors differently concerned with tail risk and traditional risk. Since this is the first study that also implements risk-based approaches using a combined risk measure, it becomes of fundamental importance to investigate the portfolio effects triggered by this innovation. The paper also offers a second contribution. Until the recent advent of the MK strategy and the KRP strategy, efforts to highlight interesting properties of risk-based approaches were inevitably directed towards the traditional MV strategy and SRP strategy. Previous literature established an increasing order in terms of portfolio volatility, starting from the MV strategy, through the SRP strategy, arriving at the EQ strategy and provided the mathematical proof for the “equalization effect” concerning marginal risks when the MV strategy is considered, and concerning risk contributions when the SRP strategy is considered. Regarding the validity of similar conclusions when referring to the MK strategy and KRP strategy, the development of a theoretical demonstration is still pending. This paper fills this gap. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=risk%20parity" title="risk parity">risk parity</a>, <a href="https://publications.waset.org/abstracts/search?q=portfolio%20kurtosis" title=" portfolio kurtosis"> portfolio kurtosis</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20diversification" title=" risk diversification"> risk diversification</a>, <a href="https://publications.waset.org/abstracts/search?q=asset%20allocation" title=" asset allocation"> asset allocation</a> </p> <a href="https://publications.waset.org/abstracts/171372/the-properties-of-risk-based-approaches-to-asset-allocation-using-combined-metrics-of-portfolio-volatility-and-kurtosis-theoretical-and-empirical-analysis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/171372.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">65</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8963</span> Efficient Frontier: Comparing Different Volatility Estimators</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Tea%20Poklepovi%C4%87">Tea Poklepović</a>, <a href="https://publications.waset.org/abstracts/search?q=Zdravka%20Aljinovi%C4%87"> Zdravka Aljinović</a>, <a href="https://publications.waset.org/abstracts/search?q=Mario%20Matkovi%C4%87"> Mario Matković</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and compares three efficient frontiers on the Croatian Stock Market. The results show that range-based volatility estimator outperforms both mean-variance and lower semi-variance model. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=variance" title="variance">variance</a>, <a href="https://publications.waset.org/abstracts/search?q=lower%20semi-variance" title=" lower semi-variance"> lower semi-variance</a>, <a href="https://publications.waset.org/abstracts/search?q=range-based%20volatility" title=" range-based volatility"> range-based volatility</a>, <a href="https://publications.waset.org/abstracts/search?q=MPT" title=" MPT"> MPT</a> </p> <a href="https://publications.waset.org/abstracts/20229/efficient-frontier-comparing-different-volatility-estimators" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/20229.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">513</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8962</span> Inflation Tail Risks and Asset Pricing</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Sebastian%20Luber">Sebastian Luber</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The study demonstrates that tail inflation risk is priced into stock returns and credit spreads. This holds true even when controlling for current and historical inflation moments. The analysis employs inflation caps and floors to obtain the distribution of future inflation under the risk-neutral measure. Credit spreads decrease as the mean and median of future inflation rise, but they respond positively to tail risks. Conversely, stocks serve as a robust hedge against future inflation. Stock returns increase with a higher mean and median of future inflation and rising inflationary tail risk, while they decrease with rising deflationary tail risk. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=asset%20pricing" title="asset pricing">asset pricing</a>, <a href="https://publications.waset.org/abstracts/search?q=inflation%20expectations" title=" inflation expectations"> inflation expectations</a>, <a href="https://publications.waset.org/abstracts/search?q=tail%20risk" title=" tail risk"> tail risk</a>, <a href="https://publications.waset.org/abstracts/search?q=stocks" title=" stocks"> stocks</a>, <a href="https://publications.waset.org/abstracts/search?q=inflation%20derivatives" title=" inflation derivatives"> inflation derivatives</a>, <a href="https://publications.waset.org/abstracts/search?q=credit" title=" credit"> credit</a> </p> <a href="https://publications.waset.org/abstracts/192569/inflation-tail-risks-and-asset-pricing" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/192569.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">22</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8961</span> Managerial Risk-Taking: Evidences from the Tourism Industry</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Min-Ming%20Wen">Min-Ming Wen</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Applying the U.S. lodging and tourism industry as a research sample, we examine the relation between the corporate governance structure and managerial risk-taking behavior. In light of the global financial crisis, the importance of effective governance structures is essential in protecting claimholder interests. We propose a governance structure consisting of shareholder governance measured by anti-takeover provisions to examine whether the governance structure has a significant impact on managerial risk-taking behaviors in terms of the investment policy. We will use capital expenditure and R&D investment to measure managerial risk-taking and the firm’s investment policy. In addition, we will examine whether the effects of governance on investment policy differ significantly between speculative and investment-grade firms. