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This study aims to analyze the investment risks of hajj funds managed by the Hajj Financial Management Agency (BPKH). The investment of hajj funds is an integral part of fund management that significantly contributes to the cost of organizing hajj pilgrimages. Using both quantitative and qualitative approaches, this study identifies key risk factors, including market, credit, operational, and liquidity risks, and their impact on the stability of hajj funds. The analysis is conducted using the Value at Risk (VaR) model and multiple linear regression, along with in-depth interviews with experts and stakeholders. The results indicate that market and credit risks are the primary risks affecting the stability of hajj funds. Additionally, the findings highlight the need for a more comprehensive diversification strategy and enhanced internal risk management by BPKH. The recommendations provided aim to assist BPKH in maximizing investment benefits and minimizing potential losses.

Titel: Riskhantering på bankkontor: En kvalitativ fallstudie av fyra svenska banker på kontorsnivå. Författare: Max Bäckman och Kamran Sultani Handledare: Rasmus Nykvist Nyckelord: Banker, bankkontor, riskhantering, finansiell risk, kreditrisk, marknadsrisk, likviditetsrisk, operativ risk och lokal anpassning. Bakgrund: Studien har uppmärksammat att tidigare forskning kring risk och riskhantering inom banksektorn till viss del saknar ett perspektiv utifrån det lokala bankkontoret. Det finns därför ett intresse av att undersöka hur de lokala kontoren prioriterar och hanterar risk men också hur de förhåller sig till de generella riktlinjerna. Syfte: Syftet med studien utgör att öka förståelsen för riskhanteringen inom banksektorn på kontorsnivå. Vidare ämnar studien att undersöka vilka risktyper inom riskhanteringen som prioriteras, samt analysera hur bankkontoren förhåller sig till generella riktlinjer och lokala förhållanden. Metod: Studien har genomförts med hjälp av kvalitativ metod där primärdata har samlats in genom semistrukturerade intervjuer. Metoden som sedan har använts för att analysera studiens empiriska material omfattar tematisk analys. Resultat: Studien resulterade i en ökad förståelse för riskhanteringen inom banksektorn på kontorsnivå. Samtliga bankkontor hanterar finansiella samt operativa risker och resultatet visar även vilken risk samt hanteringsmetod som prioriteras i praktiken. Vidare visar studien att kontoren är starkt påverkade av externa samt interna regelverk, framförallt inom de finansiella riskerna. Slutligen visar analysen att erfarenhet samt kunskap om marknads- samt lokalkännedomen har en väsentlig betydelse för kontorets riskhantering av samtliga risktyper. Kunskapsbidrag: Studien ger ett nytt perspektiv på tidigare forskning gällande riskhantering inom banksektorn då studien har i syfte att öka förståelse för riskhantering på kontorsnivå., Title: Risk management in banking office: A qualitative case study of four Swedish banks at office level. Author: Max Bäckman and Kamran Sultani Supervisor: Rasmus Nykvist Keywords: Banks, banking office, risk management, financial risk, credit risk, market risk, liquidity risk, operational risk and local adaptation. Background: The study has highlighted that previous research on risk and risk management in the banking sector to some extent lacks a perspective from the local banking office. There is therefore an interest in investigating how the local offices prioritize and manage risk, but also how they relate to the general guidelines. Purpose: The purpose of the study is to increase the understanding of risk management in the banking sector at the office level. Furthermore, the study aims to investigate which risk types within risk management are prioritized, and to analyze how the bank offices relate to general and local conditions. Method: The study has been conducted using a qualitative method where primary data has been collected through semi-structured interviews. The method used to analyze the study's empirical material includes thematic analysis. Results: The study resulted in an increased understanding of risk management in the banking sector at the office level. All bank offices manage financial and operational risks and the results also show which risk and management method is prioritized in practice. Finally, the study shows that the offices are strongly influenced by external and internal regulations, especially within the financial risks. Furthermore, the analysis shows that experience of the market and local knowledge have a significant impact on the office's risk management of all risk types. Knowledge contribution: The study provides a new perspective on previous research on risk management in the banking sector as the study aims to increase understanding of risk management at the office level.

This study aims to estimate the market risk of private real estate assets, specifically examining Swedish real estate companies, and seeks to identify the best model for estimating the quarterly squared return. An important assumption in this study is that private real estate assets are assumed to have the same market risk as publicly traded assets, all else being equal. With this assumption, the studied methods can be applied to publicly traded companies and evaluated based on the realized stock returns of these traded companies. The study examines two primary techniques for estimating the risk of private real estate assets: desmoothing of appraisal based returns and supervised learning on listed peers. Desmoothing is a technique used to estimate new economic returns from smoothed real estate appraisal returns. The original desmoothing method outlined by Geltner (1991) introduces AR desmoothing and is examined along with the MA desmoothing model presented by Getmansky et al. (2004). Performing these desmoothing techniques yields a new time series of returns that can be utilized in an EWMA (Exponentially Weighted Moving Average) estimation for predicting the squared return of the next quarter. The supervised learning on listed peers, on the other hand, is performed by studying similar listed assets and training the ability to predict the squared return based on explanatory variables representing selected key figures of the companies’ financials. Five supervised learning models are examined: Linear Regression, Lasso Regression, Ridge Regression, Elastic Net Regularization, and Random Forest Regression. The results show that four out of the five supervised learning models are superior to the desmoothing models. In particular, Random Forest Regression, Ridge Regression, and Lasso Regression yield the best estimates of the quarterly squared return. However, since this study assesses risk over a quarterly time period, the lack of data is significant, affecting the stat

The risk management within a bank is an important part given its status as a pivotal component within the capital adequency framwork stipluated in the Basel Accords. To proficiently be assessing, monitoring and managing market risk that the bank undertakes is therefore a part of the daily activities at Swedbank. For the majority of the measures and models, the bank is employing a full revaluation approach, implying a revaluation of each position under diverse market conditions specified across various scenarios to estimate risk. Prior to this thesis, Swedbank has been missing the full revaluation approach for the product commodity futures in their portfolio. The commodity futures needs to be treated differently from other futures due to their underlying being a physical product being produced, stored and transported. To help Swedbank being able to calculate and measure a diversified set of risk measures for commodity futures with high accuracy and according to market practise and implement the valuation model with results closest to market practise into their risk system, various valuation models have been replicated and compared in Python. The focus has been on investigating different variations of a model derived from the theory of storage and no arbitrage (Cost of Carry model) as well as a more advanced model developed from a belief of mean reverting short-term prices and an uncertain long-term equilibrium price (Schwartz and Smith Two Factor model). These models were replicated on three different commodity types in Swedbanks portfolio, Wheat, Rapeseed and Gasoil, to determine which valuation model that could estimate prices closest to the real prices on the market. The findings revealed that one variation of the Cost of Carry model could be matched exactly to the mark-to-market price due to the real price being known. The Schwartz and Smith Two Factor model was clearly the second best model, estimating prices very well but not always exactly. The most suited mod, Riskhanteringen inom en bank är en viktig del med tanke på dess roll som en avgörande komponent inom kapitaltäckningsramverket som föreskrivs i Basel-avtalen. Att noggrant bedöma, övervaka och hantera den marknadsrisk som banken åtar sig är därför en del av de dagliga aktiviteterna på Swedbank. För de flesta åtgärder och modeller använder banken en fullständig omvärderingsmetod, vilket innebär en omvärdering av varje position under olika marknadsförhållanden specificerade över olika scenarier för att uppskatta risken. Innan det här projektet har Swedbank saknat den fullständiga omvärderingsmetoden för produkten råvaruterminer i sin portfölj. Råvaruterminer måste behandlas annorlunda än andra terminer på grund av att deras underliggande är en fysisk produkt som produceras, lagras och transporteras. För att hjälpa Swedbank att kunna beräkna och mäta en diversifierad uppsättning riskmått för råvaruterminer med hög noggrannhet och enligt marknadspraxis samt implementera värderingsmodellen med resultat som ligger närmast marknadspraxis i deras risksystem har olika värderingsmodeller replikerats och jämförts i Python. Fokuset har legat på att undersöka olika variationer av en modell som härstammar från teorin om lagring och inget arbitrage (Cost of Carry-modell) samt en mer avancerad modell som utvecklats från en tro om ett genomsnittligt återgående kortsiktigt pris och ett osäkert långsiktigt jämviktspris (Schwartz och Smith Two Factor-modell). Dessa modeller replikerades för tre olika typer av råvaror i Swedbanks portfölj: Vete, Raps och Gasol, för att avgöra vilken värderingsmodell som kunde uppskatta priser närmast de verkliga priserna på marknaden. Resultaten visade att en variation av Cost of Carry-modellen kunde matchas exakt med marknadsvärdet eftersom det verkliga priset var känt. Schwartz och Smith Two Factor-modellen var tydligt den näst bästa modellen, vilket uppskattade priserna mycket bra men inte alltid exakt. Den mest lämpade modellen som kunde matcha pris

