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market risk</title> <meta name="description" content="Search results for: financial market risk"> <meta name="keywords" content="financial market risk"> <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 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action="https://publications.waset.org/abstracts/search"> <div 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="financial market risk"> <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> 10932</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: financial market risk</h1> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">10932</span> Analysis of the Predictive Performance of Value at Risk Estimations in Times of Financial Crisis</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Alexander%20Marx">Alexander Marx</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Measuring and mitigating market risk is essential for the stability of enterprises, especially for major banking corporations and investment bank firms. To employ these risk measurement and mitigation processes, the Value at Risk (VaR) is the most commonly used risk metric by practitioners. In the past years, we have seen significant weaknesses in the predictive performance of the VaR in times of financial market crisis. To address this issue, the purpose of this study is to investigate the value-at-risk (VaR) estimation models and their predictive performance by applying a series of backtesting methods on the stock market indices of the G7 countries (Canada, France, Germany, Italy, Japan, UK, US, Europe). The study employs parametric, non-parametric, and semi-parametric VaR estimation models and is conducted during three different periods which cover the most recent financial market crisis: the overall period (2006–2022), the global financial crisis period (2008–2009), and COVID-19 period (2020–2022). Since the regulatory authorities have introduced and mandated the Conditional Value at Risk (Expected Shortfall) as an additional regulatory risk management metric, the study will analyze and compare both risk metrics on their predictive performance. <p class="card-text"><strong>Keywords:</strong> <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=financial%20market%20risk" title=" financial market risk"> financial market risk</a>, <a href="https://publications.waset.org/abstracts/search?q=banking" title=" banking"> banking</a>, <a href="https://publications.waset.org/abstracts/search?q=quantitative%20risk%20management" title=" quantitative risk management"> quantitative risk management</a> </p> <a href="https://publications.waset.org/abstracts/161900/analysis-of-the-predictive-performance-of-value-at-risk-estimations-in-times-of-financial-crisis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/161900.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">95</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">10931</span> Financial Instrument with High Investment Risk on the Warsaw Stock Exchange</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Piotr%20Prewysz-Kwinto">Piotr Prewysz-Kwinto</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The market of financial instruments with high risk is developing very dynamically in recent years and attracts more and more interest of investors. It consists essentially of two groups of instruments, i.e. derivatives and exchange traded product (ETP), and each year new types are introduced and offered to investors. The aim of this paper is to present the principles concerning financial instruments with high investment risk available on the Warsaw Stock Exchange (WSE), because they have quite complex constructions, and to evaluate the development of this market. In order to achieve this aim, statistical data from 2014-2016 was analyzed. The results confirm that the financial instruments with high investment risk available on the WSE constitute a diversified and the most numerous group of financial instruments and attract the most interest of investors. Responsible investing requires, however, a good knowledge of how they work and how they can generate profit to not expose oneself to unexpected losses. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=derivatives" title="derivatives">derivatives</a>, <a href="https://publications.waset.org/abstracts/search?q=exchange%20traded%20products%20%28ETP%29" title=" exchange traded products (ETP)"> exchange traded products (ETP)</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20instruments" title=" financial instruments"> financial instruments</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20market" title=" financial market"> financial market</a>, <a href="https://publications.waset.org/abstracts/search?q=risk" title=" risk"> risk</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20exchange" title=" stock exchange"> stock exchange</a> </p> <a href="https://publications.waset.org/abstracts/73598/financial-instrument-with-high-investment-risk-on-the-warsaw-stock-exchange" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/73598.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">380</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">10930</span> An Overview of Risk Types and Risk Management Strategies to Improve Financial Performance</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Azar%20Baghtaghi">Azar Baghtaghi</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Financial risk management is critically important as it enables companies to maintain stability and profitability amidst market fluctuations and unexpected events. It involves the precise identification of risks that could impact investments, assets, and potential revenues. By implementing effective risk management strategies, companies can insure themselves against adverse market changes and prevent potential losses. In today's era, where markets are highly complex and influenced by various factors such as macroeconomic policies, exchange rate fluctuations, and natural disasters, the need for meticulous planning to cope with these uncertainties is more pronounced. Ultimately, financial risk management means being prepared for the future and the ability to sustain business in changing environments. A company capable of managing its risks not only achieves sustainable profitability but also gains the confidence of shareholders, investors, and business partners, enhancing its competitive position in the market. In this article, the types of financial risk and risk management strategies for improving financial performance were investigated. By identifying the risks stated in this article and their evaluation techniques, it is possible to improve the organization's financial performance. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=strategy" title="strategy">strategy</a>, <a href="https://publications.waset.org/abstracts/search?q=risk" title=" risk"> 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=financial%20performance." title=" financial performance."> financial performance.</a> </p> <a href="https://publications.waset.org/abstracts/194012/an-overview-of-risk-types-and-risk-management-strategies-to-improve-financial-performance" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/194012.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">9</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">10929</span> Overview of Risk Management in Electricity Markets Using Financial Derivatives</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Aparna%20Viswanath">Aparna Viswanath</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Electricity spot prices are highly volatile under optimal generation capacity scenarios due to factors such as non-storability of electricity, peak demand at certain periods, generator outages, fuel uncertainty for renewable energy generators, huge investments and time needed for generation capacity expansion etc. As a result market participants are exposed to price and volume risk, which has led to the development of risk management practices. This paper provides an overview of risk management practices by market participants in electricity markets using financial derivatives. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=financial%20derivatives" title="financial derivatives">financial derivatives</a>, <a href="https://publications.waset.org/abstracts/search?q=forward" title=" forward"> forward</a>, <a href="https://publications.waset.org/abstracts/search?q=futures" title=" futures"> futures</a>, <a href="https://publications.waset.org/abstracts/search?q=options" title=" options"> options</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/19404/overview-of-risk-management-in-electricity-markets-using-financial-derivatives" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/19404.