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  Subjects -> STATISTICS (Total: 130 journals)
Showing 1 - 151 of 151 Journals sorted by number of followers
Review of Economics and Statistics     Hybrid Journal   (Followers: 275)
Statistics in Medicine     Hybrid Journal   (Followers: 141)
Journal of Econometrics     Hybrid Journal   (Followers: 84)
Journal of the American Statistical Association     Full-text available via subscription   (Followers: 76, SJR: 3.746, CiteScore: 2)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 52)
Biometrics     Hybrid Journal   (Followers: 49)
Sociological Methods & Research     Hybrid Journal   (Followers: 48)
Journal of the Royal Statistical Society, Series B (Statistical Methodology)     Hybrid Journal   (Followers: 42)
Journal of Business & Economic Statistics     Full-text available via subscription   (Followers: 41, SJR: 3.664, CiteScore: 2)
Computational Statistics & Data Analysis     Hybrid Journal   (Followers: 37)
Journal of the Royal Statistical Society Series C (Applied Statistics)     Hybrid Journal   (Followers: 36)
Annals of Applied Statistics     Full-text available via subscription   (Followers: 35)
Oxford Bulletin of Economics and Statistics     Hybrid Journal   (Followers: 35)
Journal of Risk and Uncertainty     Hybrid Journal   (Followers: 34)
Journal of the Royal Statistical Society, Series A (Statistics in Society)     Hybrid Journal   (Followers: 30)
Journal of Urbanism: International Research on Placemaking and Urban Sustainability     Hybrid Journal   (Followers: 28)
The American Statistician     Full-text available via subscription   (Followers: 25)
Statistical Methods in Medical Research     Hybrid Journal   (Followers: 23)
Journal of Computational & Graphical Statistics     Full-text available via subscription   (Followers: 21)
Journal of Forecasting     Hybrid Journal   (Followers: 21)
Journal of Applied Statistics     Hybrid Journal   (Followers: 20)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 19)
Statistical Modelling     Hybrid Journal   (Followers: 18)
International Journal of Quality, Statistics, and Reliability     Open Access   (Followers: 18)
Journal of Statistical Software     Open Access   (Followers: 18, SJR: 13.802, CiteScore: 16)
Journal of Time Series Analysis     Hybrid Journal   (Followers: 17)
Journal of Biopharmaceutical Statistics     Hybrid Journal   (Followers: 17)
Computational Statistics     Hybrid Journal   (Followers: 16)
Risk Management     Hybrid Journal   (Followers: 16)
Decisions in Economics and Finance     Hybrid Journal   (Followers: 15)
Statistics and Computing     Hybrid Journal   (Followers: 14)
Demographic Research     Open Access   (Followers: 14)
Australian & New Zealand Journal of Statistics     Hybrid Journal   (Followers: 13)
Statistics & Probability Letters     Hybrid Journal   (Followers: 13)
Geneva Papers on Risk and Insurance - Issues and Practice     Hybrid Journal   (Followers: 13)
Journal of Statistical Physics     Hybrid Journal   (Followers: 12)
Structural and Multidisciplinary Optimization     Hybrid Journal   (Followers: 12)
Statistics: A Journal of Theoretical and Applied Statistics     Hybrid Journal   (Followers: 11)
International Statistical Review     Hybrid Journal   (Followers: 10)
The Canadian Journal of Statistics / La Revue Canadienne de Statistique     Hybrid Journal   (Followers: 10)
Communications in Statistics - Theory and Methods     Hybrid Journal   (Followers: 10)
Journal of Probability and Statistics     Open Access   (Followers: 10)
Advances in Complex Systems     Hybrid Journal   (Followers: 10)
Multivariate Behavioral Research     Hybrid Journal   (Followers: 9)
Pharmaceutical Statistics     Hybrid Journal   (Followers: 9)
Scandinavian Journal of Statistics     Hybrid Journal   (Followers: 9)
Communications in Statistics - Simulation and Computation     Hybrid Journal   (Followers: 9)
Stata Journal     Full-text available via subscription   (Followers: 9)
Journal of Educational and Behavioral Statistics     Hybrid Journal   (Followers: 8)
Teaching Statistics     Hybrid Journal   (Followers: 8)
Law, Probability and Risk     Hybrid Journal   (Followers: 8)
Fuzzy Optimization and Decision Making     Hybrid Journal   (Followers: 8)
Research Synthesis Methods     Hybrid Journal   (Followers: 8)
Current Research in Biostatistics     Open Access   (Followers: 8)
Environmental and Ecological Statistics     Hybrid Journal   (Followers: 7)
Journal of Combinatorial Optimization     Hybrid Journal   (Followers: 7)
Journal of Global Optimization     Hybrid Journal   (Followers: 7)
Journal of Statistical Planning and Inference     Hybrid Journal   (Followers: 7)
Queueing Systems     Hybrid Journal   (Followers: 7)
Argumentation et analyse du discours     Open Access   (Followers: 7)
Handbook of Statistics     Full-text available via subscription   (Followers: 7)
Asian Journal of Mathematics & Statistics     Open Access   (Followers: 7)
Biometrical Journal     Hybrid Journal   (Followers: 6)
Journal of Nonparametric Statistics     Hybrid Journal   (Followers: 6)
Lifetime Data Analysis     Hybrid Journal   (Followers: 6)
Significance     Hybrid Journal   (Followers: 6)
International Journal of Computational Economics and Econometrics     Hybrid Journal   (Followers: 6)
Journal of Mathematics and Statistics     Open Access   (Followers: 6)
Applied Categorical Structures     Hybrid Journal   (Followers: 5)
Engineering With Computers     Hybrid Journal   (Followers: 5)
Optimization Methods and Software     Hybrid Journal   (Followers: 5)
Statistical Methods and Applications     Hybrid Journal   (Followers: 5)
CHANCE     Hybrid Journal   (Followers: 5)
ESAIM: Probability and Statistics     Open Access   (Followers: 4)
Mathematical Methods of Statistics     Hybrid Journal   (Followers: 4)
Metrika     Hybrid Journal   (Followers: 4)
Statistical Papers     Hybrid Journal   (Followers: 4)
TEST     Hybrid Journal   (Followers: 3)
Journal of Algebraic Combinatorics     Hybrid Journal   (Followers: 3)
Journal of Theoretical Probability     Hybrid Journal   (Followers: 3)
Statistical Inference for Stochastic Processes     Hybrid Journal   (Followers: 3)
Monthly Statistics of International Trade - Statistiques mensuelles du commerce international     Full-text available via subscription   (Followers: 3)
Handbook of Numerical Analysis     Full-text available via subscription   (Followers: 3)
Sankhya A     Hybrid Journal   (Followers: 3)
Journal of Statistical and Econometric Methods     Open Access   (Followers: 3)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 2)
Extremes     Hybrid Journal   (Followers: 2)
Optimization Letters     Hybrid Journal   (Followers: 2)
Stochastic Models     Hybrid Journal   (Followers: 2)
Stochastics An International Journal of Probability and Stochastic Processes: formerly Stochastics and Stochastics Reports     Hybrid Journal   (Followers: 2)
IEA World Energy Statistics and Balances -     Full-text available via subscription   (Followers: 2)
Building Simulation     Hybrid Journal   (Followers: 2)
Technology Innovations in Statistics Education (TISE)     Open Access   (Followers: 2)
International Journal of Stochastic Analysis     Open Access   (Followers: 2)
Measurement Interdisciplinary Research and Perspectives     Hybrid Journal   (Followers: 1)
Statistica Neerlandica     Hybrid Journal   (Followers: 1)
Sequential Analysis: Design Methods and Applications     Hybrid Journal   (Followers: 1)
Wiley Interdisciplinary Reviews - Computational Statistics     Hybrid Journal   (Followers: 1)
Statistics and Economics     Open Access  
Review of Socionetwork Strategies     Hybrid Journal  
SourceOECD Measuring Globalisation Statistics - SourceOCDE Mesurer la mondialisation - Base de donnees statistiques     Full-text available via subscription  
Journal of the Korean Statistical Society     Hybrid Journal  