This research aims to determine the influence of investment risk consisting of market risk (X1), business risk (X2), and financial risk (X3) on stock returns (Y) in automotive companies listed on the BEI in 2014-2023 simultaneously and Partial. This research data was obtained from the financial reports of automotive companies listed on the Indonesia Stock Exchange (BEI) and the finance.yahoo.com website. The research sample consisted of 10 automotive companies listed on the Indonesia Stock Exchange for 10 years, namely the 2014-2023 period. The data analysis technique used is descriptive statistical analysis and multiple linear regression analysis using the t test and F test methods. The results of the research show that the market risk variable has a significant negative influence on stock returns, business risk has a significant positive influence on stock returns and financial variables. risk has an insignificant negative effect on stock returns. Meanwhile, simultaneously (F test) the independent variables have a significant influence on the stock return variable. With a determinant coefficient (R2) of 0.111, it shows that 11.1% of the dependent variable on stock returns can be explained by independent variables consisting of market risk, business risk and financial risk and the remaining 88.9% is explained by other variables that are not researched.

This study aims to estimate the market risk of private real estate assets, specifically examining Swedish real estate companies, and seeks to identify the best model for estimating the quarterly squared return. An important assumption in this study is that private real estate assets are assumed to have the same market risk as publicly traded assets, all else being equal. With this assumption, the studied methods can be applied to publicly traded companies and evaluated based on the realized stock returns of these traded companies. The study examines two primary techniques for estimating the risk of private real estate assets: desmoothing of appraisal based returns and supervised learning on listed peers. Desmoothing is a technique used to estimate new economic returns from smoothed real estate appraisal returns. The original desmoothing method outlined by Geltner (1991) introduces AR desmoothing and is examined along with the MA desmoothing model presented by Getmansky et al. (2004). Performing these desmoothing techniques yields a new time series of returns that can be utilized in an EWMA (Exponentially Weighted Moving Average) estimation for predicting the squared return of the next quarter. The supervised learning on listed peers, on the other hand, is performed by studying similar listed assets and training the ability to predict the squared return based on explanatory variables representing selected key figures of the companies’ financials. Five supervised learning models are examined: Linear Regression, Lasso Regression, Ridge Regression, Elastic Net Regularization, and Random Forest Regression. The results show that four out of the five supervised learning models are superior to the desmoothing models. In particular, Random Forest Regression, Ridge Regression, and Lasso Regression yield the best estimates of the quarterly squared return. However, since this study assesses risk over a quarterly time period, the lack of data is significant, affecting the stat

The risk management within a bank is an important part given its status as a pivotal component within the capital adequency framwork stipluated in the Basel Accords. To proficiently be assessing, monitoring and managing market risk that the bank undertakes is therefore a part of the daily activities at Swedbank. For the majority of the measures and models, the bank is employing a full revaluation approach, implying a revaluation of each position under diverse market conditions specified across various scenarios to estimate risk. Prior to this thesis, Swedbank has been missing the full revaluation approach for the product commodity futures in their portfolio. The commodity futures needs to be treated differently from other futures due to their underlying being a physical product being produced, stored and transported. To help Swedbank being able to calculate and measure a diversified set of risk measures for commodity futures with high accuracy and according to market practise and implement the valuation model with results closest to market practise into their risk system, various valuation models have been replicated and compared in Python. The focus has been on investigating different variations of a model derived from the theory of storage and no arbitrage (Cost of Carry model) as well as a more advanced model developed from a belief of mean reverting short-term prices and an uncertain long-term equilibrium price (Schwartz and Smith Two Factor model). These models were replicated on three different commodity types in Swedbanks portfolio, Wheat, Rapeseed and Gasoil, to determine which valuation model that could estimate prices closest to the real prices on the market. The findings revealed that one variation of the Cost of Carry model could be matched exactly to the mark-to-market price due to the real price being known. The Schwartz and Smith Two Factor model was clearly the second best model, estimating prices very well but not always exactly. The most suited mod, Riskhanteringen inom en bank är en viktig del med tanke på dess roll som en avgörande komponent inom kapitaltäckningsramverket som föreskrivs i Basel-avtalen. Att noggrant bedöma, övervaka och hantera den marknadsrisk som banken åtar sig är därför en del av de dagliga aktiviteterna på Swedbank. För de flesta åtgärder och modeller använder banken en fullständig omvärderingsmetod, vilket innebär en omvärdering av varje position under olika marknadsförhållanden specificerade över olika scenarier för att uppskatta risken. Innan det här projektet har Swedbank saknat den fullständiga omvärderingsmetoden för produkten råvaruterminer i sin portfölj. Råvaruterminer måste behandlas annorlunda än andra terminer på grund av att deras underliggande är en fysisk produkt som produceras, lagras och transporteras. För att hjälpa Swedbank att kunna beräkna och mäta en diversifierad uppsättning riskmått för råvaruterminer med hög noggrannhet och enligt marknadspraxis samt implementera värderingsmodellen med resultat som ligger närmast marknadspraxis i deras risksystem har olika värderingsmodeller replikerats och jämförts i Python. Fokuset har legat på att undersöka olika variationer av en modell som härstammar från teorin om lagring och inget arbitrage (Cost of Carry-modell) samt en mer avancerad modell som utvecklats från en tro om ett genomsnittligt återgående kortsiktigt pris och ett osäkert långsiktigt jämviktspris (Schwartz och Smith Two Factor-modell). Dessa modeller replikerades för tre olika typer av råvaror i Swedbanks portfölj: Vete, Raps och Gasol, för att avgöra vilken värderingsmodell som kunde uppskatta priser närmast de verkliga priserna på marknaden. Resultaten visade att en variation av Cost of Carry-modellen kunde matchas exakt med marknadsvärdet eftersom det verkliga priset var känt. Schwartz och Smith Two Factor-modellen var tydligt den näst bästa modellen, vilket uppskattade priserna mycket bra men inte alltid exakt. Den mest lämpade modellen som kunde matcha pris

This study aims to compare the disclosure of Value at Risk (VaR) in market risk prediction among banks in Indonesia. By employing comparative and analytical methods, this research examines the effectiveness of VaR disclosure as a market risk prediction tool. Through the evaluation of VaR models disclosed by Indonesian banks and their comparison to a parametric model using asymmetric GARCH volatility for Variance Covariance Value at Risk, this study identifies the extent to which VaR disclosure can be relied upon to predict market risk. This research contributes to the understanding of risk management practices in the Indonesian banking sector and offers recommendations for improving market risk prediction accuracy through more effective VaR disclosures.

This study aims to compare the disclosure of Value at Risk (VaR) in market risk prediction among banks in Indonesia. By employing comparative and analytical methods, this research examines the effectiveness of VaR disclosure as a market risk prediction tool. Through the evaluation of VaR models disclosed by Indonesian banks and their comparison to a parametric model using asymmetric GARCH volatility for Variance Covariance Value at Risk, this study identifies the extent to which VaR disclosure can be relied upon to predict market risk. This research contributes to the understanding of risk management practices in the Indonesian banking sector and offers recommendations for improving market risk prediction accuracy through more effective VaR disclosures.