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=corporate%20governance" title="corporate governance">corporate governance</a>, <a href="https://publications.waset.org/abstracts/search?q=risk-taking" title=" risk-taking"> risk-taking</a>, <a href="https://publications.waset.org/abstracts/search?q=firm%20value" title=" firm value"> firm value</a>, <a href="https://publications.waset.org/abstracts/search?q=lodging%20industry" title=" lodging industry"> lodging industry</a> </p> <a href="https://publications.waset.org/abstracts/23817/managerial-risk-taking-evidences-from-the-tourism-industry" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/23817.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">615</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8960</span> Measuring Banking Risk</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mike%20Tsionas">Mike Tsionas</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The paper develops new indices of financial stability based on an explicit model of expected utility maximization by financial institutions subject to the classical technology restrictions of neoclassical production theory. The model can be estimated using standard econometric techniques, like GMM for dynamic panel data and latent factor analysis for the estimation of co-variance matrices. An explicit functional form for the utility function is not needed and we show how measures of risk aversion and prudence (downside risk aversion) can be derived and estimated from the model. The model is estimated using data for Eurozone countries and we focus particularly on (i) the use of the modeling approach as an “early warning mechanism”, (ii) the bank- and country-specific estimates of risk aversion and prudence (downside risk aversion), and (iii) the derivation of a generalized measure of risk that relies on loan-price uncertainty. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=financial%20stability" title="financial stability">financial stability</a>, <a href="https://publications.waset.org/abstracts/search?q=banking" title=" banking"> banking</a>, <a href="https://publications.waset.org/abstracts/search?q=expected%20utility%20maximization" title=" expected utility maximization"> expected utility maximization</a>, <a href="https://publications.waset.org/abstracts/search?q=sub-prime%20crisis" title=" sub-prime crisis"> sub-prime crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20crisis" title=" financial crisis"> financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=eurozone" title=" eurozone"> eurozone</a>, <a href="https://publications.waset.org/abstracts/search?q=PIIGS" title=" PIIGS"> PIIGS</a> </p> <a href="https://publications.waset.org/abstracts/8148/measuring-banking-risk" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/8148.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">348</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8959</span> Model of MSD Risk Assessment at Workplace</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=K.%20Sekulov%C3%A1">K. Sekulová</a>, <a href="https://publications.waset.org/abstracts/search?q=M.%20%C5%A0imon"> M. Šimon</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This article focuses on upper-extremity musculoskeletal disorders risk assessment model at workplace. In this model are used risk factors that are responsible for musculoskeletal system damage. Based on statistic calculations the model is able to define what risk of MSD threatens workers who are under risk factors. The model is also able to say how MSD risk would decrease if these risk factors are eliminated. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=ergonomics" title="ergonomics">ergonomics</a>, <a href="https://publications.waset.org/abstracts/search?q=musculoskeletal%20disorders" title=" musculoskeletal disorders"> musculoskeletal disorders</a>, <a href="https://publications.waset.org/abstracts/search?q=occupational%20diseases" title=" occupational diseases"> occupational diseases</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20factors" title=" risk factors"> risk factors</a> </p> <a href="https://publications.waset.org/abstracts/13024/model-of-msd-risk-assessment-at-workplace" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/13024.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">550</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8958</span> The Effects of Cardiovascular Risk on Age-Related Cognitive Decline in Healthy Older Adults</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=A.%20Badran">A. Badran</a>, <a href="https://publications.waset.org/abstracts/search?q=M.%20%20Hollocks"> M. Hollocks</a>, <a href="https://publications.waset.org/abstracts/search?q=H.%20Markus"> H. Markus</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Background: Common risk factors for cardiovascular disease are associated with age-related cognitive decline. There has been much interest in treating modifiable cardiovascular risk factors in the hope of reducing cognitive decline. However, there is currently no validated neuropsychological test to assess the subclinical cognitive effects of vascular risk. The Brief Memory and Executive Test (BMET) is a clinical screening tool, which was originally designed to be sensitive and specific to Vascular Cognitive Impairment (VCI), an impairment characterised by decline in frontally-mediated cognitive functions (e.g. Executive Function and Processing Speed). Objective: To cross-sectionally assess the validity of the BMET as a measure of the subclinical effects of vascular risk on cognition, in an otherwise healthy elderly cohort. Methods: Data from 346 participants (57 ± 10 years) without major neurological or psychiatric disorders were included in this study, gathered as part of a previous multicentre validation study for the BMET. Framingham Vascular Age was used as a surrogate