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Similar Journals
Journal Cover
Risk Management
Journal Prestige (SJR): 0.189
Citation Impact (citeScore): 1
Number of Followers: 16  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1460-3799 - ISSN (Online) 1743-4637
Published by Springer-Verlag Homepage  [2468 journals]
  • Risk-taking and systemic banking crisis in Africa: do regulatory policy
           framework provide new insight in threshold models'

    • Free pre-print version: Loading...

      Abstract: Abstract This study examines how regulatory policy impacts the complex relationship between bank risk-taking and the predicted probability of a systemic banking crisis in 54 African countries for the period, 2004–2020. The empirical evidence is based on the instrumental variable probit panel regressions. The study found a non-linear U-shaped relationship between bank risk-taking and the probability of a systemic banking crisis. The study shows that a systemic banking crisis is likely to occur when the monotonically increasing levels of risk-taking of banks exceed thresholds of 0.015 and 0.79. The study also found that the thresholds of risk-taking in countries with stringent regulatory policies are relatively greater in countries operating in low regulatory policy regimes. In light of the conditional marginal effects, the study provides evidence to support that regulatory policy amplifies and augments the negative linear impact of risk-taking on the predicted probability of a systemic banking crisis. This is relevant to policymakers because the established conditional effects imply that regulatory policy is a sufficient complementary condition for shaping the negative effect of bank risk-taking and systemic banking crises.
      PubDate: 2024-02-22
       