Purpose: This study explores the effect of risk management on the financial performance of Malaysian hospitality and tourism companies. Theoretical framework: The agency theory and extreme value theory (EVT) were applying in this study. Design/Methodology/Approach: The study population is the public listed companies in Bursa Malaysia. The unit of analysis of this study is the Travel, Leisure & Hospitality Companies listed in Bursa Malaysia. With the purposive sampling method, 29 companies were selected which are suitable for the objective of this study. The secondary data used in this study were derived from the audited financial statements and annual. Findings: The findings indicates that there is insignificant and negative relationship between the risk management and financial performances of Hospitality and tourism Industry in Malaysia and the significantly positive relationship between company size and financial performances of Hospitality and tourism Industry in Malaysia. Research, Practical & Social implications: This study will be beneficial for future researcher and entrepreneurs to have access to this study in order to gain a better understanding of how to take pre-actions before starting a business in order to ensure their success. Policy implications include ensuring that prudential guidelines and other regulations governing the company's operations regarding loan facilities are reviewed periodically to address evolving credit risk issues. Originality/Value: The study provides valuable insight on the effect of risk management on the financial performances among hospitality and tourism companies in Malaysia.

We investigate various methods for generating a market-based proxy for climate related transition risk in financial markets, and use these to determine the sensitivities of various investments towards climate change policies. We find that assets tied to the energy and materials sector have consistently high sensitivity towards market factors which are likely to decline in response to climate regulations, and as such consequently face mark-to-market losses conditional on systemic climate events. For beta estimation we use both traditional linear regression and the dynamic conditional beta model developed by Engle, based on multivariate GARCH volatility models. We find suggestive evidence that our stylised climate factors, based on stranded assets, responds negatively to news of policies related to a move towards renewable energies., Vi undersöker olika metoder för att skapa en marknadsbaserad proxy för klimatrisk inom finansmarknaden, och använder dessa för att bestämma känsligheter för olika investeringar mot klimatrelaterade händelser. Vi finner att tillgångar med koppling mot sektorer såsom energi eller material har konsekvent hög känslighet mot marknadsfaktorer som sannolikt kommer minska som svar till klimatbestämmelser, och således också tappa marknadsvärde vid en systemisk klimathändelse. Vi uppskattar ett klimatbeta genom både linjär regression, och Engles dynamic conditional beta modell baserad på en GARCH process i flera variabler. Vi finner suggestiva bevis för att våra klimatfaktorer, baserade på strandade tillgångar, svarar negativt till nyheter som hanterar omställningen till förnybar energi.

Bakgrund: Betydelsen av investeringsbedömningen kan inte överbetonas till följd av dess långsiktiga fördelar för företagets giltighet och operativa funktionalitet. Beräkningsmetoder som används för investeringsbedömning bistår med nödvändig kunskap för att underlätta beslutsfattande samt för att skapa sig en tydligare bild över det föreslagna investeringsprojektet. Företag investerar för att upprätthålla sina ekonomiska mål och värderingen av olika investeringsalternativ spelar således en central roll för företagets ekonomiska fortlevnad och utveckling. Kapitalinvesteringar är ofta omfattande och förväntas generera värde på lång sikt, vilket formar företagets ekonomiska fokusområden. Detta belyser viktigheten av en kvalitativ bedömning för olika investeringsalternativ och deras respektive utvecklingsmöjligheter. Syfte: Genom att undersöka användningsområdet för kalkylräntan avser studien att öka kunskapen för sambandet mellan kalkylräntebestämningen och investeringsbedömningen. Detta som ett delsyfte till att undersöka vilka metoder som några svenska industri- och fastighetsföretag använder. Studien avser även vidare att beskriva och analysera företagens investeringskalkylering och kapitalstruktur. Metod: Studien har antagit en kvalitativ forskningsansats med semistrukturerade intervjuer med svenska industri- och fastighetsbolag. Respondenterna valdes ut genom ett målstyrt urval och vidare beskriver metoden hur insamling av det empiriska materialet har gått till. För att besvara studiens problemformulering har det empiriska materialet analyserats med den teoretiska referensramen. Slutsats: Studiens resultat visar tydliga skillnader i relation till den klassiska kapitalteorin och att långsiktiga strategiska investeringar i viss utsträckning tenderar att inkräkta på investeringar som kan generera en högre internränta och således vara mer ekonomiskt lönsam, men som är av mindre strategisk betydelse för bolaget. Detta strider mot teorins förutsättningar om att uppnå en, Background: The importance of the investment appraisal cannot be overemphasized as a result of its long-term benefits to the company's validity and operational functionality. Calculation methods used for investment assessment assist with the necessary knowledge to facilitate decision-making, as well as to create a clearer picture of the proposed investment project. Companies invest to maintain their financial goals and the valuation of different investment alternatives thus plays a central role for the company's financial survival and development. Capital investments are often extensive and expected to generate value over the long term, shaping the company's financial focus areas. This highlights the importance of a qualitative assessment for different investment options and their respective development opportunities. Purpose: By examining the area of use for the discount rate, the study intends to increase knowledge of the connection between the discount rate determination and the investment assessment. This as a partial aim to investigate which methods some Swedish industrial and real estate companies use. The study also intends to describe and analyze the companies' investment calculation and capital structure Method: The study has adopted a qualitative research approach with semi-structured interviews with Swedish industrial and property companies. The respondents were selected through a targeted selection and the method further describes the collection of the empirical material. In order to answer the study's problem formulation, the empirical material has been analyzed with the theoretical frame of reference. Conclusion: The results of the study show clear differences in relation to the classic capital theory and that long-term strategic investments to a certain extent tend to encroach on investments that can generate a higher internal rate of return and thus be more financially profitable, but which are of less strategic importance for the company. This goes

The financial crisis of 2007-2008 highlighted the societal impacts of bank risk-taking. A strong focus on maximizing profits for shareholders combined with a disregard for, and underestimation of risks led to the downfall of large banks such as Lehman Brothers and multiple other banks getting bailed out by several governments and other banks. The financial crisis spread and impacted all major financial markets across the globe, which highlights the importance of investigating the banking sector from a global perspective. In addition, the influences of corporate social responsibility (CSR) on financial performance and risk have been a growing topic in research as well as in practice. Most banks today invest large amounts of money in CSR activities. The question of how bank spending in CSR activities impacts market risk is important. There are two contradicting views on CSR activities and market risk. The risk mitigation view suggests that banks that focus on stakeholder satisfaction have lower risk due to increased moral capital with stakeholders. The overinvestment view suggests that managers waste scarce resources by overinvesting in CSR activities to further selfish goals and therefore increase risk. This study examines the relationship between sustainability performance (ESG Combined score) and market risk (VaR/CVaR) using a deductive approach. The authors sample 159 banks from 39 countries and all 7 economic regions from 2011-2022. Data is used for testing hypotheses. Results find high ESG Combined Scores are associated with lower VaR/CVaR and results are robust to modifications in VaR/CVaR calculation assumptions. Disaggregation of ESG pillars shows that social pillar scores decrease VaR/CVaR in banks while environmental and governance pillars are insignificant. Results primarily lend support to the risk mitigation view and stakeholder theory stating that firms should focus more on stakeholder satisfaction than maximizing shareholder value. Complementing theor

With a background in EU regulations and an increased interest in Environmental, Social, and Governence (ESG) policies in companies when investing, this thesis considers the individual contributions to market risk in portfolios by different ESG parameters. It explores two different methods to examine if there are effects consistent across the whole Nordic markets, and the possibility to express any effects within portfolios in a clear way. It uses the OMXNORDIC index as the market index and two different fund portfolios as example portfolios, one of which is an article 9 fund. The quantile regression approach does not show any consistent effects across the whole Nordic market from any ESG parameter explored. It does however make for a clear way to present the effects on the portfolio level for each ESG parameter. The employed Copula approach does show some consistent difference between the ESG parameters for the market and in portfolios, as well as differences between the portfolios. Both of the explored methods should allow for comparisons between, and reports on, fund portfolios which would improve the ESG analyses of funds., Mot bakgrund av EU-lagstiftning och ett ökat intresse i företags förhållning till Environmental, Social, och Governence (ESG) frågor, så utforskar den här uppsatsen ESG-faktorers bidrag till marknadsrisk i fondportföljer och på den nordiska marknaden. Uppsatsen använder två olika metoder för att undersöka om det finns potentiella konsekventa effekter på den Nordiska aktiemarknaden, och möjligheten att presentera resultat på portföljnivå på ett tydligt sätt. OMXNORDIC används som marknadsindex, och två olika fondportföljer används som exempelportföljer, varav en är en artikel 9 fondportfölj. Quantile regression-metoden visar inte på några konsekventa effekter över hela den nordiska marknaden, för någon av ESG-parametrarna. Däremot så resulterar metoden i ett tydligt sätt att presentera påverkan av ESG-parametrarna på portföljnivå. Copula-metoden som används visar på några konsekventa skillnader mellan ESG-parametrar, både för marknaden och i fondportföljerna, samt skillnader mellan portföljerna i sig. Båda metoderna lämpar sig till att jämföra och bygga rapporter på fondportföljer, vilket borde leda till bättre ESG-analyser av fonder.

