Financial Risk Management Research Papers (original) (raw)

This paper focuses on how community workers in Shepparton viewed the impact of the Place Based Income Management (PBIM) trial on the lives of their clients, their clients' families, and the broader community. The paper responds to criticism that there has been a lack of community voices in the development of PBIM or of their inclusion in the formal evaluation framework, raised in Philip Mendes's 2013 study of this trial site. A key policy goal underlying Income Management is that the tool assists low‑income people to become better money managers. Our study found that Shepparton community workers also used the parlance of 'tool' to describe the programmatic value of the BasicsCard in their interactions with clients. However, the BasicsCard appeared marginal to their discussions. Three clear themes emerged from the interviews: Shepparton's focus on voluntary clients, and ascertaining why participation in the local trial had dropped; that support for IM centred on the voluntary measure and the extra resources available to assist clients; and pragmatically locating the program in the middle of a welfare continuum that stretched from the voluntary Centrepay at one end to the highly coercive and restrictive paternalism of State Trustees at the other.

- by Paola Cerchiello
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- Financial Risk Management, Operational Risk

The concept of risk assumes different meanings according to possible typologies of activities developed within several application fields. Therefore various definitions of this concept exist, but in general risk is measured in terms of a combination of two variables concerning different aspects of an harmful event: the frequency and the impact. However, in order to guarantee the continuity of operations and activities, the simple measurement of the risk is not enough: the management of the risks of interruption of the services and their recovery ...

- by Paola Cerchiello
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- Financial Risk Management, Operational Risk

Recently, debt structure research has started focusing on the strategic perspective of financing choices, particularly to understand the reasons for debt specialization (DS). This paper examines trends of specialization over time and industry by using a comprehensive dataset on types of debt employed by the public limited companies during 2009–2018. The objective of the current study is to analyze the effect of debt market conditions by identifying significant predictors of DS. Time-series and cross-sectional results confirm the existence of DS, which is further validated by the findings of the cluster analysis. The empirical results indicate that overall, 61% of the companies solely rely on a single type of debt, mostly on short-term obligations accompanied by long-term secured and other debts. Moreover, small, mature, rated, group-affiliated, and low-leverage companies incline more towards this strategy. Credit rating, debt maturity, financial and interest coverage ratios serve as...

- by Faisal Qadeer
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- Business, Financial Risk Management
- by Georg Pflug
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- Management, Public Finance, Disaster risk management, Financial Risk Management
- by Geert DELRUE
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- Terrorism, Organized Crime, Financial Risk Management, Money Laundering

Corporate risk management governance and management frameworks, approaches and practices face a variety of challenges and in many cases need to be reviewed and revised to copy with multiple uncertainties, disruptive technologies, new markets, business models, relationship, forms of organisation and areas of unpredictability. Systematically reviews issues and questions that need to be addressed from a board perspective in various risk arenas. Published as: Coulson-Thomas, Colin (2017), Risk Governance and the Board, Director Today, Vol. III Issue II, February, pp 49-55

Aida Maria Ismail, Wee Xian Xing, Raziah Bi Mohamed Sadique, Nor Balkish Zakaria, Faculty of Accountancy, Universiti Teknologi MARA, Puncak Alam Campus, Selangor, Malaysia, Roche Services (Asia Pacific) Sdn Bhd, Selangor, Malaysia, Faculty of Accountancy, Universiti Teknologi MARA, Seremban Campus, Negeri Sembilan, Accounting Research Institute and Faculty of Accountancy, Universiti Teknologi MARA, Segamat Campus, Johor, Malaysia, Email: aida430@uitm.edu.my

- by AIDA ISMAIL
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- Business, Economics, Corporate Governance, Earnings Management

A process-based methodology is explained for building a robust Enterprise Operational Risk Management framework.

- by Kannan S U B R A M A N I A N Ra
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- Technology, Banking, Financial Risk Management, Risk Management

The basic of financial plan, income, assets, expenses, and obligation. Made by superteam U Academy. Have a good financial plan for your future.