  • Interconnectedness of systemic risk in the Chinese economy: the Granger
           causality and CISS indicator approach

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      Abstract: Abstract In this study, systemic risk in the Chinese economy between 2012 and 2023 has been investigated. The entire dataset is divided into three time windows to help comprehend the dynamics of financial markets. Deploying the tools of graph theory and Granger causality, as well as the composite indicator of systemic stress (CISS) on five financial markets including money market, bond market, equity market, foreign exchange market, and financial intermediaries, the systemic risk propagation has been analyzed among these financial markets. The results reveal that the increase in volatility in the foreign exchange market can be attributed to the rise in volatility and risk in the equity market, bond market, and financial intermediaries. Additionally, the examination of the financial markets shows significant fluctuations in the years 2015 and 2022. Consequently, examining these two periods determined that financial turbulence in the money market was the primary source of systemic risk. Moreover, it can have widespread propagation effects on other financial markets. These findings also emphasized the importance of monitoring and controlling the money market and its interactions with other parts of the financial system to reduce propagation risks.
      PubDate: 2024-02-10
       
  • Does leadership personality affect business risks' New evidence from
           Vietnamese small and medium-sized enterprises

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      Abstract: Abstract The current study contributes to our body of knowledge by evaluating for the first time how a leader’s personality affects risk for small and medium-sized enterprises (SMEs) in Vietnam. According to the findings, managers with a strong aptitude for innovation are more likely to lower business risk by boosting labor productivity and revenue, enhancing inter-firm communication, and lowering stakeholder risks, such as corruption. In contrast to the influence of a manager with a risk-taking attitude, a leader’s external locus of control is inversely related to firm risk. The results show that training owners and managers in business skills can help human resource professionals create the best environment for leadership behaviors that improve firm performance and lower risk in SMEs.
      PubDate: 2024-02-10
       
  • Workplace sustainability or financial resilience' Composite-financial
           resilience index

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      Abstract: Abstract Due to the variety of corporate risks in turmoil markets and the consequent financial distress especially in COVID-19 time, this paper investigates corporate resilience and compares different types of resilience that can be potential sources of heterogeneity in firms’ implied rate of return. Specifically, the novelty is not only to quantify firms’ financial resilience but also to compare it with workplace resilience which matters more in the COVID-19 era. The study prepares several pieces of evidence of the necessity and insufficiency of these two main types of resilience by comparing earnings expectations and implied discount rates of high- and low-resilience firms. Particularly, results present evidence of the possible amplification of workplace resilience by the financial status of firms in the COVID-19 era. The paper proposes a novel composite-financial resilience index as a potential measure for disaster risk that significantly and persistently reveals low-resilience characteristics of firms and resilience-heterogeneity in implied discount rates.
      PubDate: 2024-02-05
       
  • Risk management strategy for supply chain sustainability and resilience
           capability

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      Abstract: Abstract Supply chain sustainability-related risks that have an undesirable environmental, social and economic impact result in global supply chain uncertainty and complexity. This paper investigates the relationships between supply chain sustainability risks, global uncertainty and mitigating strategies to attain supply chain resilience capability. The paper suggests the supply chain resilience capability and four fundamental risk-mitigating strategies to cope with supply chain sustainability risks. Data collected via survey were employed for structural equation modelling and moderation tests to explore appropriate mitigating strategies for differing sustainability risk environments. The results suggest a structural procedure for better supply chain resilience under diverse sustainability risks. Inspired by the literature gap, the study empirically examines how sustainability risks and global uncertainty influence supply chain resilience and provides the most effective risk management strategies among accept, avoid, control, share/transfer according to different sustainability risks. There is a lack of empirical research investigating how to address the supply chain sustainability risk through the provision of effective mitigating strategies for better supply chain resilience capability. The results provide insight for future research in supply chain resilience and sustainability studies.
      PubDate: 2024-01-27
       
  • Risk management disclosures and banks financial performance: evidence from
           emerging markets

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      Abstract: Abstract Risk management disclosures have attracted considerable attention after the financial crisis of 2007–2008. This study explores the relationship between risk management disclosures provided in annual reports and the bank’s current (future) performance. The sample consisted of 58 banks from several emerging markets covering the period of 2007 to 2020. The findings of the study provide strong evidence that managers' negative sentiment in risk-related disclosures in annual reports is closely linked with banks' future performance. In addition, the study highlighted the significance of risk management disclosures required by the Bank for International Settlement (BIS, Bank for International Settlements. Basel Committee on Banking Supervision, 2015. http://www.bis.org/bcbs/publ/d309.pdf) to reduce information asymmetry between the management and external stakeholders. Moreover, it provides regulators, auditors, and analysts with a new source of information that can help them identify banks at risk and take preventative measures to reduce the anticipated cost of failure to the government and its contagious impact on the country’s economy.
      PubDate: 2024-01-08
       
