Journal of Financial Risk Management

Journal Information
ISSN / EISSN : 21679533 / 21679541
Current Publisher: Scientific Research Publishing, Inc. (10.4236)
Total articles ≅ 175
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Latest articles in this journal

Anastasios Sepetis
Journal of Financial Risk Management, Volume 9, pp 99-125; doi:10.4236/jfrm.2020.92006

This paper, has systematized the literature review, and with its critical view towards international and especially European sustainable finance policy and methodologies, has marked three important problems that affect up until today the design and implementation of environmental, social and sustainable policies in the sustainable financial performance of capital market. Environmental, social and sustainable performance measures, as well as the taxonomy system, the evaluation and notification of information that are related to the consequences of sustainable policies, represent a modern challenge for creating a completer methodology in the field of sustainable finance. In a practical level the challenge still remains: 1) if the policies, methodologies and researches in this category, allow researchers and financial stakeholders, as well as firms managers to follow and to evaluate sustainable finance in a reliable manner, 2) if the sustainable policies of firms are successful and recognized by the capital market. As every new scientific field, so “Sustainable Finance” must be framed with theories that should define the efficient operation of “Sustainable Market Capital” and get new holistic “Sustainable Finance model” created. The purpose of this paper is to define the theory of Sustainable Capital Market and the Holistic Sustainable Finance Models.
Yuhui Li, Yijun Chen
Journal of Financial Risk Management, Volume 9, pp 141-154; doi:10.4236/jfrm.2020.92008

Pancheng Qu
Journal of Financial Risk Management, Volume 9, pp 126-140; doi:10.4236/jfrm.2020.92007

The stock price is always an interesting topic. On the one hand, from intuition, the stock price of bank is relatively stable since bank usually does not take risk behavior. From 2007 to 2014, the price of stock of Bank of American is relatively stable by checking the RRV (relative realized volatility). There is only one day has relatively high RRVs during 2007 to 2014. The date May 6th 2010, which called crash day, is a special day that needs to analyze separately. On the other hand, to find the pattern of frequency of trading, there are different sample sizes tested and compared with Poisson distribution. The result is that we can use Poisson distribution to predict probability of no arrival trade when second gap is relatively small. In addition, when plotting the daily 100 seconds accumulated RV (realized volatility) and daily average RV, there was found strong linear relationship between these two variables. In the end, using the Heston model to verify if there exist linear relationship between daily average and mean reversion rate. Then comparing trend of alpha with weekly VIX from Yahoo Finance. When using 5 days as a period to calculate the daily average RV and mean reversion rate, the significance of linear relationship is stronger. It proved the statistic intuition that larger sample size tends to decrease the volatility. The overall trend of VIX from Yahoo Finance is similar to the shape of five-day period alpha.
Riad Makdissi, Anita Nehme, Rachelle Chahine
Journal of Financial Risk Management, Volume 9, pp 1-22; doi:10.4236/jfrm.2020.91001

Entrepreneurs are faced with complex financial decisions to turn their businesses around. They make financial decisions in the form of savings, investment and retirement planning, which makes financial culture crucial in business financing decisions and subsequent performance. Decisions made by SME owners need to be madse with a certain level of expertise, which requires financial knowledge, behaviors and attitudes that will enhance the financial performance of the business. The purpose of this research is to know the influence of financial culture on the SMEs’ financial performance in Lebanon. The survey made it possible to deduce the relationship between the financial culture and the financial performance.
Wei Guo, Yichao Wang, Danping Qiu, Guo Wei, Wang Yichao, Qiu Danping
Journal of Financial Risk Management, Volume 9, pp 57-81; doi:10.4236/jfrm.2020.92004

Expected returns, variances, and co-variances are key inputs of mean-variance portfolio selection problems. In traditional mean-variance portfolio models, the model uncertainty is excluded a priori. But in practice, these parameters are not known a priori and are usually estimated with error. Current researches incorporate the model uncertainty into the mean-variance framework but mainly focus on the uncertain means. The aim of this dissertation is to incorporate uncertain variance-covariance into mean-variance portfolio model via the concept of ambiguity and ambiguity aversion. The approaches developed in this study numerically compare the impact from return ambiguity and variance ambiguity. In particular, re-examine if uncertain variance-covariance can lead to “No-Participation in Stock Market” and/or “Home Bias” via stock indexes data.
Yufan Yang
Journal of Financial Risk Management, Volume 9, pp 44-55; doi:10.4236/jfrm.2020.91003

Meiyi Zhou, Lianqian Yin
Journal of Financial Risk Management, Volume 9, pp 23-43; doi:10.4236/jfrm.2020.91002

Drago Dubrovski
Journal of Financial Risk Management, Volume 9, pp 82-98; doi:10.4236/jfrm.2020.92005

Globalization and rapid technological development, with all their dimensions, influence the change of the strategic orientations of companies in a way that they seek to ensure their continued existence and accelerated development by an in-depth cooperation with other organizations, which, if the four conditions explained are met, can have the characteristics of a strategic partnership. The general objective of a business or equity strategic partnership is to achieve synergy on the basis of integrated, combined and tailored in-depth collaboration, thus an additional joint effect that an individual company would not be able to achieve on its own, while the concrete objectives in each individual alliance and for each participant may be very different. Such an in-depth cooperation also occurs in cases where one of the participating companies is facing severe difficulty, both during the crisis prevention and crisis management periods. However, in these cases, due to the extremely increased risks, some methods of forming alliances are much more common and useful, while others, whose impact on joint crisis management would be too small, are typical only for the alliances between successful companies.
Ester Agasha, Gladness Monamesti, Tshepo Feela
Journal of Financial Risk Management, Volume 9, pp 155-177; doi:10.4236/jfrm.2020.92009

Cosmas Ogobuchi Odo, Christopher Chukwudi Orga, Kenneth C. Ozoemenam
Journal of Financial Risk Management, Volume 8, pp 163-176; doi:10.4236/jfrm.2019.83011

The paper reviews the compliance status of the Federal, State and private sector pension systems in Nigeria after the reform in 2004 that changed the funding strategy from pay-as-you-go to the contributory modality. It first spotlighted the grim factors of the old pension system that made reform inevitable. The paper in the main argues that compliance with the provisions of the law remains the only guarantee of workers’ retirement future. It further points out the specific role labour leadership must play in this regard. The paper disclosed that the observed failure to implement the provisions of the law across the tiers, especially the federal and state government segments, arose in part due to a conspiracy of factors, including, recession, legislative loopholes, supervisory negligence, and absence of sustained engagement of labour leadership with employers across the tiers. The paper therefore concludes by recommending a more focused engagement strategy by labour leadership and a stricter penalty that makes default in making contributions less attractive.
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