Green characteristics are pivotal to risk transmission. We use environmental, social and
governance (ESG) monetized accounting to measure green screening of stock-bond …

With the fragile recovery of world economy and increasing financial uncertainty, global
capital allocations and risk management become more sensitive to the risk spillover and …

In recent years, bank-related decision analysis has reflected a relevant research area due to
key factors that affect the operating environment of banks. This study's aim is to develop a …

Distortion risk measures are extensively used in finance and insurance applications
because of their appealing properties. We present three methods to construct new class of …

Меры риска искажения в последние годы широко используют в финансовых и
страховых приложениях, благодаря их привлекательным свойствам. Цель работы …

Distortion risk measures have been popular in financial and insurance applications in recent
years due to their attractive properties. The aim of the article is to investigate whether risk …

The standard theory of coherent risk measures fails to consider individual institutions as part
of a system which might itself experience instability and spread new sources of risk to the …

We propose a model and an estimation technique to distinguish systemic risk and contagion
in credit risk. The main idea is to assume, for a set of $ d $ obligors, a set of $ d …

Distortion risk measures have been popular in financial and insurance applications in recent
years due to their attractive properties. The aim of the study is to investigate whether risk …

Conditional Value-at-Risk (CoVaR) is defined as the Value-at-Risk of a certain risk given that
the related risk equals a given threshold (CoVaR = ) or is smaller/larger than a given …