  • Does effect of risk and uncertainties on US sectoral returns differ across
           different investment horizons and market conditions

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      Abstract: Abstract Our work investigates the effect of different financial, economic and political uncertainties on US sectoral returns spanning over the period January 2000 to February 2022. We sample geopolitical risk, political uncertainty, geopolitical uncertainty, financial uncertainty, monetary policy uncertainty, and US economic policy uncertainty to measure their impact on basic materials, consumer goods, consumer services, financial, healthcare, industrials, oil and gas, telecom, technologies, and utilities sector. We decompose raw returns and risk and uncertainty series into short-, and long-run components using wavelet transformation to measure the effect on sectoral returns under short- and long-run investment horizons. Later, we employ quantile regression to quantify the effect of different risk and uncertainty measures on US sectoral returns under different market conditions. Our results highlight significant impact of risk and uncertainties on US sectoral returns across all quantile distributions in the long-run. We also report non-linear causality from risk and uncertainties toward US sectoral returns in the long-run.
      PubDate: 2023-12-21
       
  • A systematic literature review of risks in Islamic banking system:
           research agenda and future research directions

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      Abstract: Abstract This study employs a systematic review approach to examine the existing body of literature on risk management in Islamic banking. The focus of this work is to analyze published manuscripts to provide a comprehensive overview of the current state of research in this field. After conducting an extensive examination of eighty articles classified as Q1 and Q2, we have identified six prominent risk themes. These themes include stability and resilience, risk-taking behavior, credit risk, Shariah non-compliance risk, liquidity risk, and other pertinent concerns that span various disciplines. The assessment yielded four key themes pertaining to the risk management of the Islamic banking system, namely prudential regulation, environment and sustainability, cybersecurity, and risk-taking behavior. Two risk frameworks were provided based on the identified themes. The microframework encompasses internal and external risk elements that influence the bank's basic activities and risk feedback system. The macro-framework encompasses several elements that influence the risk management environment for Islamic banks (IB), including exogenous institutional factors, domestic endogenous factors, and global endogenous factors. Thematic discoveries are incorporated to identify potential avenues for future research and policy consequences.
      PubDate: 2023-12-20
       
  • Corporate environmental responsibility and the business risk of Vietnamese
           SMEs: the mediating role of internal control

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      Abstract: Abstract A significant amount of research has focused on examining the correlation between corporate environmental responsibility (CER) and the financial performance of businesses. However, only a limited number of studies have explored the relationship between CER and firm risk. In this study, we aim to contribute to the existing literature by utilizing a panel dataset for small and medium enterprises (SMEs) and investigating the impact of CER, including its various forms, on business risks in Vietnam. The results of our study emphasize the negative effect of CER on firm risk, highlighting the importance of internal control mechanisms. This finding remains consistent even when considering endogeneity bias and unobserved factors, employing a variety of methodologies. Additionally, our research sheds light on the potential benefits of CER in terms of improving the business environment and enhancing labor productivity, despite the absence of a direct link with financial support.
      PubDate: 2023-11-25
      DOI: 10.1057/s41283-023-00133-1
       
  • Machine learning techniques for default prediction: an application to
           small Italian companies

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      Abstract: Abstract Default prediction is the primary goal of credit risk management. This problem has long been tackled using well-established statistical classification models. Still, nowadays, the availability of large datasets and cheap software implementations makes it possible to employ machine learning techniques. This paper uses a large sample of small Italian companies to compare the performance of various machine learning classifiers and a more traditional logistic regression approach. In particular, we perform feature selection, use the algorithms for default prediction, evaluate their accuracy, and find a more suitable threshold as a function of sensitivity and specificity. Our outcomes suggest that machine learning is slightly better than logistic regression. However, the relatively small performance gain is insufficient to conclude that classical statistical classifiers should be abandoned, as they are characterized by more straightforward interpretation and implementation.
      PubDate: 2023-11-15
      DOI: 10.1057/s41283-023-00132-2
       
  • Assessing and forecasting the market risk of bank securities holdings: a
           data-driven approach

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      Abstract: Abstract We use granular information on securities holdings from 2008 to 2021 to estimate the market risk of Italian bank securities portfolios. The market risk is measured by the value-at-risk and the expected shortfall. The main advantages of our approach are the following: (1) profits and losses are computed through simple operations and without the need of complex calibration algorithms; (2) we are able to incorporate all market data available in Refinitiv; and (3) the risk measures can be estimated for all banks located in Italy, irrespective if the bank has validated internal models for market risk or not. Finally, we conduct an econometric analysis to identify the main drivers of market risk and to perform a forecasting exercise.
      PubDate: 2023-10-03
      DOI: 10.1057/s41283-023-00131-3
       
  • Zero-day and zero-click attacks on digital banking: a comprehensive review
           of double trouble

    • Free pre-print version: Loading...