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">479</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">10928</span> Framework for Assessment of Non-financial Concentration Risk</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Anchal%20Gupta">Anchal Gupta</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Amid the escalating digitalization and deployment of cross-border technological solutions, a significant portion of the industry and regulatory bodies have begun to pose queries concerning the formulation, computation, and contemplation of concentration risk. In the financial sector, well-established parameters exist for gauging the concentration of a portfolio and similar elements. However, a unified framework appears to be absent, which could guide industry and regulators pertaining to non-financial concentration risk. This paper introduces a framework, constructed on the foundation of multiple regulations where regulators are advocating for licensed corporations to evaluate their concentration risk. The lacuna lies in the fact that, while regulators delineate what constitutes concentration risk, unlike other domains, no guidelines are provided that could assist firms. This frequently results in ambiguity and individual corporate interpretation, which, from a risk management standpoint, is less than ideal. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=concentration%20risk" title="concentration risk">concentration risk</a>, <a href="https://publications.waset.org/abstracts/search?q=non-financial%20risk" title=" non-financial risk"> non-financial risk</a>, <a href="https://publications.waset.org/abstracts/search?q=government%20regulation" title=" government regulation"> government regulation</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20regulation" title=" financial regulation"> financial regulation</a>, <a href="https://publications.waset.org/abstracts/search?q=non-market%20risk" title=" non-market risk"> non-market risk</a>, <a href="https://publications.waset.org/abstracts/search?q=MAS" title=" MAS"> MAS</a>, <a href="https://publications.waset.org/abstracts/search?q=DORA" title=" DORA"> DORA</a>, <a href="https://publications.waset.org/abstracts/search?q=EDSP" title=" EDSP"> EDSP</a>, <a href="https://publications.waset.org/abstracts/search?q=SFC" title=" SFC"> SFC</a> </p> <a href="https://publications.waset.org/abstracts/186622/framework-for-assessment-of-non-financial-concentration-risk" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/186622.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">40</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">10927</span> Portfolio Selection with Active Risk Monitoring</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Marc%20S.%20Paolella">Marc S. Paolella</a>, <a href="https://publications.waset.org/abstracts/search?q=Pawel%20Polak"> Pawel Polak</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and non-ellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio optimization with active risk monitoring. The former selects optimal portfolio weights. The latter, independently, initiates market exit in case of excessive risks. The strategy agrees with the stylized fact of stock market major sell-offs during the initial stage of market downturns. The advantages of the new framework are illustrated with an extensive empirical study. It leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk fear portfolio strategy outperforms various competing types of optimal portfolios, even in the presence of conservative transaction costs and frequent rebalancing. The risk monitoring of the optimal portfolio can serve as an early warning system against large market risks. In particular, the new strategy avoids all the losses during the 2008 financial crisis, and it profits from the subsequent market recovery. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=comfort" title="comfort">comfort</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20crises" title=" financial crises"> financial crises</a>, <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=risk%20monitoring" title=" risk monitoring"> risk monitoring</a> </p> <a href="https://publications.waset.org/abstracts/28504/portfolio-selection-with-active-risk-monitoring" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/28504.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">525</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">10926</span> The Role of the Rate of Profit Concept in Creating Economic Stability in Islamic Financial Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Trisiladi%20Supriyanto">Trisiladi Supriyanto</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study aims to establish a concept of rate of profit on Islamic banking that can create economic justice and stability in the Islamic Financial Market (Banking and Capital Markets). A rate of profit that creates economic justice and stability can be achieved through its role in maintaining the stability of the financial system in which there is an equitable distribution of income and wealth. To determine the role of the rate of profit as the basis of the profit sharing system implemented in the Islamic financial system, we can see the connection of rate of profit in creating financial stability, especially in the asset-liability management of financial institutions that generate a stable net margin or the rate of profit that is not affected by the ups and downs of the market risk factors, including indirect effect on interest rates. Furthermore, Islamic financial stability can be seen from the role of the rate of profit on the stability of the Islamic financial assets value that are measured from the Islamic financial asset price volatility in the Islamic Bond Market in the Capital Market. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=economic%20justice" title="economic justice">economic justice</a>, <a href="https://publications.waset.org/abstracts/search?q=equitable%20distribution%20of%20income" title=" equitable distribution of income"> equitable distribution of income</a>, <a href="https://publications.waset.org/abstracts/search?q=equitable%20distribution%20of%20wealth" title=" equitable distribution of wealth"> equitable distribution of wealth</a>, <a href="https://publications.waset.org/abstracts/search?q=rate%20of%20profit" title=" rate of profit"> rate of profit</a>, <a href="https://publications.waset.org/abstracts/search?q=stability%20in%20the%20financial%20system" title=" stability in the financial system"> stability in the financial system</a> </p> <a href="https://publications.waset.org/abstracts/48161/the-role-of-the-rate-of-profit-concept-in-creating-economic-stability-in-islamic-financial-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/48161.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">314</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">10925</span> Exploring the Effect of Accounting Information on Systematic Risk: An Empirical Evidence of Tehran Stock Exchange</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mojtaba%20Rezaei">Mojtaba Rezaei</a>, <a href="https://publications.waset.org/abstracts/search?q=Elham%20Heydari"> Elham Heydari</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper highlights the empirical results of analyzing the correlation between accounting information and systematic risk. This association is analyzed among financial ratios and systematic risk by considering the financial statement of 39 companies listed on the Tehran Stock Exchange (TSE) for five years (2014-2018). Financial ratios have been categorized into four groups and to describe the special features, as representative of accounting information we selected: Return on Asset (ROA), Debt Ratio (Total Debt to Total Asset), Current Ratio (current assets to current debt), Asset Turnover (Net sales to Total assets), and Total Assets. The hypotheses were tested through simple and multiple linear regression and T-student test. The findings illustrate that there is no significant relationship between accounting information and market risk. This indicates that in the selected sample, historical accounting information does not fully reflect the price of stocks. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=accounting%20information" title="accounting information">accounting information</a>, <a href="https://publications.waset.org/abstracts/search?q=market%20risk" title=" market risk"> market risk</a>, <a href="https://publications.waset.org/abstracts/search?q=systematic%20risk" title=" systematic risk"> systematic risk</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20return" title=" stock return"> stock return</a>, <a href="https://publications.waset.org/abstracts/search?q=efficient%20market%20hypothesis" title=" efficient market hypothesis"> efficient market hypothesis</a>, <a href="https://publications.waset.org/abstracts/search?q=EMH" title=" EMH"> EMH</a>, <a href="https://publications.waset.org/abstracts/search?q=Tehran%20stock%20exchange" title=" Tehran stock exchange"> Tehran stock exchange</a>, <a href="https://publications.waset.org/abstracts/search?q=TSE" title=" TSE"> TSE</a> </p> <a href="https://publications.waset.org/abstracts/118623/exploring-the-effect-of-accounting-information-on-systematic-risk-an-empirical-evidence-of-tehran-stock-exchange" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/118623.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">133</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">10924</span> The Role of the Basel Accords in Mitigating Systemic Risk</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Wassamon%20Kun-Amornpong">Wassamon Kun-Amornpong</a> </p> <p class="card-text"><strong>Abstract:</strong></p> When a financial crisis occurs, there will be a law and regulatory reform in order to manage the turmoil and prevent a future crisis. One of the most important regulatory efforts to help cope with systemic risk and a financial crisis is the third version of the Basel Accord. Basel III has introduced some measures and tools (e.g., systemic risk buffer, countercyclical buffer, capital conservation buffer and liquidity risk) in order to mitigate systemic risk. Nevertheless, the effectiveness of these measures in Basel III in adequately addressing the problem of contagious runs that can quickly spread throughout the financial system is questionable. This paper seeks to contribute to the knowledge regarding the role of the Basel Accords in mitigating systemic risk. The research question is to what extent the Basel Accords can help control systemic risk in the financial markets? The paper tackles this question by analysing the concept of systemic risk. It will then examine the weaknesses of the Basel Accords before and after the Global financial crisis in 2008. Finally, it will suggest some possible solutions in order to improve the Basel Accord. The rationale of the study is the fact that academic works on systemic risk and financial crises are largely studied from economic or financial perspective. There is comparatively little research from the legal and regulatory perspective. The finding of the paper is that there are some problems in all of the three pillars of the Basel Accords. With regards to Pillar I, the risk model is excessively complex while the benefits of its complexity are doubtful. Concerning Pillar II, the effectiveness of the risk-based supervision in preventing systemic risk still depends largely upon its design and implementation. Factors such as organizational culture of the regulator and the political context within which the risk-based supervision operates might be a barrier against the success of Pillar II. Meanwhile, Pillar III could not provide adequate market discipline as market participants do not always act in a rational way. In addition, the too-big-to-fail perception reduced the incentives of the market participants to monitor risks. There has been some development in resolution measure (e.g. TLAC and MREL) which might potentially help strengthen the incentive of the market participants to monitor risks. However, those measures have some weaknesses. The paper argues that if the weaknesses in the three pillars are resolved, it can be expected that the Basel Accord could contribute to the mitigation of systemic risk in a more significant way in the future. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Basel%20accords" title="Basel accords">Basel accords</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20regulation" title=" financial regulation"> financial regulation</a>, <a href="https://publications.waset.org/abstracts/search?q=risk-based%20supervision" title=" risk-based supervision"> risk-based supervision</a>, <a href="https://publications.waset.org/abstracts/search?q=systemic%20risk" title=" systemic risk"> systemic risk</a> </p> <a href="https://publications.waset.org/abstracts/106762/the-role-of-the-basel-accords-in-mitigating-systemic-risk" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/106762.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">128</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">10923</span> Financial Portfolio Optimization in Turkish Electricity Market via Value at Risk</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=F.%20G%C3%B6kg%C3%B6z">F. Gökgöz</a>, <a href="https://publications.waset.org/abstracts/search?q=M.%20E.%20Atmaca"> M. E. Atmaca</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Electricity has an indispensable role in human daily life, technological development and economy. It is a special product or service that should be instantaneously generated and consumed. Sources of the world are limited so that effective and efficient use of them is very important not only for human life and environment but also for technological and economic development. Competitive electricity market is one of the important way that provides suitable platform for effective and efficient use of electricity. Besides benefits, it brings along some risks that should be carefully managed by a market player like Electricity Generation Company. Risk management is an essential part in market players’ decision making. In this paper, risk management through diversification is applied with the help of Value at Risk methods for case studies. Performance of optimal electricity sale solutions are measured and the portfolio performance has been evaluated via Sharpe-Ratio, and compared with conventional approach. Biennial historical electricity price data of Turkish Day Ahead Market are used to demonstrate the approach. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=electricity%20market" title="electricity market">electricity market</a>, <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=risk%20management" title=" risk management"> risk management</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/52928/financial-portfolio-optimization-in-turkish-electricity-market-via-value-at-risk" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/52928.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">313</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">10922</span> The Impact of Global Financial Crises and Corporate Financial Crisis (Bankruptcy Risk) on Corporate Tax Evasion: Evidence from Emerging Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Seyed%20Sajjad%20Habibi">Seyed Sajjad Habibi</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The aim of this study is to investigate the impact of global financial crises and corporate financial crisis on tax evasion of companies listed on the Tehran Stock Exchange. For this purpose, panel data in the periods of financial crisis period (2007 to 2012) and without a financial crisis (2004, 2005, 2006, 2013, 2014, and 2015) was analyzed using multivariate linear regression. The results indicate a significant relationship between the corporate financial crisis (bankruptcy risk) and tax evasion in the global financial crisis period. The results also showed a significant relationship between the corporate bankruptcy risk and tax evasion in the period with no global financial crisis. A significant difference was found between the bankruptcy risk and tax evasion in the period of the global financial crisis and that with no financial crisis so that tax evasion increased in the financial crisis period. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=global%20financial%20crisis" title="global financial crisis">global financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=corporate%20financial%20crisis" title=" corporate financial crisis"> corporate financial crisis</a>, <a href="https://publications.waset.org/abstracts/search?q=bankruptcy%20risk" title=" bankruptcy risk"> bankruptcy risk</a>, <a href="https://publications.waset.org/abstracts/search?q=tax%20evasion%20risk" title=" tax evasion risk"> tax evasion risk</a>, <a href="https://publications.waset.org/abstracts/search?q=emerging%20markets" title=" emerging markets"> emerging markets</a> </p> <a href="https://publications.waset.org/abstracts/85211/the-impact-of-global-financial-crises-and-corporate-financial-crisis-bankruptcy-risk-on-corporate-tax-evasion-evidence-from-emerging-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/85211.