measure of vascular risk, incorporating several established risk factors. Principal Components Analysis of the subtests was used to produce common constructs: an index for Memory and another for Executive Function/Processing Speed. Univariate General Linear models were used to relate Vascular Age to performance on Executive Function/Processing Speed and Memory subtests of the BMET, adjusting for Age, Premorbid Intelligence and Ethnicity. Results: Adverse vascular risk was associated with poorer performance on both the Memory and Executive Function/Processing Speed indices, adjusted for Age, Premorbid Intelligence and Ethnicity (p=0.011 and p<0.001, respectively). Conclusions: Performance on the BMET reflects the subclinical effects of vascular risk on cognition, in age-related cognitive decline. Vascular risk is associated with decline in both Executive Function/Processing Speed and Memory groups of subtests. Future studies are needed to explore whether treating vascular risk factors can effectively reduce age-related cognitive decline. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=age-related%20cognitive%20decline" title="age-related cognitive decline">age-related cognitive decline</a>, <a href="https://publications.waset.org/abstracts/search?q=vascular%20cognitive%20impairment" title=" vascular cognitive impairment"> vascular cognitive impairment</a>, <a href="https://publications.waset.org/abstracts/search?q=subclinical%20cerebrovascular%20disease" title=" subclinical cerebrovascular disease"> subclinical cerebrovascular disease</a>, <a href="https://publications.waset.org/abstracts/search?q=cognitive%20aging" title=" cognitive aging"> cognitive aging</a> </p> <a href="https://publications.waset.org/abstracts/31232/the-effects-of-cardiovascular-risk-on-age-related-cognitive-decline-in-healthy-older-adults" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/31232.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">470</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8957</span> Systemic Approach to Risk Measurement of Drainage Systems in Urban Areas</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Jadwiga%20Kr%C3%B3likowska">Jadwiga Królikowska</a>, <a href="https://publications.waset.org/abstracts/search?q=Andrzej%20Kr%C3%B3likowski"> Andrzej Królikowski</a>, <a href="https://publications.waset.org/abstracts/search?q=Jaros%C5%82aw%20Bajer"> Jarosław Bajer</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The work delineates the threats of maladjustment of the capacity of rain canals, designed and built in the early 20th century, in connection to heavy rainfall, especially in summer. This is the cause of the so called 'urban floods.' It directly relates to fierce raise of paving in the cities. Resolving this problem requires a change in philosophy of draining the rainfall by wider use of retention, infiltration and usage of rainwater. In systemic approach to managing the safety of urban drainage systems the risk, which is directly connected to safety failures, has been accepted as a measure. The risk level defines the probability of occurrence of losses greater than the ones forecast for a given time frame. The procedure of risk modelling, enabling its numeric analysis by using appropriate weights, is a significant issue in this paper. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=risk%20management" title="risk management">risk management</a>, <a href="https://publications.waset.org/abstracts/search?q=drainage%20system" title=" drainage system"> drainage system</a>, <a href="https://publications.waset.org/abstracts/search?q=urban%20areas" title=" urban areas"> urban areas</a>, <a href="https://publications.waset.org/abstracts/search?q=urban%20floods" title=" urban floods "> urban floods </a> </p> <a href="https://publications.waset.org/abstracts/10758/systemic-approach-to-risk-measurement-of-drainage-systems-in-urban-areas" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/10758.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">361</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8956</span> The Systemic Approach to Risk Measurement of Drainage Systems in Urban Areas</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Jadwiga%20Kr%C3%B3likowska">Jadwiga Królikowska</a>, <a href="https://publications.waset.org/abstracts/search?q=Andrzej%20Kr%C3%B3likowski"> Andrzej Królikowski</a>, <a href="https://publications.waset.org/abstracts/search?q=Jaros%C5%82aw%20Bajer"> Jarosław Bajer</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The work delineates the threats of maladjustment of the capacity of rain canals, designed and built in the early 20th century, in connection to heavy rainfall, especially in summer. This is the cause of the so called 'urban floods.' It directly relates to fierce raise of paving in the cities. Resolving this problem requires a change in philosophy of draining the rainfall by wider use of retention, infiltration and usage of rainwater. In systemic approach to managing the safety of urban drainage systems the risk, which is directly connected to safety failures, has been accepted as a measure. The risk level defines the probability of occurrence of losses grater than the ones forecast for a given time frame. The procedure of risk modelling, enabling its numeric analysis by using appropriate weights, is a significant issue in this paper. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=drainage%20system" title="drainage system">drainage system</a>, <a href="https://publications.waset.org/abstracts/search?q=urban%20areas" title=" urban areas"> urban areas</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20measurement" title=" risk measurement"> risk measurement</a>, <a href="https://publications.waset.org/abstracts/search?q=systemic%20approach" title=" systemic approach"> systemic approach</a> </p> <a href="https://publications.waset.org/abstracts/13240/the-systemic-approach-to-risk-measurement-of-drainage-systems-in-urban-areas" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/13240.