Reputation and Asset Prices: Evidence from Trump Real Estate
We assess the impact of #brandreputation on asset prices, focusing on Donald Trump’s presence in Manhattan real estate. Analyzing from mid-2015 to 2022, we find a 19% markdown on condos in Trump-branded buildings due to controversies around his candidacy. The drop was swift and substantial, indicating the relevance of #reputationalrisk in pricing. Using #twitter data, […]
The SEC Proposed Cybersecurity Infrastructure Rules and New Disclosure Requirements
On July 26, 2023, the #sec adopted final rules requiring disclosure of material #cybersecurity incidents on Form 8-K and periodic disclosure of a registrant’s cybersecurity #riskmanagement, strategy, and #governance in #annualreports. Lire
Financial and Non-Financial Risk Management: Evidence from Labor Law Violations
Corporate #riskmanagement encompasses both financial hedging and #operationalrisk #riskmitigation. This study investigates how #laborlaw #breaches during surprise inspections impact supplier choices in major #us firms. Lire
The influence of ESG Ratings on the Credit Spread of Corporate Bonds
#esg practices enhance #riskmanagement, performance, stakeholder interest, and capital access. Strong ESG ratings reduce credit spread, benefiting firms’ financials. ESG disclosure aligns with principal-agent theory, lowering debt costs. Even modest ESG improvement cuts credit spread by 0.0035%, aiding companies’ interest expenses. Transparent ESG commitment yields #european market rewards, aiding corporate bonds. Study aids policymakers, credit […]
Acceptable Risks in Europe’s Proposed AI Act: Reasonableness and Other Principles for Deciding How Much Risk Management Is Enough
This paper critically assesses the proposed #euaiact regarding #riskmanagement and acceptability of #highrisk #ai systems. The Act aims to promote trustworthy AI with proportionate #regulations but its criteria, “as far as possible” (AFAP) and “state of the art,” are deemed unworkable and lacking in proportionality and trustworthiness. The Parliament’s proposed amendments, introducing “reasonableness” and cost-benefit […]
Product Liability for Defective AI
The paper promotes better #riskmanagement and the fair allocation of #liability in #ai-related accidents. Lire
Introduction to Bayesian Data Imputation
#bayesian data imputation is a technique used to fill in missing data in a variety of fields, including #riskmanagement. By employing imputation techniques to fill in the gaps, #riskmanagers can obtain a more comprehensive and reliable understanding of the underlying #risk factors, enabling them to make informed decisions and develop effective strategies for #riskmitigation. Lire
Climate Change Stress Testing for the Banking System
The paper explores the potential inclusion of #climatechange #risks in the #prudential #regulatoryframework, specifically discussing adjustments to #capitalrequirements and changes to the #riskmanagement and #governance framework. The paper argues in favor of the latter but is more cautious regarding the former. Lire
Expert Evaluation of ChatGPT Performance for Risk Management Process based on ISO 31000 Standard
“… its ability to provide relevant #riskmitigation strategies was identified as its strongest aspect. However, the research also revealed that #chatgpt’s consistency in #riskassessment and prioritization was the least effective aspect. This research serves as a foundation for future studies and developments in the field of #ai-driven #riskmanagement, advancing our theoretical understanding of the application […]
Divergence Based Quadrangle and Applications
The proposed φ-Divergence Quadrangle presents a refined methodology for understanding and #managing #risk, contributing to the ongoing development of #riskassessment and #riskmanagement strategies. Lire
Expectile Quadrangle and Applications
“#expectile is a #risk measure that, similar to #var (quantile) and CVaR (superquantile), can be employed in #riskmanagement.” Lire
Extending and Improving Current Frameworks for Risk Management and Decision-Making: A New Approach for Incorporating Dynamic Aspects of Risk and Uncertainty
The paper discusses the importance of #riskinformed #decisionmaking -and the use of #riskassessment to support decisions. It highlights the need for a more dynamic approach to #riskmanagement, which takes into account #uncertainty, changes in systems, phenomena, or values that could alter the underlying premises of the initial risk assessment. Lire
Risk Sharing in Blockchain-Based Insurance with Costs
This study examines the #riskallocation problem in distributed #insurance using #blockchaintechnology, considering different charging methods. Through #gametheory analysis, the research explores the #pareto optimal risk allocation method. The findings reveal that when charges occur during insurance signing, risk is proportionally distributed based on policyholders’ #riskaversion coefficient. However, if the platform provider charges a fee proportional […]
Cyber risk definition and classification for financial risk management
We provide a #cyberrisk definition and classification scheme for #riskmanagement purposes, to be used as a data collection template for #financialinstitutions. Lire
Application of Deep Reinforcement Learning in Asset Liability Management
This paper introduces the application of Deep Reinforcement Learning (#drl) in #alm, addressing limitations of traditional methods reliant on human judgement. The findings highlight the potential of DRL to enhance #riskmanagement outcomes for #insurers, #banks, #pensionfunds, and #assetmanagers, providing improved adaptability to changing market conditions. Lire
Using Differential Privacy to Define Personal, Anonymous and Pseudonymous Data
This paper introduces the concept of differential privacy (DP) as a novel technical tool that can quantifiably assess the identification #risks of #databases, thereby aiding in the classification of data. By allocating a privacy budget in advance, data controllers can establish auditable and reviewable boundaries between #personal, #anonymous, and #pseudonymous data, while integrating this framework into broader data #riskmanagement practices. Lire
Correlation Pitfalls With ChatGPT: Would You Fall for Them?
“This paper presents an intellectual exchange with #chatgpt, … , about correlation pitfalls in #riskmanagement. … Our findings indicate that ChatGPT possesses solid knowledge of basic and mostly non-technical aspects of the topic, but falls short in terms of the mathematical goring needed to avoid certain pitfalls or completely comprehend the underlying concepts.” Lire
Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
“This paper introduces the multivariate range Value-at-Risk (MRVaR) and multivariate range covariance (MRCov) as #risk #measures for #riskmanagement in #regulation and investment… Frequently-used cases in industry, such as normal, student-t, logistic, Laplace, and Pearson type VII distributions, are presented with numerical examples.” Lire
Crisis Risk and Risk Management
#crisis #riskmanagement“The existing data show that #political #crises make #economiccrises crises more likely, so that, as suggested by the concept of #polycrisis, feedback between non-economic crises and economic crises can be important, but there is no comparable evidence for #climate events.” Lire
Assessing ChatGPT’s Proficiency in Quantitative Risk Management
“We provide guidance on the types of applications for which consulting #chatgpt can be useful to enhance your knowledge about #quantitative #riskmanagement in #actuarial practice, and point out those for which ChatGPT should better not be invoked.” Lire