Topic
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.
Papers published on a yearly basis
Papers
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TL;DR: In this article, the effects of environmental and biopsychosocial factors on financial risk tolerance were analyzed using an OLS regression, using a sample of faculty and staff from two universities (N = 406).
Abstract: The effects of environmental and biopsychosocial factors on financial risk tolerance is analyzed. The research is premised on Irwin’s (1993) risk-taking behavioral model. Findings from an OLS regression, using a sample of faculty and staff from two universities (N = 406), indicate that education, marital status, net worth, financial knowledge, and household income, as environmental factors, are related to financial risk tolerance. A significant biopsychosocial factor associated with financial risk tolerance is self-esteem. Findings from this study confirm Irwin’s recommendation that further research should take into account both environmental and biopsychosocial factors when attempting to explain financial risk-tolerance attitudes.
109 citations
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27 Aug 2001
TL;DR: In this paper, a web-based system for defining financial risks and risk mitigation needs of a user based upon profile data of the user is presented, which includes a means for inputting user profile data into the system; means for accumulating the input data in databases to enable analysis of said data; and means for anlayzing the profile data and for identifying financial risks associated with said profile data.
Abstract: A web based system maintained at a central server and accessible to users over the Internet for defining financial risks and risk mitigation needs of a user based upon profile data of the user. THe system includes a means for inputting user profile data into the system; means for accumulating the input data in databases to enable analysis of said data; and means for anlayzing the profile data and for identifying financial risks associated with said profile data. The system also provides a means for identifying financial products which will provide solutions to mitigate such risks as well as a means for specifying the cost to acquire or purchase those financial products. Finally the invention includes means for binding in real time a commitment for the purchase and sale of financial products; and a means for processing a transaction to implement the purchase and sale of the financial products.
109 citations
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TL;DR: This article showed that default risk is still present as an implicit barrier to capital flows in international financial markets, even when countries remove official capital controls and remove default risk as a barrier to international risk sharing.
108 citations
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TL;DR: The extent to which one particular model of risk can be effectively specified in advance, independent of the model's detailed implementation and use in practice is indicated.
Abstract: In the wake of recent failures of risk management, there has been a widespread call for improved quantification of the financial risks facing firms. At the forefront of this clamor has been Value at Risk. Previous research has identified differences in models, or Model Risk, as an important impediment to developing a Value at Risk standard. By contrast, this paper considers the divergence in a model's implementation in software and how it too, affects the establishment of a risk measurement standard. Different leading risk management systems' vendors were given identical portfolios of instruments of varying complexity, and were asked to assess the value at risk according to one common model, J.P. Morgan's RiskMetrics. We analyzed the VaR results on a case by case basis, and in terms of prior expectations from the structure of financial instruments in the portfolio, as well as prior vendor expectations about the relative complexity of different asset classes. It follows that this research indicates the extent to which one particular model of risk can be effectively specified in advance, independent of the model's detailed implementation and use in practice.
108 citations
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TL;DR: In this article, the importance of longevity risk for the solvency of portfolios of pension annuities is analyzed, and the relative importance of micro- and macro-longevity risk for funding ratio uncertainty is assessed.
Abstract: We analyze the importance of longevity risk for the solvency of portfolios of pension annuities. We distinguish two types of mortality risk. Micro-longevity risk quantifies the risk related to uncertainty in the time of death if survival probabilities are known with certainty, while macro-longevity risk is due to uncertain future survival probabilities. We use a generalized two-factor Lee–Carter mortality model to produce forecasts of future mortality rates, and to assess the relative importance of micro- and macro-longevity risk for funding ratio uncertainty. The results show that if financial market risk is fully hedged so that uncertainty in future lifetime is the only source of uncertainty, pension funds are exposed to a substantial amount of risk. Systematic and non-systematic deviations from expected survival imply that, depending on the size of the portfolio, buffers that reduce the probability of underfunding to 2.5% at a 5-year horizon have to be of the order of magnitude of 7% to 8% of the initial value of the liabilities.
108 citations