Corporate governance practices of fintech companies have caused to increase in risk or caused to decrease in the risks. This study is mainly focused to identify the impact of corporate governance mechanisms, especially board structure and ownership structure, on the market-based risk of fintech companies. We have employed several corporate governance mechanisms such as, board size, board independence, board expertise on fintech, CEO duality, risk committee functioning, institutional ownership, and managerial ownership of the fintech companies. Total risk, systematic risk, market risk,and insolvency risk are employed as our dependent variables to examine this phenomenon. We have selected 46 listed fintech companies that are listed in any stock market of the world. Data is collected through 2012-2022 period. We have conducted our analysis using 369 unbalanced panel datasets. Our purpose was to emphasize the importance of better corporate governance mechanisms to risk management in fintech companies. From the management point of view, investors’ point of view, or directors’ point of view, what changes should do to better risk management of the company and also their personal benefit? In the recent past, two bluechip fintech companies have bankrupt due to corporate governance mispractices and risk management issues. Our results show that, corporate governance is one of the key factors in determining risk of the fintech companies. We have identified that the best practices caused to decrease risk while mispractices caused to increase risk.

The objective of this research is to analyze the market risks encountered by transportation sector companies listed in emerging Asian market countries, as well as the correlation of risks among these companies. Additionally, the study aims to provide a forecasting simulation for the stock prices over the next 100 days. Historical data on daily stock price changes prior to and following the Covid-19 pandemic are utilized. The research methodology employs a normal GARCH model to assess stock volatility, while market risk is determined using the expected shortfall (ES) approach. The Pearson method is employed to calculate the correlation of risks between companies. The forecasting simulation is conducted using the GARCH(1,1) approach for specification and fitting. The findings of this study reveal that transportation sector issuers have exhibited varied responses to the Covid-19 pandemic based on their specific sub-sectors. The correlation between issuers generally demonstrates low values; however, the stock markets of China and Taiwan display a strong positive correlation within the same sub-sector. Future stock price movements over the next 100 days are anticipated to align with the trend observed during the latter part of 2022.

Machine learning is a rapidly growing field within artificial intelligence that an increasing number of individuals and corporations are beginning to utilize. In recent times, the financial sector has also started to recognize the potential of these techniques and methods. Nasdaq Clearing is responsible for managing the clearing business for the clearinghouse's members, and the objective of this thesis has been to explore the possibilities of using machine learning to replicate a subpart of the SPAN model's margin call calculations, known as initial margin, in the commodities market. The purpose of replicating SPAN's initial margin calculations is to open up for possibilities to create transparency and understanding in how the input variables affect the output. In the long run, we hope to broaden the insights on how one can use machine learning within the margin call processes. Various machine learning algorithms, primarily focused on regression tasks but also a few classification ones, have been employed to replicate the initial margin size. The primary objective of the methodology was to determine the algorithm that demonstrated the best performance in obtaining values that were as close as possible to the actual initial margin values. The findings revealed that a model composed of a combination of classification and regression, with non-parametric algorithms such as Random Forest and KNN, performed the best in both cases. Our conclusion is that the developed model possesses the ability to effectively compute the size of the initial margin and thus accomplishes its objective., Maskininlärning är ett snabbt växande område inom artificiell intelligens som allt fler individer och företag börjar använda. Finanssektorn har nu också börjat undersöka hur dessa tekniker och metoder kan skapa värde. Nasdaq Clearing hanterar clearingverksamheten för clearinghusets medlemmar och syftet med denna uppsats har varit att undersöka möjligheterna att använda maskininlärning för att replikera en del av SPAN-modellens beräkningar av marginkravet som kallas Initial Marginal. Syftet med att replikera SPANs initiala marginberäkningar är att öppna upp för möjligheter att skapa transparens och förståelse för hur inputvariablernapåverkar outputen. På sikt hoppas vi kunna bredda insikterna hur maskininlärningslösningar skulle kunna användas inom "Margin Call"- processen. De metoder som användes för att replikera storleken på Initial Margin var olika maskininlärningsalgoritmer, främst fokuserade på regressionsuppgifter men några klassificeringsalgoritmer användes också. Fokus i metoden var att hitta vilken algoritm som presterade bäst, det vill säga den algoritm som predikterade närmst de faktiska värdena för Initial Margin. Resultatet visade sig vara en modell som kombinerade klassificering och regression, där icke-parametriska algoritmer såsom Random Forest och KNN var de som presterade bäst i båda fallen. Vår slutsats är att den utvecklade modellen har en god förmåga att beräkna storleken på Initial Margin och därmed uppfyller den sitt syfte.

Las metodologías para el cálculo del riesgo de mercado han sido aplicadas principalmente a economías de países desarrollados. En este trabajo de investigación se propone utilizar el CAPM para determinar el riesgo de mercado y rendimiento mínimo esperado de las empresas del sector corporativo de Ecuador para el periodo 2009-2019. En promedio se analizaron 48 667 empresas, con base en la información obtenida de la Superintendencia de Compañías, Valores y Seguros (SCVS). Los sectores que fueron analizados de acuerdo con la Clasificación Industrial Internacional Uniforme (CIIU). En los cálculos se utilizó un Beta contable, considerando el incipiente desarrollo de la bolsa de valores del país; se realizó una estimación por mínimos cuadrados ordinarios y se propuso un ROE ajustado. Además, se calculó el rendimiento mínimo esperadodel sector por medio del CAPM. Entre los principales hallazgos se destaca que los sectores B, C, G, H, J, M, y N tienen un Beta mayor a 1, es decir,estos sectores son más sensibles ante una variación en el mercado. También es importante mencionar que los sectores P, G, C, E, J y Q tienen undesempeño mejor al esperado. La información proporcionada sirve como apoyo para las organizaciones u otros grupos de interés, considerando elalto nivel de incertidumbre en el mercado., the methodologies for calculating market risk have been mainly applied to economies in developed countries. In this research work, it is proposed to use the CAPM to determine the market risk and minimum expected return of companies in the corporate sector of Ecuador in the period 2009-2019. An average of 48,667 companies were analyzed, based on information obtained from the Superintendence of Companies, Securities and Insurance (SCSI). The sectors were analyzed according to the International Standard Industrial Classification (ISIC). An accounting Beta was used in the calculations considering the incipient development of the country’s stock market; an estimation was made through ordinary least squares and an adjusted ROE was proposed. In addition, the minimum expected return of the sector was calculated through the CAPM. Among the main findings of this work, it is highlighted that sectors B, C, G, H, J, M and N had a Beta greater than 1, i.e., these sectors are more sensitive to a change in the market. It is also important to mention that sectors P, G, C, E, J and Q perform better than expected. The informationprovided constitutes a support for organizations or other interest groups, considering the high level of uncertainty existing in the market.