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">280</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">10921</span> Climate Related Financial Risk on Automobile Industry and the Impact to the Financial Institutions</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mahalakshmi%20Vivekanandan%20S.">Mahalakshmi Vivekanandan S.</a> </p> <p class="card-text"><strong>Abstract:</strong></p> As per the recent changes happening in the global policies, climate-related changes and the impact it causes across every sector are viewed as green swan events – in essence, climate-related changes can often happen and lead to risk and a lot of uncertainty, but needs to be mitigated instead of considering them as black swan events. This brings about a question on how this risk can be computed so that the financial institutions can plan to mitigate it. Climate-related changes impact all risk types – credit risk, market risk, operational risk, liquidity risk, reputational risk and other risk types. And the models required to compute this has to consider the different industrial needs of the counterparty, as well as the factors that are contributing to this – be it in the form of different risk drivers, or the different transmission channels or the different approaches and the granular form of data availability. This brings out the suggestion that the climate-related changes, though it affects Pillar I risks, will be a Pillar II risk. This has to be modeled specifically based on the financial institution’s actual exposure to different industries instead of generalizing the risk charge. And this will have to be considered as the additional capital to be met by the financial institution in addition to their Pillar I risks, as well as the existing Pillar II risks. In this paper, the author presents a risk assessment framework to model and assess climate change risks - for both credit and market risks. This framework helps in assessing the different scenarios and how the different transition risks affect the risk associated with the different parties. This research paper delves into the topic of the increase in the concentration of greenhouse gases that in turn cause global warming. It then considers the various scenarios of having the different risk drivers impacting the Credit and market risk of an institution by understanding the transmission channels and also considering the transition risk. The paper then focuses on the industry that’s fast seeing a disruption: the automobile industry. The paper uses the framework to show how the climate changes and the change to the relevant policies have impacted the entire financial institution. Appropriate statistical models for forecasting, anomaly detection and scenario modeling are built to demonstrate how the framework can be used by the relevant agencies to understand their financial risks. The paper also focuses on the climate risk calculation for the Pillar II Capital calculations and how it will make sense for the bank to maintain this in addition to their regular Pillar I and Pillar II capital. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=capital%20calculation" title="capital calculation">capital calculation</a>, <a href="https://publications.waset.org/abstracts/search?q=climate%20risk" title=" climate risk"> climate risk</a>, <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=pillar%20ii%20risk" title=" pillar ii risk"> pillar ii risk</a>, <a href="https://publications.waset.org/abstracts/search?q=scenario%20modeling" title=" scenario modeling"> scenario modeling</a> </p> <a href="https://publications.waset.org/abstracts/148187/climate-related-financial-risk-on-automobile-industry-and-the-impact-to-the-financial-institutions" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/148187.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">140</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">10920</span> Stochastic Default Risk Estimation Evidence from the South African Financial Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mesias%20Alfeus">Mesias Alfeus</a>, <a href="https://publications.waset.org/abstracts/search?q=Kirsty%20Fitzhenry"> Kirsty Fitzhenry</a>, <a href="https://publications.waset.org/abstracts/search?q=Alessia%20Lederer"> Alessia Lederer</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The present paper provides empirical studies to estimate defaultable bonds in the South African financial market. The main goal is to estimate the unobservable factors affecting bond yields for South African major banks. The maximum likelihood approach is adopted for the estimation methodology. Extended Kalman filtering techniques are employed in order to tackle the situation that the factors cannot be observed directly. Multi-dimensional Cox-Ingersoll-Ross (CIR)-type factor models are considered. Results show that default risk increased sharply in the South African financial market during COVID-19 and the CIR model with jumps exhibits a better performance. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=default%20intensity" title="default intensity">default intensity</a>, <a href="https://publications.waset.org/abstracts/search?q=unobservable%20state%20variables" title=" unobservable state variables"> unobservable state variables</a>, <a href="https://publications.waset.org/abstracts/search?q=CIR" title=" CIR"> CIR</a>, <a href="https://publications.waset.org/abstracts/search?q=%CE%B1-CIR" title=" α-CIR"> α-CIR</a>, <a href="https://publications.waset.org/abstracts/search?q=extended%20kalman%20filtering" title=" extended kalman filtering"> extended kalman filtering</a> </p> <a href="https://publications.waset.org/abstracts/151890/stochastic-default-risk-estimation-evidence-from-the-south-african-financial-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/151890.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">111</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">10919</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">10918</span> Islamic Financial Engineering: An Overview</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mahfoud%20Djebbar">Mahfoud Djebbar</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The past two decades or so have witnessed phenomenal growth of the Islamic financial services industry. The whole industry has been thriving at about 15 percent per annum. This development entails the Islamic financial engineering, IFE, to some kind of crossroads, lagging behind its conventional counterpart. Therefore, IFE, and particularly traded products development, and in order to achieve its goals, two approaches are available, i.e., replicating engineering and innovative engineering. We also try to emphasis the innovative strategy since it guards the Islamic identity of different financial products and processes, and thereby, improves the creativity in the Islamic financial industry. The attempt also centers on sukukization (Islamic securitization), innovation, liquidity management, and risk management and hedging in the Islamic financial system. Finally, the challenges facing IFE are also addressed. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=islamic%20financial%20engineering" title="islamic financial engineering">islamic financial engineering</a>, <a href="https://publications.waset.org/abstracts/search?q=hedging%20and%20risk%20management" title=" hedging and risk management"> hedging and risk management</a>, <a href="https://publications.waset.org/abstracts/search?q=innovation" title=" innovation"> innovation</a>, <a href="https://publications.waset.org/abstracts/search?q=securitization" title=" securitization"> securitization</a>, <a href="https://publications.waset.org/abstracts/search?q=money%20market%20instruments" title=" money market instruments"> money market instruments</a>, <a href="https://publications.waset.org/abstracts/search?q=islamic%20capital%20markets" title=" islamic capital markets"> islamic capital markets</a> </p> <a href="https://publications.waset.org/abstracts/17514/islamic-financial-engineering-an-overview" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/17514.