      Abstract: Abstract The media has consistently covered the far-reaching consequences of Zero-Click and Zero-Day attacks on digital banking, which have resulted in widespread disruption. Despite this, there is a noticeable lack of scientific research conducted on this subject. This review aims to provide a modest yet significant contribution to understanding Zero-Click and Zero-Day attacks on digital banking. To achieve this objective, this study employs a comprehensive methodology that incorporates a multitude of scholarly sources. These include articles, review articles, books, and whitepapers published up until 2023. The aim is to develop a theoretical framework for preventing zero-click attacks with zero-day vulnerabilities. The research findings suggest that the combination of a zero-click attack, and zero-day vulnerabilities poses a significant challenge for banks in detecting such attacks. This, in turn, increases the hacker’s chances of success. Based on the literature review, this study has formulated a framework with the potential to minimize the likelihood of zero-click and zero-day attacks on digital transactions. The uniqueness of this review paper lies in its in-depth analysis of scholarly sources and the development of a theoretical framework to prevent Zero-Click and Zero-Day attacks on digital banking. The potential implementation of this framework could significantly improve the security of digital transactions by reducing the probability of these types of attacks.
      PubDate: 2023-09-28
      DOI: 10.1057/s41283-023-00130-4
       
  • Unaccounted model risk for Basel IRB models deemed acceptable by
           conventional validation criteria

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      Abstract: Abstract Validation procedures are designed to prevent IRB models with model risk from being used in day-to-day business operations. The models that do pass are expected to entail negligible model risk. However, no one has studied the magnitude of such risk. Moreover, most of the prior literature criticises the IRB models either for missing certain features (such as concentration) or for being overconservative due to reliance on the 99.9% confidence level. By simulating around 700 scenarios for the hypothetical loan book, we are able to demonstrate the materiality of the model risk of the accepted IRB models. In addition, we explain that the accuracy of the conservative margin adjusting model calibration cannot offset the underlying model risk when the discriminatory power is not perfect (which is almost always the case). Ultimately, we arrive at suggested risk-weight (RW) mark-ups which enable the revealed and previously unaccounted for IRB model risk to be captured.
      PubDate: 2023-09-01
      DOI: 10.1057/s41283-023-00129-x
       
  • Risk, technical efficiency and capital requirements of Ghanaian insurers

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      Abstract: Abstract This paper evaluates the effect of recapitalisation on technical efficiency and risk of life and non-life insurers in Ghana. The study uses balanced panel data for 14 life and 17 non-life insurers from 2008 to 2019. Technical efficiency is computed using Data Envelopment Analysis. A generalised least square estimation technique is used to determine the relationship between recapitalisation and technical efficiency and between recapitalisation and insurers’ risk. The empirical results show that recapitalisation has a significant positive effect on technical efficiency and a significant negative effect on the insurer’s risk. The findings also suggest that recapitalisation significantly mitigates risks and improves efficiency. The findings further provide insight into technical efficiency, regulation, and risk of insurance companies in Ghana.
      PubDate: 2023-08-19
      DOI: 10.1057/s41283-023-00127-z
       
  • A-RDBOTE: an improved oversampling technique for imbalanced credit-scoring
           datasets

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      Abstract: Abstract Banks and financial industries evaluate the creditworthiness of their customers through credit-scoring models before allocating loans to them. The performance of credit-scoring models significantly degrades due to class imbalance data, in which the class of defaulters is underrepresented as compared to that of non-defaulters, which is one of the major challenging tasks. In this paper, we propose a novel adaptive representative and density-based oversampling technique (A-RDBOTE) to deal with imbalanced credit-scoring datasets. First, the reverse k-nearest neighbor algorithm is applied to eliminate the noisy samples from the training set. Next, a semi-unsupervised clustering method is applied to cluster the minority instances. Then, from each sub-cluster, the representativeness of an instance is determined by considering its degree of similarity with respect to inter and intra-cluster. Subsequently, from each sub-cluster, the instances having high representative values are selected as anchor instances. Finally, artificial minority instances are generated around each anchor instance within the same sub-cluster. The experimental results showed that A-RDBOTE has achieved significantly better results than eight oversampling methods in terms of F1-score, AUC, and G-mean.
      PubDate: 2023-08-19
      DOI: 10.1057/s41283-023-00128-y
       
  • Credit risk linkages in the international banking network, 2000–2019

    • Free pre-print version: Loading...

