This study examines the market reaction to the approval of the Nature Restoration Law, a key component of the EU Biodiversity Strategy, and its implications for biodiversity-related financial risks. Using an event study methodology, we analyze the equity price movements of companies listed in...

We present insights into novel and complex issues regarding cryptocurrency activities, the related investor protection, and blockchain market risks. Crypto digital assets embody global economic ambition with their significant growth and creativity levels. This study employs a novel research...

Amidst the global push for decarbonization, green hydrogen has gained recognition as a versatile and clean energy carrier, prompting the financial sector to introduce specialized investment instruments like Green Hydrogen Exchange-Traded Funds (ETFs). Despite the nascent nature of research on...

This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations...

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

This study aims to examine the effect of investor sentiment on stock market crash risk in the Asia-Pacific region. The research employs principal components analysis (PCA) to construct an investor sentiment index, while the Method of Moments Quantile Regression (MMQR) is used to analyze monthly...

In the era of emerging technologies, many firms explore the role of blockchain technology and its impact on corporate market value. Past research has shown that companies benefit from executing blockchain projects, but little is known about specific value and risk drivers. Hence, we provide...

Global economic downturns and multiple extreme events threaten Vietnam's economy, leading to a surge in stock market risk and signifcant spillovers. This study investigates market risk spillovers and explores the asymmetric efects of macroeco‑ nomic indicators on market risk across 24 sectors...

Extant empirical studies have predominantly focused on the nexus between working capital management (WCM) and corporate profitability. While there is a dearth of literature on the nexus between WCM and a firm's risk, the present study examines Pakistani-listed firms coming from 12 diverse...

Der Anstieg des Zinsniveaus im Jahr 2022 führte in den Anleiheportfolios deutscher Banken zu hohen Verlusten. Die entstandenen stillen Lasten signalisieren zudem eine verminderte Profitabilität und deuten mittelfristig auf das Risiko hin, dass weitere Verluste entstehen könnten, sofern stille...

The rise in interest rate levels in 2022 led to large losses in German banks' bond portfolios. The resulting unrealised losses also point to reduced profitability and, in the medium term, indicate the risk of further losses arising if unrealised losses end up having to be realised in the process...

This paper presents a new Expected Shortfall (ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to estimate market risk in banks and other financial institutions according to Basel III standard. Predictions of the model agree with the empirical data which displays deviations...

In this article, the market risk associated with the financial markets of New York and Colombia is evaluated in three periods belonging to the 2019-2020-time window, characterized by shocking economic and social conditions such as the oil price war between Saudi Arabia and Russia and the global...

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach - This paper first suggests an algorithm for implementing the FRTB...

Liquidity and market risk are key considerations in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in these fields have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding...

The 2020 COVID-19 pandemic crisis and the 2022 global energy crisis consecutive to Russia's aggression against Ukraine have been unprecedented in several aspects. In the European Union (EU), national governments, as well as European bodies put in place several relief measures to support the EU...

The writing of this article predates by several months the failure of Silicon Valley Bank and the takeover of Credit Suisse which occurred in March 2023. It does not represent the views of the European Central Bank (ECB) and should not be construed as linked to or an advice for the winding down...

Researchers have observed the political risk, sign paradox whereby a decrease in political risk is associated with an increase in stock market returns. However, the political risk-return relationship may be driven by a few political risk factors or emerging market countries. This paper examines...

In this research, we summarize the results of implementing market risk premium into the option valuation formulas of the Black-Scholes-Merton model for the out-of-money (OTM) options. Especially, empirical studies are conducted using the 50ETF options which are obtained from Shanghai Stock...

This paper contains the statistics of a survey about the Risk-Free Rate (RF) and the Market Risk Premium (MRP) used in 2023 for 80 countries. We got answers for 102 countries, but we only report the results for 80 countries with more than 6 answers.The paper also contains the links to previous...

We demonstrate how a mixture of two SEP3 densities (skewed exponential power distribution of Fernández et al., 1995) can model the conditional forecasting of VaR and CVaR to efficiently cover market risk at regulatory levels of 1% and 2.5%, as well as at the additional 5% level. Our data...

We propose a new method for computing a lower bound to the expected future dividend component of the market risk premium from observed option prices. We find that our estimate of future dividend yields has similar characteristics to future realized dividend yields, exhibits significant...

The 2020 COVID-19 pandemic crisis and the 2022 global energy crisis consecutive to Russia's aggression against Ukraine have been unprecedented in several aspects. In the European Union (EU), national governments, as well as European bodies put in place several relief measures to support the EU...

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of the Trading Book (FRTB) regulation, issued in Basel and coming into effect in 2023. Design/methodology/approach - This paper first suggests an algorithm for implementing the FRTB...

The Micro Financial Institutions (MFIs) have been touted as development strategies for Emerging Markets and Developing Economies (EMDEs) which merits research into the effect of financial development on the efficiency and sustainability of the MFIs. The Efficient and sustainable MFIs...

Liquidity and market risk are key considerations in financial markets, especially in times of financial crises. For this reason, regulatory attention to and measures in these fields have been on the rise for the past years. Based on practical experience, regulations aiming at ensuring funding...