Dodatkowe zobowiązanie podatkowe w podatku od towarów i usług nie może być kwalifikowane jako kara w rozumieniu przepisów prawa karnego. Jest ono publicznoprawnym zobowiązaniem podatkowym. Dodatkowemu zobowiązaniu podatkowemu przyświecają... more

- by Antoni Hanusz
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- Criminal Law, Tax Law, International Tax Law, International Criminal Law

This research examines the effect of enterprise risk management on firm value in Pakistan. Further, this study empirically examines company characteristics that establish the execution of an enterprise risk management system. Using a sample of final dataset of 83 non-financial firms located in Pakistan. The sample included non-financial firms from the year 1999 to 2015 and so up to seventeen observation years per company. As in context of Pakistan, most of the organizations are already implement an ERM programs and establish specialized ERM departments because the ERM is now a global term and has become increasingly relevant because of the growing difficulty of risk and an additional development of regulatory frame works. For the empirical evidences, data collected from non-financial firms listed at the Pakistan Stock Exchange (PSX). Results of logistic regression shows that Capital Opacity, Profitability, Financial Leverage, Firm Size and Slack have positive impact on the implement...

This study explores the relationship between the stock market and the real estate market. Through the methodologies of cointegration and the Error Correction modeling and data from both the US and the UK stock and the real estate markets over the period 1985 through 2006 the results display that the two markets are considered highly integrated. The empirical findings have implications for managing property assets fund managers, for the pricing efficiency within the real estate market, and for policy makers regarding economic safety.

The objective of this study was to establish the effects of dividend announcement to current market prices at the Nairobi Securities Exchange, with four specific objectives; to determine the information content of dividend announcements, to determine the extent to which prices converge to new values after dividend announcements on a sector by sector basis, to establish the market reaction to announced information and also to establish whether investors can secure excess returns by acting on announced information. A 66 days event timeline was employed from 2005 to 2015 on daily closing stock prices. A sample of 179 dividend announcements from 22 listed companies in 8 sectors were drawn and analysed using an OLS Market Model. Findings of the research conclude that; dividend announcements do have an impact on stock prices for the Agricultural, Banking, Commercial, Construction, Manufacturing and Telecomm Sectors and not for the Energy Sector, Insurance Sector and the Nairobi Securities...

- by Duncan Turere
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- Business, African Studies, East Africa, Financial Risk Management

Textile industry is playing a vital role in the Indian economic growth of the country through its contribution towards GDP,
employment, exchange rate, exports, total production etc. The purpose of the study is to identify the difficulties of textile
companies facing challenges from the general manager’s point of view on financial sustainability of selected textile companies.
The study has used factor analysis for exploring various dimensions of barrier as well as weighted average method and other tests for selected measurement analyzes using SPSS-17 version for different statistics. Overall, the large scale companies performing very well with automatic plant with modern innovation products, medium scale unable to produce due to various reasons and impacting the growth and technological factors as well as facing various difficulties. It reflects overall textile issues and challenges as general results towards the structured questionnaires.

- by MARIMUTHU KN
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- Financial Economics, Textiles, Financial management, Financial Risk Management

This paper evaluate and compare the performance of different categories of Pakistani mutual funds, during seven year from 2004 to 2011.Mutual funds' performance were analyzed using various evaluation techniques; Sharpe, Treyno, Jensen's alpha, Sortino, Information/Appraisal ratio, Fama overall performance and performance attribution analysis. The findings suggest that performance of the mutual funds measured with first five methods, does not satisfy investors' expectations based on the risk and return, mutual funds significantly under-perform the market. Those mutual funds analyzed with the last two methods, are not offering complete diversification thus managers fell short of matching expectations consistent with the actual risk level of portfolio, they have also not made active decision involving both in allocation of assets and in selection of individual security. This study facilitates the managers and investors in taking effective investment decisions by measuring the performance of funds they can allocate resources more efficiently in future.