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">556</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">10917</span> In Search of Zero Beta Assets: Evidence from the Sukuk Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Andrea%20Paltrinieri">Andrea Paltrinieri</a>, <a href="https://publications.waset.org/abstracts/search?q=Alberto%20Dreassi"> Alberto Dreassi</a>, <a href="https://publications.waset.org/abstracts/search?q=Stefano%20Miani"> Stefano Miani</a>, <a href="https://publications.waset.org/abstracts/search?q=Alex%20Sclip"> Alex Sclip </a> </p> <p class="card-text"><strong>Abstract:</strong></p> The financial crises caused a collapse in prices of most asset classes, raising the attention on alternative investments such as Sukuk, a smaller, fast growing but often misunderstood market. We study diversification benefits of Sukuk, their correlation with other asset classes and the effects of their inclusion in investment portfolios of institutional and retail investors, through a comprehensive comparison of their risk/return profiles during and after the financial crisis. We find a beneficial performance adjusted for the specific volatility together with a lower correlation especially during the financial crisis. The distribution of Sukuk returns is positively skewed and leptokurtic, with a risk/return profile similarly to high yield bonds. Overall, our results suggest that Sukuk present diversification opportunities, a significant volatility-adjusted performance and lower correlations especially during the financial crisis. Our findings are relevant for a number of institutional investors. Long term investors, such as life insurers would benefit from Sukuk’s protective features during financial crisis yet keeping return and growth opportunities, whereas banks would gain due to their role of placers, advisors, market makers or underwriters. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=sukuk" title="sukuk">sukuk</a>, <a href="https://publications.waset.org/abstracts/search?q=zero%20beta%20asset" title=" zero beta asset"> zero beta asset</a>, <a href="https://publications.waset.org/abstracts/search?q=asset%20allocation" title=" asset allocation"> asset allocation</a>, <a href="https://publications.waset.org/abstracts/search?q=sukuk%20market" title=" sukuk market"> sukuk market</a> </p> <a href="https://publications.waset.org/abstracts/21247/in-search-of-zero-beta-assets-evidence-from-the-sukuk-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/21247.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">477</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">10916</span> Financial Literacy and Stock Market Participation: Does Gender Matter?</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Irfan%20Ullah%20Munir">Irfan Ullah Munir</a>, <a href="https://publications.waset.org/abstracts/search?q=Shen%20Yue"> Shen Yue</a>, <a href="https://publications.waset.org/abstracts/search?q=Muhammad%20Shahzad%20Ijaz"> Muhammad Shahzad Ijaz</a>, <a href="https://publications.waset.org/abstracts/search?q=Saad%20%20Hussain"> Saad Hussain</a>, <a href="https://publications.waset.org/abstracts/search?q=Syeda%20Yumna%20%20Zaidi"> Syeda Yumna Zaidi</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Financial literacy is fundamental to every decision-making process and has received attention from researchers, regulatory bodies and policy makers in the recent past. This study is an attempt to evaluate financial literacy in an emerging economy, particularly Pakistan, and its influence on people's stock market participation. Data of this study was collected through a structured questionnaire from a sample of 300 respondents. EFA is used to check the convergent and discriminant validity. Data is analyzed using Hayes (2013) approach. A set of demographic control variables that have passed the mean difference test is used. We demonstrate that participants with financial literacy tend to invest more in the stock market. We also find that association among financial literacy and participation in stock market gets moderated by gender. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Financial%20literacy" title="Financial literacy">Financial literacy</a>, <a href="https://publications.waset.org/abstracts/search?q=Stock%20market%20participation" title=" Stock market participation"> Stock market participation</a>, <a href="https://publications.waset.org/abstracts/search?q=Gender" title=" Gender"> Gender</a>, <a href="https://publications.waset.org/abstracts/search?q=PSX" title=" PSX"> PSX</a> </p> <a href="https://publications.waset.org/abstracts/120484/financial-literacy-and-stock-market-participation-does-gender-matter" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/120484.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">199</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">10915</span> Bank Specialization and Credit Risk: Evidence from Global Financial Crisis Shock</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Lemu%20Abebe%20Geleta">Lemu Abebe Geleta</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this study, it compare the performance of banks and financial services (operational, financial, and market) across four major regions including Asia, Europe, Africa, and North with the extent of sustainability reporting. We examine how the Environment, Social, and Governance score (ESG) and the three pillars such as Return on Assets, Return on Equity, and Tobin's (Q) affect the performance of banks using data collected from 3450 observations across 40 different nations over ten years of (2011-2020). it also consider implications for governance, macroeconomics, and specific bank attributes. The results indicate a negative correlation between ESG and operational performance (ROA), financial performance (ROE), and market performance (TQ). The inclusion of diverse political and economic contexts lends distinctiveness to this paper. the findings hold significant theoretical implications for global scholars and policymakers. The limited correlation between ESG, its pillars, and the performance of banks and financial services underscores managerial shortcomings within these sectors. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=bank%20specialization" title="bank specialization">bank specialization</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=credit%20risk" title=" credit risk"> credit risk</a>, <a href="https://publications.waset.org/abstracts/search?q=difference-in-differences" title=" difference-in-differences"> difference-in-differences</a>, <a href="https://publications.waset.org/abstracts/search?q=herfindahl%20hirschman%20index" title=" herfindahl hirschman index"> herfindahl hirschman index</a> </p> <a href="https://publications.waset.org/abstracts/190452/bank-specialization-and-credit-risk-evidence-from-global-financial-crisis-shock" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/190452.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">26</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">10914</span> Market Index Trend Prediction using Deep Learning and Risk Analysis</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Shervin%20Alaei">Shervin Alaei</a>, <a href="https://publications.waset.org/abstracts/search?q=Reza%20Moradi"> Reza Moradi</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Trading in financial markets is subject to risks due to their high volatilities. Here, using an LSTM neural network, and by doing some risk-based feature engineering tasks, we developed a method that can accurately predict trends of the Tehran stock exchange market index from a few days ago. Our test results have shown that the proposed method with an average prediction accuracy of more than 94% is superior to the other common machine learning algorithms. To the best of our knowledge, this is the first work incorporating deep learning and risk factors to accurately predict market trends. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=deep%20learning" title="deep learning">deep learning</a>, <a href="https://publications.waset.org/abstracts/search?q=LSTM" title=" LSTM"> LSTM</a>, <a href="https://publications.waset.org/abstracts/search?q=trend%20prediction" title=" trend prediction"> trend prediction</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=artificial%20neural%20networks" title=" artificial neural networks"> artificial neural networks</a> </p> <a href="https://publications.waset.org/abstracts/148318/market-index-trend-prediction-using-deep-learning-and-risk-analysis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/148318.