The financial crisis of 2007-2008 highlighted the societal impacts of bank risk-taking. A strong focus on maximizing profits for shareholders combined with a disregard for, and underestimation of risks led to the downfall of large banks such as Lehman Brothers and multiple other banks getting bailed out by several governments and other banks. The financial crisis spread and impacted all major financial markets across the globe, which highlights the importance of investigating the banking sector from a global perspective. In addition, the influences of corporate social responsibility (CSR) on financial performance and risk have been a growing topic in research as well as in practice. Most banks today invest large amounts of money in CSR activities. The question of how bank spending in CSR activities impacts market risk is important. There are two contradicting views on CSR activities and market risk. The risk mitigation view suggests that banks that focus on stakeholder satisfaction have lower risk due to increased moral capital with stakeholders. The overinvestment view suggests that managers waste scarce resources by overinvesting in CSR activities to further selfish goals and therefore increase risk. This study examines the relationship between sustainability performance (ESG Combined score) and market risk (VaR/CVaR) using a deductive approach. The authors sample 159 banks from 39 countries and all 7 economic regions from 2011-2022. Data is used for testing hypotheses. Results find high ESG Combined Scores are associated with lower VaR/CVaR and results are robust to modifications in VaR/CVaR calculation assumptions. Disaggregation of ESG pillars shows that social pillar scores decrease VaR/CVaR in banks while environmental and governance pillars are insignificant. Results primarily lend support to the risk mitigation view and stakeholder theory stating that firms should focus more on stakeholder satisfaction than maximizing shareholder value. Complementing theor

Bakgrund: Betydelsen av investeringsbedömningen kan inte överbetonas till följd av dess långsiktiga fördelar för företagets giltighet och operativa funktionalitet. Beräkningsmetoder som används för investeringsbedömning bistår med nödvändig kunskap för att underlätta beslutsfattande samt för att skapa sig en tydligare bild över det föreslagna investeringsprojektet. Företag investerar för att upprätthålla sina ekonomiska mål och värderingen av olika investeringsalternativ spelar således en central roll för företagets ekonomiska fortlevnad och utveckling. Kapitalinvesteringar är ofta omfattande och förväntas generera värde på lång sikt, vilket formar företagets ekonomiska fokusområden. Detta belyser viktigheten av en kvalitativ bedömning för olika investeringsalternativ och deras respektive utvecklingsmöjligheter. Syfte: Genom att undersöka användningsområdet för kalkylräntan avser studien att öka kunskapen för sambandet mellan kalkylräntebestämningen och investeringsbedömningen. Detta som ett delsyfte till att undersöka vilka metoder som några svenska industri- och fastighetsföretag använder. Studien avser även vidare att beskriva och analysera företagens investeringskalkylering och kapitalstruktur. Metod: Studien har antagit en kvalitativ forskningsansats med semistrukturerade intervjuer med svenska industri- och fastighetsbolag. Respondenterna valdes ut genom ett målstyrt urval och vidare beskriver metoden hur insamling av det empiriska materialet har gått till. För att besvara studiens problemformulering har det empiriska materialet analyserats med den teoretiska referensramen. Slutsats: Studiens resultat visar tydliga skillnader i relation till den klassiska kapitalteorin och att långsiktiga strategiska investeringar i viss utsträckning tenderar att inkräkta på investeringar som kan generera en högre internränta och således vara mer ekonomiskt lönsam, men som är av mindre strategisk betydelse för bolaget. Detta strider mot teorins förutsättningar om att uppnå en, Background: The importance of the investment appraisal cannot be overemphasized as a result of its long-term benefits to the company's validity and operational functionality. Calculation methods used for investment assessment assist with the necessary knowledge to facilitate decision-making, as well as to create a clearer picture of the proposed investment project. Companies invest to maintain their financial goals and the valuation of different investment alternatives thus plays a central role for the company's financial survival and development. Capital investments are often extensive and expected to generate value over the long term, shaping the company's financial focus areas. This highlights the importance of a qualitative assessment for different investment options and their respective development opportunities. Purpose: By examining the area of use for the discount rate, the study intends to increase knowledge of the connection between the discount rate determination and the investment assessment. This as a partial aim to investigate which methods some Swedish industrial and real estate companies use. The study also intends to describe and analyze the companies' investment calculation and capital structure Method: The study has adopted a qualitative research approach with semi-structured interviews with Swedish industrial and property companies. The respondents were selected through a targeted selection and the method further describes the collection of the empirical material. In order to answer the study's problem formulation, the empirical material has been analyzed with the theoretical frame of reference. Conclusion: The results of the study show clear differences in relation to the classic capital theory and that long-term strategic investments to a certain extent tend to encroach on investments that can generate a higher internal rate of return and thus be more financially profitable, but which are of less strategic importance for the company. This goes

With a background in EU regulations and an increased interest in Environmental, Social, and Governence (ESG) policies in companies when investing, this thesis considers the individual contributions to market risk in portfolios by different ESG parameters. It explores two different methods to examine if there are effects consistent across the whole Nordic markets, and the possibility to express any effects within portfolios in a clear way. It uses the OMXNORDIC index as the market index and two different fund portfolios as example portfolios, one of which is an article 9 fund. The quantile regression approach does not show any consistent effects across the whole Nordic market from any ESG parameter explored. It does however make for a clear way to present the effects on the portfolio level for each ESG parameter. The employed Copula approach does show some consistent difference between the ESG parameters for the market and in portfolios, as well as differences between the portfolios. Both of the explored methods should allow for comparisons between, and reports on, fund portfolios which would improve the ESG analyses of funds., Mot bakgrund av EU-lagstiftning och ett ökat intresse i företags förhållning till Environmental, Social, och Governence (ESG) frågor, så utforskar den här uppsatsen ESG-faktorers bidrag till marknadsrisk i fondportföljer och på den nordiska marknaden. Uppsatsen använder två olika metoder för att undersöka om det finns potentiella konsekventa effekter på den Nordiska aktiemarknaden, och möjligheten att presentera resultat på portföljnivå på ett tydligt sätt. OMXNORDIC används som marknadsindex, och två olika fondportföljer används som exempelportföljer, varav en är en artikel 9 fondportfölj. Quantile regression-metoden visar inte på några konsekventa effekter över hela den nordiska marknaden, för någon av ESG-parametrarna. Däremot så resulterar metoden i ett tydligt sätt att presentera påverkan av ESG-parametrarna på portföljnivå. Copula-metoden som används visar på några konsekventa skillnader mellan ESG-parametrar, både för marknaden och i fondportföljerna, samt skillnader mellan portföljerna i sig. Båda metoderna lämpar sig till att jämföra och bygga rapporter på fondportföljer, vilket borde leda till bättre ESG-analyser av fonder.

The objective of this research is to analyze the market risks encountered by transportation sector companies listed in emerging Asian market countries, as well as the correlation of risks among these companies. Additionally, the study aims to provide a forecasting simulation for the stock prices over the next 100 days. Historical data on daily stock price changes prior to and following the Covid-19 pandemic are utilized. The research methodology employs a normal GARCH model to assess stock volatility, while market risk is determined using the expected shortfall (ES) approach. The Pearson method is employed to calculate the correlation of risks between companies. The forecasting simulation is conducted using the GARCH(1,1) approach for specification and fitting. The findings of this study reveal that transportation sector issuers have exhibited varied responses to the Covid-19 pandemic based on their specific sub-sectors. The correlation between issuers generally demonstrates low values; however, the stock markets of China and Taiwan display a strong positive correlation within the same sub-sector. Future stock price movements over the next 100 days are anticipated to align with the trend observed during the latter part of 2022.