- by Sania Nawaz and +2
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- Supply Chain Management, Organizational Culture, Corporate Governance, Strategic Management

At the global level and in particular the European level, challenges related to climate change and the transition to green transactions have created an imperative where identifying or developing innovative financial instruments, appropriate for these priorities, have become our research priorities and objectives. Starting from the analysis of the European Investment Plan for green transactions, as well as the EU Directive 2018/410 of the European Parliament and of the Council, in conjunction with ongoing efforts to identify innovative financing tools, research is presented based on hypotheses using concepts and models of green financing. The paper aims to analyze the main concepts and phenomena that could be considered generative factors for current financial market trends, as well as the inventory of facts and acts that provide a picture of the financial market. Based on these investigations, this paper suggest how we can best analyze the economic environment, processes, and resour...

- by rajendra mohanty
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- Business, Climate Change, Sustainable Development, Financial Risk Management

In this article, we studied 13 parametric CAViaR models for 27 stock's indices concerning the bias-variance dilemma, providing an empirical golden rule for choosing the CAViaR structure over unknown information distributional features of financial data. Our findings pointed out that the adaptive model should be chosen when no prior information is available since it presented the smallest MSE in 23 of 27 assets. Furthermore, we also noted that in most cases, the CAViaR models overestimate the validation value-at-risk. This might not be troublesome from a regulators' point of view, since firms and financial institutions that would use those models will likely overestimate risk and hence adopt more conservative politics. However, from the firm's point of view, this means that they will likely operate in a suboptimal risk regime which.

- by Pedro H M Albuquerque and +1
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- Applied Econometrics, Financial Risk Management, Time Series Forecasting

The main contribution of the paper is to present hard evidence on risk exposure, hedging strategies, and agency problems resulting in speculation with derivatives, by focusing on the case of Aracruz Celulose. It highlights the failure of risk management systems in non-financial firms in the face of extreme events like the financial crisis of 2008. The company posted financial losses of U$2.1 billion due to currency derivatives trading in the third quarter of 2008. We show how the company‟s real hedge position deviated from its optimal hedge as a result of the speculation with OTC derivatives, permitted by weak governance structures that failed in preventing hubris and mistakes in risk management.

- by Bruno Rodrigues
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- Finance, Financial Economics, Corporate Governance, Banking

With around half of a person's lifetime health and social care costs occurring in the last year of life it is the variation in the absolute number of deaths, not the age-standardized mortality, which drives the marginal variation in budgetary pressure. The year-to-year variation in the deaths in 397 English and Welsh local government areas were investigated over an 18-year period. Because of size, smaller government areas experience higher volatility than larger ones, however, some locations appear to show higher intrinsic volatility in deaths than others. A method is presented to calculate the financial risk reserve which must be deducted from each year's budget to cover for higher than expected variation-somewhat like an insurance premium. While variation is important, deaths have grown far faster in some locations than others, and this will place greater pressure on the budget against funds allocated via a formula which ignores the effects of the absolute number of deaths on costs.

- by Rodney Jones
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- Health Sciences, Death, Public Budgeting and Finance, Financial Risk Management

Existing and emerging financing mechanisms for SCP businesses RECP in investment decisions of financial institutions Challenges, barriers and limitations Economic benefits of investment in SCP: Case-Studies IBIS: Igniting Business... more

Existing and emerging financing mechanisms for SCP businesses
RECP in investment decisions of financial institutions
Challenges, barriers and limitations
Economic benefits of investment in SCP: Case-Studies
IBIS: Igniting Business Investments in Sustainable Lifestyles –solution for SCP