      Abstract: Abstract We estimate the evolution of credit risk linkages in an international banking network of 46 advanced and emerging market economies between January 2000 and December 2019. In our study, credit risk is proxied with the aggregate probability of default (PD) in the banking sector, and cross-country linkages are described by two types of networks: one representing predictive Granger relationships between the PD measures, and the other representing contemporaneous partial correlations. During the Global Financial Crisis and its aftermath, the density of the networks appears the highest, while experiencing a substantial decline in the post-crisis period triggered by massive deleveraging and the implementation of prudential measures. Throughout the whole observation period, the causal network exhibits the small-world pattern which tends to fuel risk propagation within the network, and the increasing degree of dissortativity which exerts a countervailing effect. On the country level, we document the centrality of the major Asian economies’ banking sectors and France, whereas the role of the USA, the UK and Germany appears moderate, which contrasts with the extant literature. Overall, from the policymaking perspective, our findings indicate that credit risk linkages in the international banking networks can notably differ from the relationships derived from cross-country bank claims.
      PubDate: 2023-07-29
      DOI: 10.1057/s41283-023-00126-0
       
  • Solvency II and diversification effect for non-life premium and reserves
           risk: new results based on non-parametric copulas

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      Abstract: Abstract To increase the safety of the insured, the Solvency II regulation of 2016 introduces the obligation to determine the Solvency Capital Requirement. The standard approach consists in aggregating the capital requirements for individual risk types, based on the dependence structure described by the correlation matrix established in the Directive. A pan-European comparative study was launched in October 2020 with one aim to better understand the dependence between, on the one side, the interdependencies modeling approaches and risk aggregation and, on the other, the resulting diversification benefits. In the present article, we will present a new method of non-parametric estimation of the quantile of the sum of the dependent insurer’s risk types. The diversification effect obtained from the dependencies with the use of these non-parametric copulas is higher than the diversification effect obtained by using the dependence based on vine copulas. This method makes it possible to determine the structure of dependencies more flexibly in the absence of prior knowledge about the stochastic properties of risk-modeling variables and for a limited number of observations.
      PubDate: 2023-07-06
      DOI: 10.1057/s41283-023-00125-1
       
  • Beyond the hype: examining the relationship between Wikipedia attention
           and realised skewness for crypto assets

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      Abstract: Abstract This study investigates the relationship between Wikipedia searches and the next day’s realised skewness for the top four cryptocurrencies between 2020 and 2022, using a time-varying framework. Daily realised skewness was calculated using one-minute data, and Wikipedia queries were used as a proxy for investor attention. The study reports a positive time-varying relationship between today’s Wikipedia attention and the next day’s realised skewness, with increases in Wikipedia attention on a given day associated with higher realised skewness on the following day. However, there was no significant contemporaneous relationship between Wikipedia attention and realised skewness. The study also found that the relationship between Wikipedia attention and realised skewness becomes more stable over time. The findings suggest that Wikipedia attention may be a useful predictor of realised skewness for cryptocurrencies, which could have implications for investors and market participants.
      PubDate: 2023-07-03
      DOI: 10.1057/s41283-023-00124-2
       
  • An alternative approach to manage mortality catastrophe risks under
           Solvency II

    • Free pre-print version: Loading...

      Abstract: Abstract The Solvency II Directive, in its standard formula, proposes that a permanent 15% increase should be applied to mortality rates for covering normal deviations of mortality and that the rates should be increased uniformly over just the following year by 1.5‰ to cover catastrophic mortality deviations. The latter increase means disproportionally raising the rates for some ages, especially young people, with hardly any modification for others. In this paper we show, using data from Spain, the inadequacy of these loadings and this timing (for 1 year only) in protecting against a pandemic. As a solution, we propose a new methodology that allows the catastrophic risk of life to be modelled/calibrated through two parameters: a parameter to mainly cover catastrophic risks linked to specific extreme disasters (such as earthquakes, hurricanes or nuclear explosions) and another parameter to mainly cover catastrophic risks linked to pandemics. After establishing the relationships between these parameters in three different scenarios where the aggregate levels of risk/mortality associated with the Solvency II catastrophic shock are kept constant, we study its effect in terms of Solvency Capital Requirements (SCR) on a real life insurance portfolio. The results obtained show that the new methodology leads to SCRs, over total BEL, less dependent on the age structure of the portfolio.
      PubDate: 2023-05-26
      DOI: 10.1057/s41283-023-00120-6
       