Machine learning is a rapidly growing field within artificial intelligence that an increasing number of individuals and corporations are beginning to utilize. In recent times, the financial sector has also started to recognize the potential of these techniques and methods. Nasdaq Clearing is responsible for managing the clearing business for the clearinghouse's members, and the objective of this thesis has been to explore the possibilities of using machine learning to replicate a subpart of the SPAN model's margin call calculations, known as initial margin, in the commodities market. The purpose of replicating SPAN's initial margin calculations is to open up for possibilities to create transparency and understanding in how the input variables affect the output. In the long run, we hope to broaden the insights on how one can use machine learning within the margin call processes. Various machine learning algorithms, primarily focused on regression tasks but also a few classification ones, have been employed to replicate the initial margin size. The primary objective of the methodology was to determine the algorithm that demonstrated the best performance in obtaining values that were as close as possible to the actual initial margin values. The findings revealed that a model composed of a combination of classification and regression, with non-parametric algorithms such as Random Forest and KNN, performed the best in both cases. Our conclusion is that the developed model possesses the ability to effectively compute the size of the initial margin and thus accomplishes its objective., Maskininlärning är ett snabbt växande område inom artificiell intelligens som allt fler individer och företag börjar använda. Finanssektorn har nu också börjat undersöka hur dessa tekniker och metoder kan skapa värde. Nasdaq Clearing hanterar clearingverksamheten för clearinghusets medlemmar och syftet med denna uppsats har varit att undersöka möjligheterna att använda maskininlärning för att replikera en del av SPAN-modellens beräkningar av marginkravet som kallas Initial Marginal. Syftet med att replikera SPANs initiala marginberäkningar är att öppna upp för möjligheter att skapa transparens och förståelse för hur inputvariablernapåverkar outputen. På sikt hoppas vi kunna bredda insikterna hur maskininlärningslösningar skulle kunna användas inom "Margin Call"- processen. De metoder som användes för att replikera storleken på Initial Margin var olika maskininlärningsalgoritmer, främst fokuserade på regressionsuppgifter men några klassificeringsalgoritmer användes också. Fokus i metoden var att hitta vilken algoritm som presterade bäst, det vill säga den algoritm som predikterade närmst de faktiska värdena för Initial Margin. Resultatet visade sig vara en modell som kombinerade klassificering och regression, där icke-parametriska algoritmer såsom Random Forest och KNN var de som presterade bäst i båda fallen. Vår slutsats är att den utvecklade modellen har en god förmåga att beräkna storleken på Initial Margin och därmed uppfyller den sitt syfte.

Corporate governance practices of fintech companies have caused to increase in risk or caused to decrease in the risks. This study is mainly focused to identify the impact of corporate governance mechanisms, especially board structure and ownership structure, on the market-based risk of fintech companies. We have employed several corporate governance mechanisms such as, board size, board independence, board expertise on fintech, CEO duality, risk committee functioning, institutional ownership, and managerial ownership of the fintech companies. Total risk, systematic risk, market risk,and insolvency risk are employed as our dependent variables to examine this phenomenon. We have selected 46 listed fintech companies that are listed in any stock market of the world. Data is collected through 2012-2022 period. We have conducted our analysis using 369 unbalanced panel datasets. Our purpose was to emphasize the importance of better corporate governance mechanisms to risk management in fintech companies. From the management point of view, investors’ point of view, or directors’ point of view, what changes should do to better risk management of the company and also their personal benefit? In the recent past, two bluechip fintech companies have bankrupt due to corporate governance mispractices and risk management issues. Our results show that, corporate governance is one of the key factors in determining risk of the fintech companies. We have identified that the best practices caused to decrease risk while mispractices caused to increase risk.

We investigate various methods for generating a market-based proxy for climate related transition risk in financial markets, and use these to determine the sensitivities of various investments towards climate change policies. We find that assets tied to the energy and materials sector have consistently high sensitivity towards market factors which are likely to decline in response to climate regulations, and as such consequently face mark-to-market losses conditional on systemic climate events. For beta estimation we use both traditional linear regression and the dynamic conditional beta model developed by Engle, based on multivariate GARCH volatility models. We find suggestive evidence that our stylised climate factors, based on stranded assets, responds negatively to news of policies related to a move towards renewable energies., Vi undersöker olika metoder för att skapa en marknadsbaserad proxy för klimatrisk inom finansmarknaden, och använder dessa för att bestämma känsligheter för olika investeringar mot klimatrelaterade händelser. Vi finner att tillgångar med koppling mot sektorer såsom energi eller material har konsekvent hög känslighet mot marknadsfaktorer som sannolikt kommer minska som svar till klimatbestämmelser, och således också tappa marknadsvärde vid en systemisk klimathändelse. Vi uppskattar ett klimatbeta genom både linjär regression, och Engles dynamic conditional beta modell baserad på en GARCH process i flera variabler. Vi finner suggestiva bevis för att våra klimatfaktorer, baserade på strandade tillgångar, svarar negativt till nyheter som hanterar omställningen till förnybar energi.

PurposeBiotech companies stand as key actors in pharmaceutical innovation. The high risk and long timelines inherent with their R&D investments might hinder their access to funding, potentially stifling innovation. This study aims to explore into the appeal of biotech companies to capital market investors, whose financial backing could bolster the growth of the biotechnology sector.Design/methodology/approachThis paper uses a dataset of 774 US publicly listed biotech firms to investigate their risk and return characteristics by comparing them to pharmaceutical firms and a sample of matched non-biotech R&D-intensive firms over the sample period 1980-2021. Tests show that the conclusions remain consistent across diverse methodological approaches.FindingsThe paper shows that biotech companies are riskier than the average firm in the market index but outperform on a risk-adjusted basis both the market and a matched group of R&D-intensive firms. This is particularly true for large capitalization biotech, which is also shown to provide a diversification benefit by reducing the downside risk in past crisis periods.Originality/valueThis paper provides insight relevant to the current debate about the overall performance of the biotech industry in terms of policy changes and their impact on small, early-stage biotech firms. While small and early-stage biotech firms are playing an increasing role in scientific innovation, this study confirms their greater vulnerability to financial risks and the importance of access to capital markets in enabling those companies to survive and evolve into larger biotech.

The recent capital market shock events have drawn increased regulatory attention to the procyclical nature of the forthcoming Basel market risk regime, the Fundamental Review of Trading Book (FRTB). The overall objective of this research is to evaluate whether the quantitative improvements made in FRTB can mitigate the Basel market risk capital framework’s impact on business cycles. The research found no strong evidence that FRTB would reduce the overall procyclicality of the framework. This study also confirmed that banks can reduce their market risk charge via their modelling choices without amplifying procyclicality in their capital requirements.

Risk and profitability are two interdependent aspects in business activity: a certain level of risk must be assumed to achieve greater profitability. The Capital Asset Pricing Model (CAPM) is one of the most widely used models in practice to determine the required return on an investment in a financial asset based on the risk assumed. There are various models and statistical tools that seek to predict financial risk. In the present research work, the market risk and expected minimum return in the chemical substance and product manufacturing sector (CIIU C20) were determined through accounting information. The data was obtained from the Superintendency, Securities and Insurance and corresponded to the period 2011-2020, and the results were analyzed in periods of 5 years, in order to know the variations that occur between the different periods. For the analysis of this sector 3.756 observations (376 companies per year on average) were considered in the period. In addition, a total of 513.895 observations were considered as a market. In the CAPM, the passive rate of the Central Bank of Ecuador was considered as the risk-free rate. In addition, for market performance, an adjusted ROE was calculated for all companies in the corporate sector in Ecuador. The unlevered and levered Beta coefficient obtained in the 5 periods analyzed is greater than 1, that is, it is considered a risky sector. The minimum expected yield of the sector fell from 12,15% in the 2011-2015 period to 4,98% in the 2016-2020 period. The results indicate that the results indicate that chemical substance and product manufacturing sector has a better performance than the market as a whole, since it has a higher performance than required. Considering the high level of uncertainty that currently exists, determining market risk is an important tool to support entrepreneurs and other stakeholders in making decisions., Riesgo y rentabilidad son dos aspectos interdependientes en la actividad empresarial: se debe asumir un cierto nivel de riesgo para lograr una mayor rentabilidad. El modelo de valoración de activos de capital (CAPM) es uno de los modelos más utilizados en la práctica para determinar la rentabilidad exigida en una inversión en un activo financiero en función del riesgo asumido. Existen diversos modelos y herramientas estadísticas que buscan predecir el riesgo financiero. En el presente trabajo de investigación se determinó, a través de información contable, el riesgo de mercado y rendimiento mínimo esperado en el sector de fabricación de substancias y productos químicos (CIIU C20). La data fue obtenida de la Superintendencia, Valores y Seguros y correspondió al periodo 2011-2020, y se analizaron los resultados en periodos de 5 años, para de esta manera, conocer las variaciones que se presentan entre los distintos periodos. Para el análisis de este sector se consideraron 3.756 observaciones (376 empresas por año en promedio) en el periodo. Además, se consideraron como mercado un total de 513.895 observaciones. En el modelo CAPM se consideró como tasa libre de riesgo la tasa pasiva del Banco Central del Ecuador y como rendimiento de mercado un ROE ajustado del total de empresas del sector societario del Ecuador. El coeficiente Beta desapalancado y apalancado obtenido en los 5 periodos analizados es superior a 1, es decir, que se considera un sector riesgoso. El rendimiento mínimo esperado del sector se reduce de 12,15% en el periodo 2011-2015 a 4,98% en el periodo 2016-2020. Los resultados indican que el sector de fabricación de substancias y productos químicos tiene un mejor desempeño que el mercado en conjunto, ya que posee un rendimiento mayor al exigido. Si se considera el alto nivel de incertidumbre existente actualmente, determinar el riesgo de mercado es una herramienta