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">294</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8955</span> VaR or TCE: Explaining the Preferences of Regulators</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Silvia%20Faroni">Silvia Faroni</a>, <a href="https://publications.waset.org/abstracts/search?q=Olivier%20Le%20Courtois"> Olivier Le Courtois</a>, <a href="https://publications.waset.org/abstracts/search?q=Krzysztof%20Ostaszewski"> Krzysztof Ostaszewski</a> </p> <p class="card-text"><strong>Abstract:</strong></p> While a lot of research concentrates on the merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on explaining why regulators favor the choice of VaR or TCE in their set of rules. In this paper, we investigate the preferences of regulators with the aim of understanding why, for instance, a VaR with a given confidence level is ultimately retained. Further, this paper provides equivalence rules that explain how a given choice of VaR can be equivalent to a given choice of TCE. Then, we introduce a new risk indicator that extends TCE by providing a more versatile weighting of the constituents of probability distribution tails. All of our results are illustrated using the generalized Pareto distribution. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=generalized%20pareto%20distribution" title="generalized pareto distribution">generalized pareto distribution</a>, <a href="https://publications.waset.org/abstracts/search?q=generalized%20tail%20conditional%20expectation" title=" generalized tail conditional expectation"> generalized tail conditional expectation</a>, <a href="https://publications.waset.org/abstracts/search?q=regulator%20preferences" title=" regulator preferences"> regulator preferences</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20measure" title=" risk measure"> risk measure</a> </p> <a href="https://publications.waset.org/abstracts/146694/var-or-tce-explaining-the-preferences-of-regulators" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/146694.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">169</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8954</span> Evaluating Performance of Value at Risk Models for the MENA Islamic Stock Market Portfolios</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Abderrazek%20Ben%20Maatoug">Abderrazek Ben Maatoug</a>, <a href="https://publications.waset.org/abstracts/search?q=Ibrahim%20Fatnassi"> Ibrahim Fatnassi</a>, <a href="https://publications.waset.org/abstracts/search?q=Wassim%20Ben%20Ayed"> Wassim Ben Ayed</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper we investigate the issue of market risk quantification for Middle East and North Africa (MENA) Islamic market equity. We use Value-at-Risk (VaR) as a measure of potential risk in Islamic stock market, for long and short position, based on Riskmetrics model and the conditional parametric ARCH class model volatility with normal, student and skewed student distribution. The sample consist of daily data for the 2006-2014 of 11 Islamic stock markets indices. We conduct Kupiec and Engle and Manganelli tests to evaluate the performance for each model. The main finding of our empirical results show that (i) the superior performance of VaR models based on the Student and skewed Student distribution, for the significance level of α=1% , for all Islamic stock market indices, and for both long and short trading positions (ii) Risk Metrics model, and VaR model based on conditional volatility with normal distribution provides the best accurate VaR estimations for both long and short trading positions for a significance level of α=5%. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=value-at-risk" title="value-at-risk">value-at-risk</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20management" title=" risk management"> risk management</a>, <a href="https://publications.waset.org/abstracts/search?q=islamic%20finance" title=" islamic finance"> islamic finance</a>, <a href="https://publications.waset.org/abstracts/search?q=GARCH%20models" title=" GARCH models"> GARCH models</a> </p> <a href="https://publications.waset.org/abstracts/24208/evaluating-performance-of-value-at-risk-models-for-the-mena-islamic-stock-market-portfolios" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/24208.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">592</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8953</span> UEMSD Risk Identification: Case Study</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=K.%20Sekulov%C3%A1">K. Sekulová</a>, <a href="https://publications.waset.org/abstracts/search?q=M.%20%C5%A0imon"> M. Šimon</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The article demonstrates on a case study how it is possible to identify MSD risk. It is based on a dissertation risk identification model of occupational diseases formation in relation to the work activity that determines what risk can endanger workers who are exposed to the specific risk factors. It is evaluated based on statistical calculations. These risk factors are main cause of upper-extremities musculoskeletal disorders. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=case%20study" title="case study">case study</a>, <a href="https://publications.waset.org/abstracts/search?q=upper-extremity%20musculoskeletal%20disorders" title=" upper-extremity musculoskeletal disorders"> upper-extremity musculoskeletal disorders</a>, <a href="https://publications.waset.org/abstracts/search?q=ergonomics" title=" ergonomics"> ergonomics</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20identification" title=" risk identification"> risk identification</a> </p> <a href="https://publications.waset.org/abstracts/14518/uemsd-risk-identification-case-study" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/14518.