  • Standalone risk management committee, risk governance diversity and
           Islamic bank risk-taking

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      Abstract: Abstract Following the global financial crisis of 2008, new policies, rules and regulations were issued to improve corporate governance (CG) practices, particularly risk management practices, with a view to reducing excessive risk-taking. Hence, this study examined the effects of a standalone risk management committee and risk governance diversity on the risk-taking of Islamic banks. We utilized a set of 389 firm-year observations hand collected from the annual reports of 43 full-fledged Islamic banks drawn from fifteen (15) countries between 2010 and 2020. The findings indicate that the presence of a standalone risk management committee and the proportion of doctor of philosophy (PhD) holders on the risk management committee have a significant negative association with the risk-taking of Islamic banks. In contrast, the proportion of female directors in the risk management committee has a significant positive association with the risk-taking of Islamic banks. We find an insignificant positive association between the proportion of foreign directors in the risk management committee and the risk-taking of Islamic banks.
      PubDate: 2023-05-26
      DOI: 10.1057/s41283-023-00123-3
       
 
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  Subjects -> STATISTICS (Total: 130 journals)
Showing 1 - 151 of 151 Journals sorted by number of followers
Review of Economics and Statistics     Hybrid Journal   (Followers: 275)
Statistics in Medicine     Hybrid Journal   (Followers: 141)
Journal of Econometrics     Hybrid Journal   (Followers: 84)
Journal of the American Statistical Association     Full-text available via subscription   (Followers: 76, SJR: 3.746, CiteScore: 2)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 52)
Biometrics     Hybrid Journal   (Followers: 49)
Sociological Methods & Research     Hybrid Journal   (Followers: 48)
Journal of the Royal Statistical Society, Series B (Statistical Methodology)     Hybrid Journal   (Followers: 42)
Journal of Business & Economic Statistics     Full-text available via subscription   (Followers: 41, SJR: 3.664, CiteScore: 2)
Computational Statistics & Data Analysis     Hybrid Journal   (Followers: 37)
Journal of the Royal Statistical Society Series C (Applied Statistics)     Hybrid Journal   (Followers: 36)
Annals of Applied Statistics     Full-text available via subscription   (Followers: 35)
Oxford Bulletin of Economics and Statistics     Hybrid Journal   (Followers: 35)
Journal of Risk and Uncertainty     Hybrid Journal   (Followers: 34)
Journal of the Royal Statistical Society, Series A (Statistics in Society)     Hybrid Journal   (Followers: 30)
Journal of Urbanism: International Research on Placemaking and Urban Sustainability     Hybrid Journal   (Followers: 28)
The American Statistician     Full-text available via subscription   (Followers: 25)
Statistical Methods in Medical Research     Hybrid Journal   (Followers: 23)
Journal of Computational & Graphical Statistics     Full-text available via subscription   (Followers: 21)
Journal of Forecasting     Hybrid Journal   (Followers: 21)
Journal of Applied Statistics     Hybrid Journal   (Followers: 20)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 19)
Statistical Modelling     Hybrid Journal   (Followers: 18)
International Journal of Quality, Statistics, and Reliability     Open Access   (Followers: 18)
Journal of Statistical Software     Open Access   (Followers: 18, SJR: 13.802, CiteScore: 16)
Journal of Time Series Analysis     Hybrid Journal   (Followers: 17)
Journal of Biopharmaceutical Statistics     Hybrid Journal   (Followers: 17)
Computational Statistics     Hybrid Journal   (Followers: 16)
Risk Management     Hybrid Journal   (Followers: 16)
Decisions in Economics and Finance     Hybrid Journal   (Followers: 15)
Statistics and Computing     Hybrid Journal   (Followers: 14)
Demographic Research     Open Access   (Followers: 14)
Australian & New Zealand Journal of Statistics     Hybrid Journal   (Followers: 13)
Statistics & Probability Letters     Hybrid Journal   (Followers: 13)
Geneva Papers on Risk and Insurance - Issues and Practice     Hybrid Journal   (Followers: 13)
Journal of Statistical Physics     Hybrid Journal   (Followers: 12)
Structural and Multidisciplinary Optimization     Hybrid Journal   (Followers: 12)
Statistics: A Journal of Theoretical and Applied Statistics     Hybrid Journal   (Followers: 11)
International Statistical Review     Hybrid Journal   (Followers: 10)
