... 2025 05 01 2026 10 02 2026 24 02 2026 © Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Green cryptocurrencies Proof of stake Proof of work TVP-VAR ESG investment Financial stability G11 G12 G17 Q56 Funding...

... individual risk models to produce VaR and ES forecasts. C22 E47 G17 The non-normal behaviours of financial markets with extreme observations during the financial crisis and the recent COVID-19 pandemic require enhancing our understandings of risk forecasting toolboxes. Value-at-risk (VaR...

... in the financial market and in changing behavior of retail investors. Financial market Investors' behavior Personal finance Monetary policy Savings Post-pandemic Emotional communities Wallstreetbets Attention-induced trading Gamification G11 G12 G17 G50 G51 G53 O16 The first 20...

... Interest rate risk Scenario analysis Principal component analysis G17 G22 G28 Enhancing the communication of risk measurement results to decision-makers is a major challenge for risk managers [1] . In terms of interest rate risks, scenarios concerning future yield curves can be used...

... density function (pdf) f of the losses, ES_γ is given by: (1) ES γ = 1 1 − γ ∫ VaR γ ∞ x f ( x ) d x = 1 1 − γ ∫ γ 1 VaR v d v . G11 G17 G28 G32 Over decades, the value at risk (VaR...

.... Figure 1. VIX futures curve Heath-Jarrow-Morton (HJM) no-arbitrage framework Principal component analysis (PCA) Roll-down the term structure Value-at-Risk (VaR) VIX futures G17 G21 G28 Developed by Robert E. Whaley in 1993, the VIX volatility index has become a trademark...

... survivor bond Life securitization Longevity risk Percentile tranching G12 G17 G22 G23 Across the globe, and in the industrial nations in particular, people have seen an unprecedented increase in their life expectancy over the past decades (MacDonald et al., 1998). The benefits...