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">499</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8952</span> Apricot Insurance Portfolio Risk</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Kasirga%20Yildirak">Kasirga Yildirak</a>, <a href="https://publications.waset.org/abstracts/search?q=Ismail%20Gur"> Ismail Gur</a> </p> <p class="card-text"><strong>Abstract:</strong></p> We propose a model to measure hail risk of an Agricultural Insurance portfolio. Hail is one of the major catastrophic event that causes big amount of loss to an insurer. Moreover, it is very hard to predict due to its strange atmospheric characteristics. We make use of parcel based claims data on apricot damage collected by the Turkish Agricultural Insurance Pool (TARSIM). As our ultimate aim is to compute the loadings assigned to specific parcels, we build a portfolio risk model that makes use of PD and the severity of the exposures. PD is computed by Spherical-Linear and Circular –Linear regression models as the data carries coordinate information and seasonality. Severity is mapped into integer brackets so that Probability Generation Function could be employed. Individual regressions are run on each clusters estimated on different criteria. Loss distribution is constructed by Panjer Recursion technique. We also show that one risk-one crop model can easily be extended to the multi risk–multi crop model by assuming conditional independency. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=hail%20insurance" title="hail insurance">hail insurance</a>, <a href="https://publications.waset.org/abstracts/search?q=spherical%20regression" title=" spherical regression"> spherical regression</a>, <a href="https://publications.waset.org/abstracts/search?q=circular%20regression" title=" circular regression"> circular regression</a>, <a href="https://publications.waset.org/abstracts/search?q=spherical%20clustering" title=" spherical clustering "> spherical clustering </a> </p> <a href="https://publications.waset.org/abstracts/59203/apricot-insurance-portfolio-risk" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/59203.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">251</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8951</span> Enterprise Risk Management: A Future Outlook</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ruchi%20Agarwal">Ruchi Agarwal</a>, <a href="https://publications.waset.org/abstracts/search?q=Jake%20Ansell"> Jake Ansell</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Austerity impacts on all aspects of society. Companies into the future will have to be more capable of dealing with the risks they face. Enterprise Risk Management (ERM) has widely been accepted in recent years as an approach to manage risks within businesses. ERM attempts to tackle risk holistically with gains from opportunities in a managing risk and reduction in the risk of failure. The paper reviews merits and demerits of approaches to risk management in regard to antifragility. A qualitative study has investigated current practices and the problems with ERM implementation by interviewing over 25 chief risk officers and senior management. The findings indicate the gap in ERM description, understanding, and implementation. The paper suggests risk learning and expertise knowledge supports development of effective enterprise risk management by designing systems with inherent resilience. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=risk%20management" title="risk management">risk management</a>, <a href="https://publications.waset.org/abstracts/search?q=interviews" title=" interviews"> interviews</a>, <a href="https://publications.waset.org/abstracts/search?q=antifragility" title=" antifragility"> antifragility</a>, <a href="https://publications.waset.org/abstracts/search?q=failure" title=" failure"> failure</a> </p> <a href="https://publications.waset.org/abstracts/11136/enterprise-risk-management-a-future-outlook" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/11136.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">562</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8950</span> Supply Chain Risk Management (SCRM): A Simplified Alternative for Implementing SCRM for Small and Medium Enterprises</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Paul%20W.%20Murray">Paul W. Murray</a>, <a href="https://publications.waset.org/abstracts/search?q=Marco%20Barajas"> Marco Barajas</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Recent changes in supply chains, especially globalization and collaboration, have created new risks for enterprises of all sizes. A variety of complex frameworks, often based on enterprise risk management strategies have been presented under the heading of Supply Chain Risk Management (SCRM). The literature on promotes the benefits of a robust SCRM strategy; however, implementing SCRM is difficult and resource demanding for Large Enterprises (LEs), and essentially out of reach for Small and Medium Enterprises (SMEs). This research debunks the idea that SCRM is necessary for all enterprises and instead proposes a simple and effective Vendor Selection Template (VST). Empirical testing and a survey of supply chain practitioners provide a measure of validation to the VST. The resulting VSTis a valuable contribution because is easy to use, provides practical results, and is sufficiently flexible to be universally applied to SMEs. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=multiple%20regression%20analysis" title="multiple regression analysis">multiple regression analysis</a>, <a href="https://publications.waset.org/abstracts/search?q=supply%20chain%20management" title=" supply chain management"> supply chain management</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20assessment" title=" risk assessment"> risk assessment</a>, <a href="https://publications.waset.org/abstracts/search?q=vendor%20selection" title=" vendor selection"> vendor selection</a> </p> <a href="https://publications.waset.org/abstracts/2293/supply-chain-risk-management-scrm-a-simplified-alternative-for-implementing-scrm-for-small-and-medium-enterprises" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/2293.