The Canadian Journal of Statistics / La Revue Canadienne de Statistique     Hybrid Journal   (Followers: 10)
Communications in Statistics - Theory and Methods     Hybrid Journal   (Followers: 10)
Journal of Probability and Statistics     Open Access   (Followers: 10)
Advances in Complex Systems     Hybrid Journal   (Followers: 10)
Multivariate Behavioral Research     Hybrid Journal   (Followers: 9)
Pharmaceutical Statistics     Hybrid Journal   (Followers: 9)
Scandinavian Journal of Statistics     Hybrid Journal   (Followers: 9)
Communications in Statistics - Simulation and Computation     Hybrid Journal   (Followers: 9)
Stata Journal     Full-text available via subscription   (Followers: 9)
Journal of Educational and Behavioral Statistics     Hybrid Journal   (Followers: 8)
Teaching Statistics     Hybrid Journal   (Followers: 8)
Law, Probability and Risk     Hybrid Journal   (Followers: 8)
Fuzzy Optimization and Decision Making     Hybrid Journal   (Followers: 8)
Research Synthesis Methods     Hybrid Journal   (Followers: 8)
Current Research in Biostatistics     Open Access   (Followers: 8)
Environmental and Ecological Statistics     Hybrid Journal   (Followers: 7)
Journal of Combinatorial Optimization     Hybrid Journal   (Followers: 7)
Journal of Global Optimization     Hybrid Journal   (Followers: 7)
Journal of Statistical Planning and Inference     Hybrid Journal   (Followers: 7)
Queueing Systems     Hybrid Journal   (Followers: 7)
Argumentation et analyse du discours     Open Access   (Followers: 7)
Handbook of Statistics     Full-text available via subscription   (Followers: 7)
Asian Journal of Mathematics & Statistics     Open Access   (Followers: 7)
Biometrical Journal     Hybrid Journal   (Followers: 6)
Journal of Nonparametric Statistics     Hybrid Journal   (Followers: 6)
Lifetime Data Analysis     Hybrid Journal   (Followers: 6)
Significance     Hybrid Journal   (Followers: 6)
International Journal of Computational Economics and Econometrics     Hybrid Journal   (Followers: 6)
Journal of Mathematics and Statistics     Open Access   (Followers: 6)
Applied Categorical Structures     Hybrid Journal   (Followers: 5)
Engineering With Computers     Hybrid Journal   (Followers: 5)
Optimization Methods and Software     Hybrid Journal   (Followers: 5)
Statistical Methods and Applications     Hybrid Journal   (Followers: 5)
CHANCE     Hybrid Journal   (Followers: 5)
ESAIM: Probability and Statistics     Open Access   (Followers: 4)
Mathematical Methods of Statistics     Hybrid Journal   (Followers: 4)
Metrika     Hybrid Journal   (Followers: 4)
Statistical Papers     Hybrid Journal   (Followers: 4)
TEST     Hybrid Journal   (Followers: 3)
Journal of Algebraic Combinatorics     Hybrid Journal   (Followers: 3)
Journal of Theoretical Probability     Hybrid Journal   (Followers: 3)
Statistical Inference for Stochastic Processes     Hybrid Journal   (Followers: 3)
Monthly Statistics of International Trade - Statistiques mensuelles du commerce international     Full-text available via subscription   (Followers: 3)
Handbook of Numerical Analysis     Full-text available via subscription   (Followers: 3)
Sankhya A     Hybrid Journal   (Followers: 3)
Journal of Statistical and Econometric Methods     Open Access   (Followers: 3)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 2)
Extremes     Hybrid Journal   (Followers: 2)
Optimization Letters     Hybrid Journal   (Followers: 2)
Stochastic Models     Hybrid Journal   (Followers: 2)
Stochastics An International Journal of Probability and Stochastic Processes: formerly Stochastics and Stochastics Reports     Hybrid Journal   (Followers: 2)
IEA World Energy Statistics and Balances -     Full-text available via subscription   (Followers: 2)
Building Simulation     Hybrid Journal   (Followers: 2)
Technology Innovations in Statistics Education (TISE)     Open Access   (Followers: 2)
International Journal of Stochastic Analysis     Open Access   (Followers: 2)
Measurement Interdisciplinary Research and Perspectives     Hybrid Journal   (Followers: 1)
Statistica Neerlandica     Hybrid Journal   (Followers: 1)
Sequential Analysis: Design Methods and Applications     Hybrid Journal   (Followers: 1)
Wiley Interdisciplinary Reviews - Computational Statistics     Hybrid Journal   (Followers: 1)
Statistics and Economics     Open Access  
Review of Socionetwork Strategies     Hybrid Journal  
SourceOECD Measuring Globalisation Statistics - SourceOCDE Mesurer la mondialisation - Base de donnees statistiques     Full-text available via subscription  
Journal of the Korean Statistical Society     Hybrid Journal  

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