Hurricane Katrina struck New Orleans in August 2005, driving hundreds of thousands of residents out of the city and causing upwards of $55 billion in damage. Between August 2005 and New Year's Day 2006, New Orleans lost over half its population because Katrina forced people out of their homes and businesses were relocated temporarily, if not permanently. This natural event played a crucial role in the development of the insurance industry with regards to how it reacted to these "black swan" events. Journalists and reporters were quick to criticize the response time of government organizations such as FEMA, but insurance companies were also to blame for the disastrous aftermath. The mathematical models used at the time failed to properly prepare companies for the payouts needed after the storm subsided, meaning hundreds of thousands of New Orleans residents were left unsubsidized for the damage done and were forced to move out of the city altogether. This paper analyzes how models were used by the insurance industry prior to Hurricane Katrina, followed by an analysis on how those models changed to accommodate for future events that may cause similar damage. I also discuss the role of government in natural catastrophes and the regulation of insurance before vs. after Hurricane Katrina.

PT. Equityworld Futures merupakan salah satu anggota Bursa Berjangka Jakarta (Jakarta Futures Exchange) yang resmi berdiri pada tahun 2005. Perusahaan telah berkembang pesat seiring meningkatnya minat masyarakat untuk berinvestasi di... more

- by PT Equityworld Futures Pusat
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- Business, Finance, Financial Accounting, Financial management

La estructura de capital de una empresa es la forma como esta obtiene su efectivo para invertirlo en sus activos; esto se puede ver como un pastel donde parte proviene de deuda y parte del capital contable de la propia empresa como se muestra en la figura de la izquierda; en este esquema las personas que compran deuda se denominan acreedores. El valor de la deuda puede que no sea siempre el mismo. Por ejemplo, la empresa pudo haber emitido bonos (de deuda) por un valor de digamos veinte millones de pesos para comprar maquinaria u otros activos requeridos para sus procesos; para que los bonos se colocarán rápidamente y la empresa pudiera adquirir cuanto antes dichos activos, ella pudo haber ofrecido un rendimiento a quienes los compraran, de digamos un 5%. Sí en la región se sabe que la empresa siempre ha tenido grandes dividendos y que el riesgo de que dicha empresa quiebre es extremadamente alta, entonces es probable que dichos bonos se coloquen cuanto antes; desde el luego el proceso contrario puede también ocurrir. Entonces, el valor de la empresa V se calcula sumando el valor de la deuda B y el valor del capital contable S (Ross, Westerfield, & Jaffe, 2005): V= B+S (1) Como consecuencia habrá un flujo de efectivo entre la empresa con los mercados financieros y el gobierno como se muestra en la figura de al lado En realidad, existe una diferencia entre deuda y el capital que proviene de las acciones (capital accionario). En caso de deuda, la empresa promete pagar una cantidad fija F en una fecha determinada; es decir los instrumentos de deuda son obligaciones contractuales. Sin embargo si la empresa quiebra los acreedores pudieran tener pérdidas, pero aún cobrarían primero que los accionistas de la empresa. Es decir los accionistas tendrán derecho a cobrar el valor de las acciones una vez que se han liquidado todas las deudas y podría llegar a ocurrir que las acciones incluso no valgan nada. (Ross, Westerfield, & Jaffe, 2005). Se puede decir entonces que los accionistas son dueños de un pedazo de la empresa, de forma que como el (los) dueño(s) obtienen ganancia y corren riesgos dependiendo de la situación de la empresa. Dicho de otro modo las acciones son instrumentos de capital sin derechos contractuales. Los mercados financieros de dos maneras:  Por el horizonte de la deuda:

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- by raj rifqi alfarisi
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- Financial Risk Management

Results of the Repeal of the Glass-Steagall Act

- by Marvin Rowe
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- Business, Marketing, Business Administration, Business Ethics

The banking sector has been going through a rapid transformation due to digitalization, regulatory requirements, customer expectations, and demographic trends. The purpose of this paper is to provide an advanced overview of the practical applications of human resource management (HRM) in Banking 4.0. This study used quantitative and qualitative methods to present the results of good practice form inventory and a Delphi study. The results of a European study show that human resource management practices such as reskilling, upskilling, and redeployment are a solution to mitigate challenges in the Banking 4.0 era. The HRM roadmap for banks will be a major guide to ensure effective workforce management.