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">465</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8949</span> Risk Management of Water Derivatives: A New Commodity in The Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Daniel%20Mokatsanyane">Daniel Mokatsanyane</a>, <a href="https://publications.waset.org/abstracts/search?q=Johnny%20Jansen%20Van%20Rensburg"> Johnny Jansen Van Rensburg</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper is a concise introduction of the risk management on the water derivatives market. Water, a new commodity in the market, is one of the most important commodity on earth. As important to life and planet as crops, metals, and energy, none of them matters without water. This paper presents a brief overview of water as a tradable commodity via a new first of its kind futures contract on the Nasdaq Veles California Water Index (NQH2O) derivative instrument, TheGeneralised Autoregressive Conditional Heteroscedasticity (GARCH) statistical model will be the used to measure the water price volatility of the instrument and its performance since it’s been traded. describe the main products and illustrate their usage in risk management and also discuss key challenges with modeling and valuation of water as a traded commodity and finally discuss how water derivatives may be taken as an alternative asset investment class. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=water%20derivatives" title="water derivatives">water derivatives</a>, <a href="https://publications.waset.org/abstracts/search?q=commodity%20market" title=" commodity market"> commodity market</a>, <a href="https://publications.waset.org/abstracts/search?q=nasdaq%20veles%20california%20water%20Index%20%28NQH2O" title=" nasdaq veles california water Index (NQH2O"> nasdaq veles california water Index (NQH2O</a>, <a href="https://publications.waset.org/abstracts/search?q=water%20price" title=" water price"> water price</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20management" title=" risk management"> risk management</a> </p> <a href="https://publications.waset.org/abstracts/153057/risk-management-of-water-derivatives-a-new-commodity-in-the-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/153057.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">136</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8948</span> Theoretical and ML-Driven Identification of a Mispriced Credit Risk</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Yuri%20Katz">Yuri Katz</a>, <a href="https://publications.waset.org/abstracts/search?q=Kun%20Liu"> Kun Liu</a>, <a href="https://publications.waset.org/abstracts/search?q=Arunram%20Atmacharan"> Arunram Atmacharan</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Due to illiquidity, mispricing on Credit Markets is inevitable. This creates huge challenges to banks and investors as they seek to find new ways of risk valuation and portfolio management in a post-credit crisis world. Here, we analyze the difference in behavior of the spread-to-maturity in investment and high-yield categories of US corporate bonds between 2014 and 2023. Deviation from the theoretical dependency of this measure in the universe under study allows to identify multiple cases of mispriced credit risk. Remarkably, we observe mispriced bonds in both categories of credit ratings. This identification is supported by the application of the state-of-the-art machine learning model in more than 90% of cases. Noticeably, the ML-driven model-based forecasting of a category of bond’s credit ratings demonstrate an excellent out-of-sample accuracy (AUC = 98%). We believe that these results can augment conventional valuations of credit portfolios. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=credit%20risk" title="credit risk">credit risk</a>, <a href="https://publications.waset.org/abstracts/search?q=credit%20ratings" title=" credit ratings"> credit ratings</a>, <a href="https://publications.waset.org/abstracts/search?q=bond%20pricing" title=" bond pricing"> bond pricing</a>, <a href="https://publications.waset.org/abstracts/search?q=spread-to-maturity" title=" spread-to-maturity"> spread-to-maturity</a>, <a href="https://publications.waset.org/abstracts/search?q=machine%20learning" title=" machine learning"> machine learning</a> </p> <a href="https://publications.waset.org/abstracts/171152/theoretical-and-ml-driven-identification-of-a-mispriced-credit-risk" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/171152.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">79</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8947</span> Scientometrics Analysis of Food Supply Chain Risk Assessment Literature: Based On Web of Science Record 1996-2014</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mohsen%20Shirani">Mohsen Shirani</a>, <a href="https://publications.waset.org/abstracts/search?q=Shadi%20Asadzandi"> Shadi Asadzandi</a>, <a href="https://publications.waset.org/abstracts/search?q=Micaela%20Demichela"> Micaela Demichela</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper presents the results of a study to assess crucial aspects and the strength of the scientific basis of a typically interdisciplinary, applied field: food supply chain risk assessment research. Our approach is based on an advanced scientometrics analysis with novel elements to assess the influence and dissemination of research results and to measure interdisciplinary. This paper aims to describe the quantity and quality of the publication trends in food supply chain risk assessment. The population under study was composed of 266 articles from database web of science. The results were analyzed based on date of publication, type of document, language of the documents, source of publications, subject areas, authors and their affiliations, and the countries involved in developing the articles. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=food%20supply%20chain" title="food supply chain">food supply chain</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20assessment" title=" risk assessment"> risk assessment</a>, <a href="https://publications.waset.org/abstracts/search?q=scientometrics" title=" scientometrics"> scientometrics</a>, <a href="https://publications.waset.org/abstracts/search?q=web%20of%20science" title=" web of science"> web of science</a> </p> <a href="https://publications.waset.org/abstracts/42434/scientometrics-analysis-of-food-supply-chain-risk-assessment-literature-based-on-web-of-science-record-1996-2014" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/42434.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">495</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8946</span> VaR Estimation Using the Informational Content of Futures Traded Volume</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Amel%20Oueslati">Amel Oueslati</a>, <a href="https://publications.waset.org/abstracts/search?q=Olfa%20Benouda"> Olfa Benouda</a> </p> <p class="card-text"><strong>Abstract:</strong></p> New Value at Risk (VaR) estimation is proposed and investigated. The well-known two stages Garch-EVT approach uses conditional volatility to generate one step ahead forecasts of VaR. With daily data for twelve stocks that decompose the Dow Jones Industrial Average (DJIA) index, this paper incorporates the volume in the first stage volatility estimation. Afterwards, the forecasting ability of this conditional volatility concerning the VaR estimation is compared to that of a basic volatility model without considering any trading component. The results are significant and bring out the importance of the trading volume in the VaR measure. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Garch-EVT" title="Garch-EVT">Garch-EVT</a>, <a href="https://publications.waset.org/abstracts/search?q=value%20at%20risk" title=" value at risk"> value at risk</a>, <a href="https://publications.waset.org/abstracts/search?q=volume" title=" volume"> volume</a>, <a href="https://publications.waset.org/abstracts/search?q=volatility" title=" volatility"> volatility</a> </p> <a href="https://publications.waset.org/abstracts/56021/var-estimation-using-the-informational-content-of-futures-traded-volume" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/56021.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">285</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8945</span> Contagious Corporate Reputation Risk: Uncovering the Pandemic’s Impact</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Yawen%20Xia">Yawen Xia</a>, <a href="https://publications.waset.org/abstracts/search?q=Rubi%20Yang"> Rubi Yang</a>, <a href="https://publications.waset.org/abstracts/search?q=Jing%20Zhao"> Jing Zhao</a> </p> <p class="card-text"><strong>Abstract:</strong></p> By using the Reputation Risk Index (RRI) to measure company environmental, social, and governance (ESG) activities, this research studies firms’ ESG comovement with their industry and local peers. This comovement is attenuated during the Covid-19 pandemic. Further analysis shows that corporate governance plays an important role in comovement decrease. We classify companies by region (city, state, region) and industry and calculate the average RRI of companies of the same type. We run separate regressions to test 1) industry comovement; 2) local comovement; 3) Covid-19 pandemic and reputation risk comovement; 4) corporate governance and reputation risk comovement. Our findings are consistent with previous literature that companies follow their industry and local counterparts in engaging in irresponsible activities and reducing ESG engagement. We speculate Covid shock led to a reduction in social activities and information sharing among enterprise managers, and comovement between enterprises, as a result, decreased during the pandemic. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=ESG" title="ESG">ESG</a>, <a href="https://publications.waset.org/abstracts/search?q=Covid" title=" Covid"> Covid</a>, <a href="https://publications.waset.org/abstracts/search?q=peer%20pressure" title=" peer pressure"> peer pressure</a>, <a href="https://publications.waset.org/abstracts/search?q=local%20comovement" title=" local comovement"> local comovement</a>, <a href="https://publications.waset.org/abstracts/search?q=corporate%20governance" title=" corporate governance"> corporate governance</a> </p> <a href="https://publications.waset.org/abstracts/166321/contagious-corporate-reputation-risk-uncovering-the-pandemics-impact" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/166321.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">135</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8944</span> A Guidance to Enhance the Risk Culture among the Organizations</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Najeebah%20Almahmeed">Najeebah Almahmeed</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Risk Management is an evolving subject among organizations that include corporations, governments, non-governmental organizations, and not-for-profit corporations. In order to enhance awareness around the importance of Risk Management and make sure everyone is using it in their day-to-day job, the Risk Culture topic has emerged and gained importance not only in the Finance Sector but also in the National Oil Companies in Kuwait. Risk Culture can be defined as the shared beliefs, attitudes, and behaviors within a company that guide its approach to managing risks. It acts as a connecting force that links policies, procedures, and individuals, influencing how risks are understood and tackled through activities. In this research, benefits of Risk Culture are shared, guidelines are presented to promote a risk aware culture, and fully embed and enforce Risk-based processes and procedures. Moreover, this research demonstrates methodologies of measuring the Risk Culture using specific dimensions and clusters. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=clusters" title="clusters">clusters</a>, <a href="https://publications.waset.org/abstracts/search?q=dimensions" title=" dimensions"> dimensions</a>, <a href="https://publications.waset.org/abstracts/search?q=national%20oil%20companies" title=" national oil companies"> national oil companies</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20culture" title=" risk culture"> risk culture</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20management" title=" risk management"> risk management</a> </p> <a href="https://publications.waset.org/abstracts/172830/a-guidance-to-enhance-the-risk-culture-among-the-organizations" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/172830.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">79</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8943</span> Risk Assessment for International Investment: A Standardized Approach to Identify Risk, Risk Appetite, Risk Rating, Risk Treatment and Mitigation Plans</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Pui%20Yong%20Leo">Pui Yong Leo</a>, <a href="https://publications.waset.org/abstracts/search?q=Normy%20Maziah%20Mohd%20Said"> Normy Maziah Mohd Said</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Change of global economy landscape and business environment has led to companies’ decision to go global and enter international markets. As the companies go beyond the comfort zone (i.e. investing in the home country), it is important to ensure a comprehensive risk assessment is carried out. This paper describes a standardized approach for international investment, ensuring identification of risk, risk appetite, risk rating, risk treatment and mitigation plans for respective international investment proposal. The standardized approach is divided into three (3) stages as follows: Stage 1 – Preliminary Risk profiling; with the objective to gauge exposure to countries and high level risk factors as first level assessment. Stage 2 – Risk Parameters; with the objective to define risk appetite for the international investment from the perspective of likelihood and impact. Stage 3 – Detailed Risk Assessments; with the objectives to assess in detail any triggered elements from Stage 1, and project specific risks. The final output will include the mitigation plans for the identified risks for the total investment. Example will be given in this paper to show how comprehensive risk assessment is carried out for an international investment in power energy sector. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=international%20investment" title="international investment">international investment</a>, <a href="https://publications.waset.org/abstracts/search?q=mitigation%20plans" title=" mitigation plans"> mitigation plans</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20appetite" title=" risk appetite"> risk appetite</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20assessment" title=" risk assessment"> risk assessment</a> </p> <a href="https://publications.waset.org/abstracts/61464/risk-assessment-for-international-investment-a-standardized-approach-to-identify-risk-risk-appetite-risk-rating-risk-treatment-and-mitigation-plans" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/61464.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">388</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">8942</span> Econophysics: The Use of Entropy Measures in Finance</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Muhammad%20Sheraz">Muhammad Sheraz</a>, <a href="https://publications.waset.org/abstracts/search?q=Vasile%20Preda"> Vasile Preda</a>, <a href="https://publications.waset.org/abstracts/search?q=Silvia%20Dedu"> Silvia Dedu</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Concepts of econophysics are usually used to solve problems related to uncertainty and nonlinear dynamics. In the theory of option pricing the risk neutral probabilities play very important role. The application of entropy in finance can be regarded as the extension of both information entropy and the probability entropy. It can be an important tool in various financial methods such as measure of risk, portfolio selection, option pricing and asset pricing. Gulko applied Entropy Pricing Theory (EPT) for pricing stock options and introduced an alternative framework of Black-Scholes model for pricing European stock option. In this article, we present solutions to maximum entropy problems based on Tsallis, Weighted-Tsallis, Kaniadakis, Weighted-Kaniadakies entropies, to obtain risk-neutral densities. We have also obtained the value of European call and put in this framework. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=option%20pricing" title="option pricing">option pricing</a>, <a href="https://publications.waset.org/abstracts/search?q=Black-Scholes%20model" title=" Black-Scholes model"> Black-Scholes model</a>, <a href="https://publications.waset.org/abstracts/search?q=Tsallis%20entropy" title=" Tsallis entropy"> Tsallis entropy</a>, <a href="https://publications.waset.org/abstracts/search?q=Kaniadakis%20entropy" title=" Kaniadakis entropy"> Kaniadakis entropy</a>, <a href="https://publications.waset.org/abstracts/search?q=weighted%20entropy" title=" weighted entropy"> weighted entropy</a>, <a href="https://publications.waset.org/abstracts/search?q=risk-neutral%20density" title=" risk-neutral density"> risk-neutral density</a> </p> <a href="https://publications.waset.org/abstracts/55546/econophysics-the-use-of-entropy-measures-in-finance" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/55546.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">303</span> </span> </div> </div> <ul class="pagination"> <li class="page-item disabled"><span class="page-link">&lsaquo;</span></li> <li class="page-item active"><span class="page-link">1</span></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=risk%20measure&page=2">2</a></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=risk%20measure&page=3">3</a></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=risk%20measure&page=4">4</a></li> <li class="page-item"><a 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