Financial risk

About: Financial risk is a research topic. Over the lifetime, 11899 publications have been published within this topic receiving 231404 citations. The topic is also known as: economic risk.

Systemic Risks and the Macroeconomy

Abstract: This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period We obtain two main results First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4-2009Q1

Perceived risk, risk-reduction strategies (RRS) and consumption occasions: Roles in the wine consumer's purchase decision

Abstract: – This exploratory study aimed to examine the relationship between perceived risk, risk-reduction strategies (RRS), and the occasion-based purchase of wine, a product widely regarded as representing a complex buying situation for consumers in a retail setting. , – Data was collected in a specialty wine store in Adelaide, Australia using a self-administered questionnaire. A 22-item Perceived Risk Scale (PRS) was developed and operationalised in this study returning a Cronbach alpha coefficient of 0.717. , – The highest perceived risk dimension, namely financial risk, did not differ between risk segments, while the high perceived risk segment observed more social risk than the low perceived risk segment. The high-perceived risk segment also observed more psychological risk. Information seeking was the most important RRS used across seven different wine consumption occasions. The decreasing order of importance in consumption occasions had an inverse relationship to the closeness of the relationship the wine consumers had with those with whom they may consume the wine they had purchased. , – Marketers and managers have the opportunity to target consumers mindful of their specific perceived risks, and help reduce these uncertainties through the use of individualised RRS management focused on consumers' occasion-based wine purchases. , – This study is of value to academic researchers and wine industry practitioners alike. It contributes to the knowledge base by developing a new Perceived Risk Scale (PRS) to investigate the relationship perceived risk has on the types of RRS wine consumers use when purchasing wine for various consumption occasions.

History and the Equity Risk Premium

Abstract: We summarize some of our own past findings and place them in the context of the historical development of the idea of the equity risk premium and its empirical measurement by financial economists. In particular, we focus on how the theory of compensation for investment risk developed in the 20th century in tandem with the empirical analysis of historical investment performance. Finally, we update our study of the historical performance of the New York Stock Exchange over the period 1792 to the present, and include a measure of the U.S. equity risk premium over more than two centuries. This last section is based upon indices constructed from individual stock and dividend data collected over a decade of research at the Yale School of Management, and contributions by other scholars.

Assessing probabilities of financial distress of banks in UAE

Abstract: Purpose – Commercial and Islamic banks are important players in the UAE financial market. However, little is known about their financial distress because these financial institutions usually resolve financial distress within their own organisations, which means that outsiders cannot explicitly observe distress. The purpose of the research is therefore to identify the main drivers of financial institutions' financial distress.Design/methodology/approach – The paper estimates a probability distress prediction model using the BankScope Database and the annual reports of UAE financial institutions submitted to UAE Security Exchange Authority. The paper also analyses the impact of macroeconomic information for forecasting financial institutions' financial distress.Findings – The fundamentals of financial institutions in terms of cost income ratio, equity to total assets, total asset growth and ratio of loan loss reserve to gross loans (all these variables with a lag of one year) positively impacted the probabi...