Risk and profitability are two interdependent aspects in business activity: a certain level of risk must be assumed to achieve greater profitability. The Capital Asset Pricing Model (CAPM) is one of the most widely used models in practice to determine the required return on an investment in a financial asset based on the risk assumed. There are various models and statistical tools that seek to predict financial risk. In the present research work, the market risk and expected minimum return in the chemical substance and product manufacturing sector (CIIU C20) were determined through accounting information. The data was obtained from the Superintendency, Securities and Insurance and corresponded to the period 2011-2020, and the results were analyzed in periods of 5 years, in order to know the variations that occur between the different periods. For the analysis of this sector 3.756 observations (376 companies per year on average) were considered in the period. In addition, a total of 513.895 observations were considered as a market. In the CAPM, the passive rate of the Central Bank of Ecuador was considered as the risk-free rate. In addition, for market performance, an adjusted ROE was calculated for all companies in the corporate sector in Ecuador. The unlevered and levered Beta coefficient obtained in the 5 periods analyzed is greater than 1, that is, it is considered a risky sector. The minimum expected yield of the sector fell from 12,15% in the 2011-2015 period to 4,98% in the 2016-2020 period. The results indicate that the results indicate that chemical substance and product manufacturing sector has a better performance than the market as a whole, since it has a higher performance than required. Considering the high level of uncertainty that currently exists, determining market risk is an important tool to support entrepreneurs and other stakeholders in making decisions., Riesgo y rentabilidad son dos aspectos interdependientes en la actividad empresarial: se debe asumir un cierto nivel de riesgo para lograr una mayor rentabilidad. El modelo de valoración de activos de capital (CAPM) es uno de los modelos más utilizados en la práctica para determinar la rentabilidad exigida en una inversión en un activo financiero en función del riesgo asumido. Existen diversos modelos y herramientas estadísticas que buscan predecir el riesgo financiero. En el presente trabajo de investigación se determinó, a través de información contable, el riesgo de mercado y rendimiento mínimo esperado en el sector de fabricación de substancias y productos químicos (CIIU C20). La data fue obtenida de la Superintendencia, Valores y Seguros y correspondió al periodo 2011-2020, y se analizaron los resultados en periodos de 5 años, para de esta manera, conocer las variaciones que se presentan entre los distintos periodos. Para el análisis de este sector se consideraron 3.756 observaciones (376 empresas por año en promedio) en el periodo. Además, se consideraron como mercado un total de 513.895 observaciones. En el modelo CAPM se consideró como tasa libre de riesgo la tasa pasiva del Banco Central del Ecuador y como rendimiento de mercado un ROE ajustado del total de empresas del sector societario del Ecuador. El coeficiente Beta desapalancado y apalancado obtenido en los 5 periodos analizados es superior a 1, es decir, que se considera un sector riesgoso. El rendimiento mínimo esperado del sector se reduce de 12,15% en el periodo 2011-2015 a 4,98% en el periodo 2016-2020. Los resultados indican que el sector de fabricación de substancias y productos químicos tiene un mejor desempeño que el mercado en conjunto, ya que posee un rendimiento mayor al exigido. Si se considera el alto nivel de incertidumbre existente actualmente, determinar el riesgo de mercado es una herramienta

Risk and profitability are two interdependent aspects in business activity: a certain level of risk must be assumed to achieve greater profitability. The Capital Asset Pricing Model (CAPM) is one of the most widely used models in practice to determine the required return on an investment in a financial asset based on the risk assumed. There are various models and statistical tools that seek to predict financial risk. In the present research work, the market risk and expected minimum return in the chemical substance and product manufacturing sector (CIIU C20) were determined through accounting information. The data was obtained from the Superintendency, Securities and Insurance and corresponded to the period 2011-2020, and the results were analyzed in periods of 5 years, in order to know the variations that occur between the different periods. For the analysis of this sector 3.756 observations (376 companies per year on average) were considered in the period. In addition, a total of 513.895 observations were considered as a market. In the CAPM, the passive rate of the Central Bank of Ecuador was considered as the risk-free rate. In addition, for market performance, an adjusted ROE was calculated for all companies in the corporate sector in Ecuador. The unlevered and levered Beta coefficient obtained in the 5 periods analyzed is greater than 1, that is, it is considered a risky sector. The minimum expected yield of the sector fell from 12,15% in the 2011-2015 period to 4,98% in the 2016-2020 period. The results indicate that the results indicate that chemical substance and product manufacturing sector has a better performance than the market as a whole, since it has a higher performance than required. Considering the high level of uncertainty that currently exists, determining market risk is an important tool to support entrepreneurs and other stakeholders in making decisions., Riesgo y rentabilidad son dos aspectos interdependientes en la actividad empresarial: se debe asumir un cierto nivel de riesgo para lograr una mayor rentabilidad. El modelo de valoración de activos de capital (CAPM) es uno de los modelos más utilizados en la práctica para determinar la rentabilidad exigida en una inversión en un activo financiero en función del riesgo asumido. Existen diversos modelos y herramientas estadísticas que buscan predecir el riesgo financiero. En el presente trabajo de investigación se determinó, a través de información contable, el riesgo de mercado y rendimiento mínimo esperado en el sector de fabricación de substancias y productos químicos (CIIU C20). La data fue obtenida de la Superintendencia, Valores y Seguros y correspondió al periodo 2011-2020, y se analizaron los resultados en periodos de 5 años, para de esta manera, conocer las variaciones que se presentan entre los distintos periodos. Para el análisis de este sector se consideraron 3.756 observaciones (376 empresas por año en promedio) en el periodo. Además, se consideraron como mercado un total de 513.895 observaciones. En el modelo CAPM se consideró como tasa libre de riesgo la tasa pasiva del Banco Central del Ecuador y como rendimiento de mercado un ROE ajustado del total de empresas del sector societario del Ecuador. El coeficiente Beta desapalancado y apalancado obtenido en los 5 periodos analizados es superior a 1, es decir, que se considera un sector riesgoso. El rendimiento mínimo esperado del sector se reduce de 12,15% en el periodo 2011-2015 a 4,98% en el periodo 2016-2020. Los resultados indican que el sector de fabricación de substancias y productos químicos tiene un mejor desempeño que el mercado en conjunto, ya que posee un rendimiento mayor al exigido. Si se considera el alto nivel de incertidumbre existente actualmente, determinar el riesgo de mercado es una herramienta

Risk and profitability are two interdependent aspects in business activity: a certain level of risk must be assumed to achieve greater profitability. The Capital Asset Pricing Model (CAPM) is one of the most widely used models in practice to determine the required return on an investment in a financial asset based on the risk assumed. There are various models and statistical tools that seek to predict financial risk. In the present research work, the market risk and expected minimum return in the chemical substance and product manufacturing sector (CIIU C20) were determined through accounting information. The data was obtained from the Superintendency, Securities and Insurance and corresponded to the period 2011-2020, and the results were analyzed in periods of 5 years, in order to know the variations that occur between the different periods. For the analysis of this sector 3.756 observations (376 companies per year on average) were considered in the period. In addition, a total of 513.895 observations were considered as a market. In the CAPM, the passive rate of the Central Bank of Ecuador was considered as the risk-free rate. In addition, for market performance, an adjusted ROE was calculated for all companies in the corporate sector in Ecuador. The unlevered and levered Beta coefficient obtained in the 5 periods analyzed is greater than 1, that is, it is considered a risky sector. The minimum expected yield of the sector fell from 12,15% in the 2011-2015 period to 4,98% in the 2016-2020 period. The results indicate that the results indicate that chemical substance and product manufacturing sector has a better performance than the market as a whole, since it has a higher performance than required. Considering the high level of uncertainty that currently exists, determining market risk is an important tool to support entrepreneurs and other stakeholders in making decisions.