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">156</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">10913</span> Audit Committee Financial Expertise and Financial Reporting Timeliness in Emerging Market: The Role of Audit Committee Chair</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Saeed%20Rabea%20Baatwah">Saeed Rabea Baatwah</a>, <a href="https://publications.waset.org/abstracts/search?q=Zalailah%20Salleh"> Zalailah Salleh</a>, <a href="https://publications.waset.org/abstracts/search?q=Norsiah%20Ahmad"> Norsiah Ahmad</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study examines whether audit committee chair with financial expertise enhances the audit committee role in financial reporting quality in emerging market. We investigate this influence by employing the direct effect and moderating effect of audit committee chair with financial expertise on financial reporting timeliness. By using Omani data and the panel data method for two proxies for financial reporting timeliness, we find that audit committee chair with financial expertise enhances the timeliness of financial reporting through making the disclosure of annual reports timely. Further, we report evidence showing that both accounting and non-accounting financial expertise on the audit committee have a positive and significant influence on the timeliness of financial reporting. We also document that the association between financial expertise and the timeliness of financial reporting is more pronounced when the chair of the audit committee has financial expertise. This study is among the first to comprehensively prove that audit committee chair with financial expertise contributes to the quality of financial reporting in emerging market. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=audit%20committee" title="audit committee">audit committee</a>, <a href="https://publications.waset.org/abstracts/search?q=chair%20with%20financial%20expertise" title=" chair with financial expertise"> chair with financial expertise</a>, <a href="https://publications.waset.org/abstracts/search?q=timeliness%20of%20financial%20reporting" title=" timeliness of financial reporting"> timeliness of financial reporting</a>, <a href="https://publications.waset.org/abstracts/search?q=Oman" title=" Oman"> Oman</a> </p> <a href="https://publications.waset.org/abstracts/46684/audit-committee-financial-expertise-and-financial-reporting-timeliness-in-emerging-market-the-role-of-audit-committee-chair" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/46684.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">269</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">10912</span> Measuring Banking Systemic Risk Conditional Value-At-Risk and Conditional Coherent Expected Shortfall in Taiwan Using Vector Quantile GARCH Model</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ender%20Su">Ender Su</a>, <a href="https://publications.waset.org/abstracts/search?q=Kai%20Wen%20Wong"> Kai Wen Wong</a>, <a href="https://publications.waset.org/abstracts/search?q=I-Ling%20Ju"> I-Ling Ju</a>, <a href="https://publications.waset.org/abstracts/search?q=Ya-Ling%20Wang"> Ya-Ling Wang</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this study, the systemic risk change of Taiwan’s banking sector is analyzed during the financial crisis. The risk expose of each financial institutions to the whole Taiwan banking systemic risk or vice versa under financial distress are measured by conditional Value-at-Risk (CoVaR) and conditional coherent expected shortfall (CoES). The CoVaR and CoES are estimated by using vector quantile autoregression (MVMQ-CaViaR) with the daily stock returns of each banks included domestic and foreign banks in Taiwan. The daily in-sample data covered the period from 05/20/2002 to 07/31/2007 and the out-of-sample period until 12/31/2013 spanning the 2008 U.S. subprime crisis, 2010 Greek debt crisis, and post risk duration. All banks in Taiwan are categorised into several groups according to their size of market capital, leverage and domestic/foreign to find out what the extent of changes of the systemic risk as the risk changes between the individuals in the bank groups and vice versa. The final results can provide a guidance to financial supervisory commission of Taiwan to gauge the downside risk in the system of financial institutions and determine the minimum capital requirement hold by financial institutions due to the sensibility changes in CoVaR and CoES of each banks. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=bank%20financial%20distress" title="bank financial distress">bank financial distress</a>, <a href="https://publications.waset.org/abstracts/search?q=vector%20quantile%20autoregression" title=" vector quantile autoregression"> vector quantile autoregression</a>, <a href="https://publications.waset.org/abstracts/search?q=CoVaR" title=" CoVaR"> CoVaR</a>, <a href="https://publications.waset.org/abstracts/search?q=CoES" title=" CoES"> CoES</a> </p> <a href="https://publications.waset.org/abstracts/53814/measuring-banking-systemic-risk-conditional-value-at-risk-and-conditional-coherent-expected-shortfall-in-taiwan-using-vector-quantile-garch-model" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/53814.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">386</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">10911</span> Financial Regulations and Insolvency Risk: Empirical Evidence from Commercial Banks of Pakistan</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Shumaila%20Zeb">Shumaila Zeb</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The proposed study aims to investigate insolvency risk of commercial banks of Pakistan. Furthermore, it empirically estimates the effect of already implemented financial regulations on the insolvency risk of banks. To carry out the empirical analysis, a balanced bank-level panel data covering the period 2008-2016 is used. The Z-score is used for calculating the insolvency risk of each bank. The panel regression is used to investigate the relationship between financial regulations and insolvency risk of banks. The empirics reveal that the financial regulations enforced by State Bank of Pakistan have significant impacts on the insolvency risk of banks. The results further indicate that loan ratio and reserve ratio are positively and significantly related to the insolvency risk of banks. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=insolvency%20risk" title="insolvency risk">insolvency risk</a>, <a href="https://publications.waset.org/abstracts/search?q=Z-score" title=" Z-score"> Z-score</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20regulations" title=" financial regulations"> financial regulations</a>, <a href="https://publications.waset.org/abstracts/search?q=banks" title=" banks"> banks</a> </p> <a href="https://publications.waset.org/abstracts/81010/financial-regulations-and-insolvency-risk-empirical-evidence-from-commercial-banks-of-pakistan" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/81010.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">198</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">10910</span> Equity Risk Premiums and Risk Free Rates in Modelling and Prediction of Financial Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mohammad%20Ghavami">Mohammad Ghavami</a>, <a href="https://publications.waset.org/abstracts/search?q=Reza%20S.%20Dilmaghani"> Reza S. Dilmaghani</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper presents an adaptive framework for modelling financial markets using equity risk premiums, risk free rates and volatilities. The recorded economic factors are initially used to train four adaptive filters for a certain limited period of time in the past. Once the systems are trained, the adjusted coefficients are used for modelling and prediction of an important financial market index. Two different approaches based on least mean squares (LMS) and recursive least squares (RLS) algorithms are investigated. Performance analysis of each method in terms of the mean squared error (MSE) is presented and the results are discussed. Computer simulations carried out using recorded data show MSEs of 4% and 3.4% for the next month prediction using LMS and RLS adaptive algorithms, respectively. In terms of twelve months prediction, RLS method shows a better tendency estimation compared to the LMS algorithm. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=adaptive%20methods" title="adaptive methods">adaptive methods</a>, <a href="https://publications.waset.org/abstracts/search?q=LSE" title=" LSE"> LSE</a>, <a href="https://publications.waset.org/abstracts/search?q=MSE" title=" MSE"> MSE</a>, <a href="https://publications.waset.org/abstracts/search?q=prediction%20of%20financial%20Markets" title=" prediction of financial Markets"> prediction of financial Markets</a> </p> <a href="https://publications.waset.org/abstracts/72693/equity-risk-premiums-and-risk-free-rates-in-modelling-and-prediction-of-financial-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/72693.