In this paper we describe methods of decomposing risk into subcomponents such as contributing instruments, subportfolios or underlying risk factors e.g., equity, foreign exchange, economy-wide systematic and interest rate risk factors. The Euler allocation principle for allocation of instrument...

Portfolio risk measures such as Value at Risk is traditionally measured using a buy and hold assumption on the portfolio. In particular the 10-day market risk capital is commonly measured as the 1-day Value at Risk scaled by the square root of 10. While this scaling is convenient to obtain n-day...

This paper discusses challenges that financial institutions face in the area of liquidity risk measurement and management. The SAS response to these challenges is to deliver an integrated risk solution, SAS® Risk Management for Banking, that can meet the immediate requirements banks have while...

Risk management for banks involves risk measurement and risk control at the individual risk level, including market risk for trading books, credit risk for trading and banking books, operational risks and aggregate risk management. In many banks, aggregate risk is defined using a rollup or risk...

We study professional players and their impacts in peer-to-peer (P2P) markets. P2P markets predominantly consisted of individual, nonprofessional agents but have recently witnessed a rapid influx of corporate suppliers and other professional agents who capitalize on these platforms. What is the...

The study aims to examine the survey of earlier literature that deals with economic growth, energy consumption and carbon emission, both single country studies as well as multi-county studies that covers the period till 2019. The main focus of this survey is on the coverage of countries,...

The Upcoming Era of Data Elements -- Underlying Theories of Big Data Finance -- Data Mining in Big Data Finance -- Global Developments of Big Data Finance -- Big Data Application in Chinas Banking Industry -- Big Data Application in China’s Insurance Industry -- Big Data Application in Chinas...

Leveraging the staggered introduction of specialized bankruptcy courts across China as an exogenous shock, this study examines the impact of specialized bankruptcy courts on corporate ESG performance. Using listed firms in China from 2015 to 2021, we find that the introduction of specialized...