- by Iwa Kuchciak
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- Financial Risk Management

This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States), S&P/ASX 200 (Australia), S&P/TSX 60 (Canada), AEX (the Netherlands), EURO STOXX 50 (Eurozone) CAC 40 (France), DAX 30 (Germany), HSI (Hong Kong), NIFTY 50 (India), Nikkei 225 (Japan), KOSPI 200 (Korea), SMI (Switzerland), and FTSE 100 (United Kingdom). In-sample volatility forecasts show that both BSIV and MFIV significantly improve the fit of a GJR–GARCH(1,1) model. However, BSIV dominates MFIV for predicting future volatility. Out-of-sample one-month volatility forecasts also indicate that BSIV outperforms both MFIV and GJR-GARCH(1,1) volatility.

- by Ernest Biktimirov and +1
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- Financial Risk Management, Implied Volatility

In my encounters in the field, I realized that the mono-disciplinary (Economics) solution for current problems of Vietnamese coffee industry seems not work well. Then understanding of history becomes the key to valuate and work out an exit for the region, as the leading Vietnamese economic historian Dang Phong has found in his discussion of economic transformation in Vietnam.
The local knowledge accumulated in the period of the successful export of Vietnamese coffee in 1990s seems to be in question since we are now in the “risk society” (Beck 1986, 1992) which means risk distribution is not limited in any separate nations or industries but all people through globally financial institutions and international relations. The implication of globalization also changes society lives, the interaction and communication process. In this situation, we may be confident in “abstract systems” like the effectiveness of banking systems (Giddens 2006) or of the network of coffee agents in the Central Highlands of Vietnam.
In the current condition, the “advanced” Brazilian model providing credit and managing price risk is considered to be a valuable source of inspiration in making policy for Vietnamese coffee industry. To successful implement the self-sustaining model, it requires all the stakeholders, especially the State, believe in implementing with 100% of conviction and participation (“social capital”) (Putnam 1993).

- by Mỹ-Phương Nguyễn-Hoàng
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- Coffee, Social Capital, Financial Risk Management, Vietnam

Best practices for counterparty credit exposure management of uncleared derivatives trades are becoming part of the new Basel III requirements. But unlike other regulations that are the focus of compliance or support functions, this one... more

- by Michael Iver
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- Financial Economics, Financial Risk Management, Financial Derivatives

Small enterprises are exposed to new challenges in examining the impact of creative accounting on their financial statements, particularly when assessing 'going concerned' conditions and increasing the risk of fraud. The article aims to identify accounting errors and fraud risks made by accounting adjustments, thus distorting the true and fair presentation of financial statements. We aim to explore the risks of creative accounting based on the relationship between profit creation (EBT) and cash flow (CF) by applying the CFEBT risk triangle method. We analyze small enterprises operating mainly in the trade, processing, and construction industry to achieve this. The detected risks of accounting records were subsequently compared and evaluated in the selected branches of activities. Our research findings confirmed that M-score values were primarily negative for the monitored industries of small enterprises. The resulting values point to applying creative accounting methods-earning management, which pursues, in particular, tax optimization, and, on the other hand, the fulfilment of profitability criteria. A more profound analysis of selected accounting items and financial indicators confirmed more substantial differences between the trade and construction industries. Differences between the branches were found in one-half of the financial indicators and most of the 14 accounting items monitored. The accounting risks ascertained may be used as a tool for reducing the information asymmetry between authors of accounting records and users of reported accounting data and information. The detection and evaluation of risks of accounting errors and errors beyond the economic substance of reported data may considerably improve the quality of decision-making of internal and external users and is also used by persons authorized to conduct the administration and Corporate Governance for increasing the efficiency of enterprises' internal control systems.