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">336</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">10909</span> Corporate Governance in India: A Critical Analysis with Respect to Financial Market Crisis</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Sonal%20Purohit">Sonal Purohit</a>, <a href="https://publications.waset.org/abstracts/search?q=Animesh%20Dubey"> Animesh Dubey</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Corporate governance deals with the entire network of formal and informal relationship with the management of the company and company’s stakeholders including employees, customers, creditors, local communities, and society in general. The recent financial crisis was truly a global crisis in its nature and effects. The Indian financial markets were not immune to this global financial crisis. It is believed that corporate governance also had a major role to play in staggering the effect of this crisis. The objective of this paper is to examine the failure of prevailing corporate governance practice in India during financial crisis. Lack of appropriate implementation of the corporate government norms was a reason behind the phenomenon of money being pulled-out by FIIs, which constitute major investors and influencers of the Indian financial market. <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=FII" title=" FII"> FII</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20market" title=" financial market"> financial market</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20crisis" title=" financial crisis"> financial crisis</a> </p> <a href="https://publications.waset.org/abstracts/8212/corporate-governance-in-india-a-critical-analysis-with-respect-to-financial-market-crisis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/8212.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">476</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">10908</span> A Financial Analysis of the Current State of IKEA: A Case Study</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Isabela%20Vieira">Isabela Vieira</a>, <a href="https://publications.waset.org/abstracts/search?q=Leonor%20Carvalho%20Garcez"> Leonor Carvalho Garcez</a>, <a href="https://publications.waset.org/abstracts/search?q=Adalmiro%20Pereira"> Adalmiro Pereira</a>, <a href="https://publications.waset.org/abstracts/search?q=T%C3%A2nia%20Teixeira"> Tânia Teixeira</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In the present work, we aim to analyse IKEA as a company, by focusing on its development, financial analysis and future benchmarks, as well as applying some of the knowledge learned in class, namely hedging and other financial risk mitigation solutions, to understand how IKEA navigates and protects itself from risk. The decision that led us to choose IKEA for our casework has to do with the long history of the company since the 1940s and its high internationalization in 63 different markets. The company also has clear financial reports which aided us in the making of the present essay and naturally, was a factor that contributed to our decision. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ikea" title="Ikea">Ikea</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20risk" title=" financial risk"> financial 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=hedge" title=" hedge"> hedge</a> </p> <a href="https://publications.waset.org/abstracts/186752/a-financial-analysis-of-the-current-state-of-ikea-a-case-study" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/186752.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">53</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">10907</span> The Arabian Financial Framework in the Pre-Islamic Times: Do We Need a New Paradigm</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Fahad%20Ahmed%20Qureshi">Fahad Ahmed Qureshi</a> </p> <p class="card-text"><strong>Abstract:</strong></p> There were abundant renowned financial markets in Pre-Islamic Arabs. Most of those were patterned and settled during pre-particularized sunshine. Those markets were classified either as vernacular markets helping the neighboring clans, or habitual markets that people sojourned to from all articulations of the Arabian Peninsula, such as Okaz near Mecca. Some of those markets had leading significance due to their geographical positions, such as Prime market of Eden, because of their entanglement in international trade i.e. with the markets of Sub-Continent, Abyssinia, Persia and China. Other markets such as Market of Yamamah annex its gist from being situated on the caravan crossroads. Islamic worldview and Islamic epistemology base of Financial Market’s realistic theory, pragmatic model and operative approach is moderately constrained in terms of its growth. The existent situation only parasol the form of accommodative-modification and splendid-methodologies, which due to depleted and decorous endeavor in explaining Islamic financial market theoretically. This is the demand of time that particular studies should be conduct to magnify the devours in developing theoretical framework for Islamic Financial Market. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Islam" title="Islam">Islam</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20market" title=" financial market"> financial market</a>, <a href="https://publications.waset.org/abstracts/search?q=history" title=" history"> history</a>, <a href="https://publications.waset.org/abstracts/search?q=research" title=" research"> research</a>, <a href="https://publications.waset.org/abstracts/search?q=product%20development" title=" product development"> product development</a> </p> <a href="https://publications.waset.org/abstracts/34472/the-arabian-financial-framework-in-the-pre-islamic-times-do-we-need-a-new-paradigm" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/34472.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">410</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">10906</span> Financial Innovations for Companies Offered by Banks: Polish Experience</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Joanna%20B%C5%82ach">Joanna Błach</a>, <a href="https://publications.waset.org/abstracts/search?q=Anna%20Do%C5%9B"> Anna Doś</a>, <a href="https://publications.waset.org/abstracts/search?q=Maria%20Gorczy%C5%84ska"> Maria Gorczyńska</a>, <a href="https://publications.waset.org/abstracts/search?q=Monika%20Wieczorek-Kosmala"> Monika Wieczorek-Kosmala</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Financial innovations can be regarded as the cause and the effect of the evolution of the financial system. Most of financial innovations are created by various financial institutions for their own purposes and needs. However, due to their diversity, financial innovations can be also applied by various business entities (other than financial institutions). This paper focuses on the potential application of financial innovations by non-financial companies. It is assumed that financial innovations may be effectively applied in all fields of corporate financial decisions integrating financial management with the risk management process. Appropriate application of financial innovations may enhance the development of the company and increase its value by improving its financial situation and reducing the level of risk. On the other hand, misused financial innovations may become the source of extra risk for the company threatening its further operation. The main objective of the paper is to identify the major types of financial innovations offered to non-financial companies by the banking system in Poland. It also aims at identifying the main factors determining the creation of financial innovations in the banking system in Poland and indicating future directions of their development. This paper consists of conceptual and empirical part. Conceptual part based on theoretical study is focused on the determinants of the process of financial innovations and their application by the non-financial companies. Theoretical study is followed by the empirical research based on the analysis of the actual offer of the 20 biggest banks operating in Poland with regard to financial innovations offered to SMEs and large corporations. These innovations are classified according to the main functions of the integrated financial management, such as: Financing, investment, working capital management and risk management. Empirical study has proved that the biggest banks operating in the Polish market offer to their business customers many types and classes of financial innovations. This offer appears vast and adequate to the needs and purposes of the Polish non-financial companies. It was observed that financial innovations pertained to financing decisions dominate in the banks’ offer. However, due to high diversification of the offered financial innovations, business customers may effectively apply them in all fields and areas of integrated financial management. It should be underlined, that the banks’ offer is highly dispersed, which may limit the implementation of financial innovations in the corporate finance. It would be also recommended for the banks operating in the Polish market to intensify the education campaign aiming at increasing knowledge about financial innovations among business customers. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=banking%20products%20and%20services" title="banking products and services">banking products and services</a>, <a href="https://publications.waset.org/abstracts/search?q=banking%20sector%20in%20Poland" title=" banking sector in Poland"> banking sector in Poland</a>, <a href="https://publications.waset.org/abstracts/search?q=corporate%20financial%20management" title=" corporate financial management"> corporate financial management</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20innovations" title=" financial innovations"> financial innovations</a>, <a href="https://publications.waset.org/abstracts/search?q=theory%20of%20innovation" title=" theory of innovation "> theory of innovation </a> </p> <a href="https://publications.waset.org/abstracts/30745/financial-innovations-for-companies-offered-by-banks-polish-experience" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/30745.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">302</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">10905</span> Provisions for Risk in Islamic Banking and Finance in Comparison to the Conventional Banks in Malaysia</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Rashid%20Masoud%20Ali%20Al-Mazrui">Rashid Masoud Ali Al-Mazrui</a>, <a href="https://publications.waset.org/abstracts/search?q=Ramadhani%20Mashaka%20Shabani"> Ramadhani Mashaka Shabani</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Islamic banks and financial institutions are exposed to the same risks as conventional banking. These risks include the rate return risk, credit or market risk, liquidity risk, and operational risk among others. However, being a financial institution that operates Islamic banking and finance operations, there is additional risk associated with its operations different from conventional finance, such as displacing commercial risk. They face Shari'ah compliance risks because of their failure to follow Shari'ah principles. To have proper mitigation and risk management, banks should have proper risk management policies to mitigate risks. This paper aims to study the risk management taken by Islamic banks in comparison with conventional banks. Also, the study evaluates the provisions for risk management taken by selected Islamic banks and conventional banks. The study employs qualitative analysis using secondary data by applying a content analysis approach with a sample size of 4 Islamic banks and four conventional banks ranging from 2010 to 2020. We find that these banks all use the same technique, except for the associated risk. The extra ways are used, but only for additional risks that are available to Islamic banking and finance. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=emerging%20risk" title="emerging risk">emerging 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%20banking" title=" Islamic banking"> Islamic banking</a>, <a href="https://publications.waset.org/abstracts/search?q=conventional%20bank" title=" conventional bank"> conventional bank</a> </p> <a href="https://publications.waset.org/abstracts/155652/provisions-for-risk-in-islamic-banking-and-finance-in-comparison-to-the-conventional-banks-in-malaysia" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/155652.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">83</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">10904</span> Financial Portfolio Optimization in Electricity Markets: Evaluation via Sharpe Ratio</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=F.%20G%C3%B6kg%C3%B6z">F. Gökgöz</a>, <a href="https://publications.waset.org/abstracts/search?q=M.%20E.%20Atmaca"> M. E. Atmaca</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Electricity plays an indispensable role in human life and the economy. It is a unique product or service that must be balanced instantaneously, as electricity is not stored, generation and consumption should be proportional. Effective and efficient use of electricity is very important not only for society, but also for the environment. A competitive electricity market is one of the best ways to provide a suitable platform for effective and efficient use of electricity. On the other hand, it carries some risks that should be carefully managed by the market players. Risk management is an essential part in market players’ decision making. In this paper, risk management through diversification is applied with the help of Markowitz’s Mean-variance, Down-side and Semi-variance methods for a case study. Performance of optimal electricity sale solutions are measured and evaluated via Sharpe-Ratio, and the optimal portfolio solutions are improved. Two years of historical weekdays’ price data of the Turkish Day Ahead Market are used to demonstrate the approach. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=electricity%20market" title="electricity market">electricity market</a>, <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=risk%20management%20in%20electricity%20market" title=" risk management in electricity market"> risk management in electricity market</a>, <a href="https://publications.waset.org/abstracts/search?q=sharpe%20ratio" title=" sharpe ratio"> sharpe ratio</a> </p> <a href="https://publications.waset.org/abstracts/52925/financial-portfolio-optimization-in-electricity-markets-evaluation-via-sharpe-ratio" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/52925.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">365</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">10903</span> Dissecting ESG: The Impact of Environmental, Social, and Governance Factors on Stock Price Risk in European Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Sylwia%20Frydrych">Sylwia Frydrych</a>, <a href="https://publications.waset.org/abstracts/search?q=J%C3%B6rg%20Prokop"> Jörg Prokop</a>, <a href="https://publications.waset.org/abstracts/search?q=Micha%C5%82%20Buszko"> Michał Buszko</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study investigates the complex relationship between corporate ESG (Environmental, Social, Governance) performance and stock price risk within the European market context. By analyzing a dataset of 435 companies across 19 European countries, the research assesses the impact of both combined ESG performance and its individual components on various risk measures, including volatility, idiosyncratic risk, systematic risk, and downside risk. The findings reveal that while overall ESG scores do not significantly influence stock price risk, disaggregating the ESG components uncovers significant relationships. Governance practices are shown to consistently reduce market risk, positioning them as critical in risk management. However, environmental engagement tends to increase risk, particularly in times of regulatory shifts like those introduced in the EU post-2018. This research provides valuable insights for investors and corporate managers on the nuanced roles of ESG factors in financial risk, emphasizing the need for careful consideration of each ESG pillar in decision-making processes. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=ESG%20performance" title="ESG performance">ESG performance</a>, <a href="https://publications.waset.org/abstracts/search?q=ESG%20factors" title=" ESG factors"> ESG factors</a>, <a href="https://publications.waset.org/abstracts/search?q=ESG%20pillars" title=" ESG pillars"> ESG pillars</a>, <a href="https://publications.waset.org/abstracts/search?q=ESG%20scores" title=" ESG scores"> ESG scores</a> </p> <a href="https://publications.waset.org/abstracts/189313/dissecting-esg-the-impact-of-environmental-social-and-governance-factors-on-stock-price-risk-in-european-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/189313.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">25</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=financial%20market%20risk&page=2">2</a></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=financial%20market%20risk&page=3">3</a></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=financial%20market%20risk&page=4">4</a></li> <li class="page-item"><a class="page-link" href="https://publications.waset.org/abstracts/search?q=financial%20market%20risk&page=5">5</a></li> <li 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