The exchange rate is a key macroeconomic factor that affects international trade and the real economy of each country. The development of international trade creates conditions where volatility comes with the exchange rate. The purpose of this paper is to examine the effect of real effective exchange rate volatility on economic growth in the Central and Eastern European countries. Additionally, the effect, through three channels of influence on economic growth which vary on the measurement of exchange rate volatility, is examined. The study uses annual data for fourteen CEE countries for the period 2002–2018 to examine the nature and extends the impact of such movements on growth. The empirical findings using the fixed effects estimation for panel data reveal that the volatility of the exchange rate has a significant negative effect on real economic growth. The results appear robust with alternative measures of exchange rate volatility such as standard deviation and z-score. This pa...

- by Ugur Ergun
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- Economics, Financial Risk Management

Every international business is affected by the ever-changing value of the currencies implied in contracts. While many of us consider this unpredictability a nuisance, the volatility of currencies around the world can mean the difference between success and failure for many exporters/importers. Exchange rates between one currency and another can change dramatically in a short period of time, leaving the unprepared business exposed to potentially crippling losses. The efficient management of this risk is essential for the survival of a company and any business that is exposed to such a risk should ensure that it is fully prepared to manage it. Old standbys and recent breakthroughs in the area of financial risk management can remove much of the risk from currency rate movements. The range of such products is huge, with increasingly sophisticated techniques constantly being added. Among the most modern methods for managing exchange risk there are four major classes of derivative produc...

- by Kasım Kiracı
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- Financial Risk Management, Airlines

abstract The purpose of this research is to analyze the impact of value at risk, market risk, stock price, liquidity and price-to-book value ratio to the stock return in low tick size (Rp 5 and Rp 10) at Bursa Efek Indonesia (BEI). This research focuess in (1) the relationship between return, VaR and market risk (2) the relationship between return, Size and liquidity and (3) analysis the relationship between return and PBV. We employ panel data analysis methodology which combines time series and cross section data in quarterly period in 2004-2006. We get data from active stocks of various companies of low price level in LQ-45 for period 2004-2005. The results of this research are VaR, beta, size, liquidity have positive impact significantly to the stock returns except PBV. These findings indicated that fundamental performance not relevan with trading activity at lower price. These results support the previous researches which are done by many scholars, and give opportunities to VaR build alternative models for Capital Asset Pricing Model (CAPM).

- by Perdana Wahyu Santosa
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- Capital Markets, Financial Risk Management, Mult factor CAPM

A major downside of the cashless policy introduced by the Central Bank of Nigeria in 2014 is pervasive automated teller machine (ATM) frauds. While fraudsters gain, the life chances of victims are affected. Previous studies in Nigeria had not investigated the effect of ATM frauds on victims' life chances. Data were generated through in-depth interviews with victims of ATM fraud. Findings show victims suffered post fraud trauma and often depended on friends, parents and relatives to survive the trauma. The reaction of banks to customers' victimization was unfavorable and unhelpful in compensating the financial losses of customers. We recommend better internal controls for banks and implementation of mechanisms to govern trust and protect customers from victimization.

Financial performance of firms is very important to bankers, shareholders, potential investors, and creditors. The inability of firms to meet their liabilities will affect all its stakeholders and will result in negative consequences in the wider economy. The objective of the study is to explore the applicability of a distress prediction model which uses the F-Score and its components to identify firms which are at high risk of going into default. The study incorporates a prediction model and vast literature to address the research questions. The sample of the study is collected from publicly listed firms of the United States. In total, 81 financially distressed firms wereextracted from the UCLA-LoPucki Bankruptcy Research Database during 2009–2017. This study found that the relationship of the F-Score and probability of firms going into financial distress is significant. This study also demonstrated that firms which are at risk of distress tend to record a negative cash flow from o...

- by Dr. Abdul Kaium Masud
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- Business, Financial Risk Management

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one market across trading zones. Also the other combinations of different markets in different trading zones are considered. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a small minority of different cases. Investigating further we find that all volatility series show persistence breaks during the observation period which may be a reason for different findings in previous studies.

- by Mwasi Mboya
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- Financial Risk Management