El Valor en Riesgo (VaR) es una medida utilizada para calcular el límite de la posible pérdida de valor de un portafolio, con un nivel de confianza definido. Existen métodos tradicionales para calcularlo, como son Simulación Histórica y Varianza-Covarianza; sin embargo, ambos se apoyan del pasado para explicar el futuro, por lo que, ante eventos que ocurren por primera vez, su estimación del riesgo se ve limitada. En esta investigación se plantea una forma de preparar al mercado financiero para una próxima pandemia u otro evento de riesgo futuro. Se hace uso del método de Cópulas, siguiendo una distribución t-student, que proporciona una forma de definir la estructura de correlación entre dos o más variables, independientemente de las formas de sus distribuciones de probabilidad. Los resultados obtenidos demuestran que la estimación del VaR es más precisa y consistente, bajo el método de Cópulas que por los métodos tradicionales., Value at Risk (VaR) is a measure used to calculate the limit of the possible loss of value of a portfolio with a defined confidence level. There are traditional methods to calculate it such as Historical Simulation and Variance-Covariance; however, both rely on the past to explain the future, so in the face of events occurring for the first time, their risk estimate is limited. This research proposes a way to prepare the financial market for an upcoming pandemic or other future risk event. The Copulas method is used following a t-student distribution that provides a way to define the correlation structure between two or more variables, regardless of the shapes of their probability distributions. The results obtained show that the estimation of VaR is more accurate and consistent under the Copulas method than by traditional methods.

Este trabajo presenta la evaluación de diferentes opciones de inversión en empresas con dividendos crecientes como alternativa o complemento a la pensión, con el fin de evaluar la conveniencia de la estrategia para inversionistas que están en etapa de acumulación de capital para la jubilación, de acuerdo a los resultados obtenidos. Para esto se conformaron cinco portafolios con diferentes periodos de tiempo, integrados por empresas pertenecientes a diferentes sectores, con el objetivo de revisar la rentabilidad en términos de flujos de caja generados para el inversionista, y el retorno de la acción en el periodo de tiempo comprendido entre la hipotética conformación del portafolio y marzo del año 2021. Así mismo, se hizo el backtesting para este mismo periodo de tiempo y la evaluación del portafolio en el mercado, mediante la comparación con 3 instrumentos financieros, permitiendo plantear una estrategia que si bien es cierto tiene mayor riesgo, también genera mayor rentabilidad que las alternativas convencionales de renta fija, que debe ser tenida en cuenta como una buena opción de inversión para la etapa de pensión., This paper presents the evaluation of different investment options in companies with increasing dividends as an alternative or complement to the pension, in order to evaluate the suitability of the strategy for investors who are in the capital accumulation stage for retirement according to the results obtained. For this, were formed seven portfolios with different periods of time and different selection characteristics in order to review the profitability in terms of cash flows generated for the investor, as well as the return of the share in the period of time between the hypothetical conformation of the portfolio and March 2021, likewise a backtesting was carried out for this same period of time and an evaluation of the behavior of the portfolio in the market was carried out by comparing it with 3 financial instruments and based on this evaluation, a strategy is established that, although it is true, has greater risk, it also generates greater profitability than conventional fixed-income alternatives and that should be taken into account as a very good investment option for the pension stage.

Risk and profitability are two interdependent aspects in business activity: a certain level of risk must be assumed to achieve greater profitability. The Capital Asset Pricing Model (CAPM) is one of the most widely used models in practice to determine the required return on an investment in a financial asset based on the risk assumed. There are various models and statistical tools that seek to predict financial risk. In the present research work, the market risk and expected minimum return in the chemical substance and product manufacturing sector (CIIU C20) were determined through accounting information. The data was obtained from the Superintendency, Securities and Insurance and corresponded to the period 2011-2020, and the results were analyzed in periods of 5 years, in order to know the variations that occur between the different periods. For the analysis of this sector 3.756 observations (376 companies per year on average) were considered in the period. In addition, a total of 513.895 observations were considered as a market. In the CAPM, the passive rate of the Central Bank of Ecuador was considered as the risk-free rate. In addition, for market performance, an adjusted ROE was calculated for all companies in the corporate sector in Ecuador. The unlevered and levered Beta coefficient obtained in the 5 periods analyzed is greater than 1, that is, it is considered a risky sector. The minimum expected yield of the sector fell from 12,15% in the 2011-2015 period to 4,98% in the 2016-2020 period. The results indicate that the results indicate that chemical substance and product manufacturing sector has a better performance than the market as a whole, since it has a higher performance than required. Considering the high level of uncertainty that currently exists, determining market risk is an important tool to support entrepreneurs and other stakeholders in making decisions., Riesgo y rentabilidad son dos aspectos interdependientes en la actividad empresarial: se debe asumir un cierto nivel de riesgo para lograr una mayor rentabilidad. El modelo de valoración de activos de capital (CAPM) es uno de los modelos más utilizados en la práctica para determinar la rentabilidad exigida en una inversión en un activo financiero en función del riesgo asumido. Existen diversos modelos y herramientas estadísticas que buscan predecir el riesgo financiero. En el presente trabajo de investigación se determinó, a través de información contable, el riesgo de mercado y rendimiento mínimo esperado en el sector de fabricación de substancias y productos químicos (CIIU C20). La data fue obtenida de la Superintendencia, Valores y Seguros y correspondió al periodo 2011-2020, y se analizaron los resultados en periodos de 5 años, para de esta manera, conocer las variaciones que se presentan entre los distintos periodos. Para el análisis de este sector se consideraron 3.756 observaciones (376 empresas por año en promedio) en el periodo. Además, se consideraron como mercado un total de 513.895 observaciones. En el modelo CAPM se consideró como tasa libre de riesgo la tasa pasiva del Banco Central del Ecuador y como rendimiento de mercado un ROE ajustado del total de empresas del sector societario del Ecuador. El coeficiente Beta desapalancado y apalancado obtenido en los 5 periodos analizados es superior a 1, es decir, que se considera un sector riesgoso. El rendimiento mínimo esperado del sector se reduce de 12,15% en el periodo 2011-2015 a 4,98% en el periodo 2016-2020. Los resultados indican que el sector de fabricación de substancias y productos químicos tiene un mejor desempeño que el mercado en conjunto, ya que posee un rendimiento mayor al exigido. Si se considera el alto nivel de incertidumbre existente actualmente, determinar el riesgo de mercado es una herramienta

Risk and profitability are two interdependent aspects in business activity: a certain level of risk must be assumed to achieve greater profitability. The Capital Asset Pricing Model (CAPM) is one of the most widely used models in practice to determine the required return on an investment in a financial asset based on the risk assumed. There are various models and statistical tools that seek to predict financial risk. In the present research work, the market risk and expected minimum return in the chemical substance and product manufacturing sector (CIIU C20) were determined through accounting information. The data was obtained from the Superintendency, Securities and Insurance and corresponded to the period 2011-2020, and the results were analyzed in periods of 5 years, in order to know the variations that occur between the different periods. For the analysis of this sector 3.756 observations (376 companies per year on average) were considered in the period. In addition, a total of 513.895 observations were considered as a market. In the CAPM, the passive rate of the Central Bank of Ecuador was considered as the risk-free rate. In addition, for market performance, an adjusted ROE was calculated for all companies in the corporate sector in Ecuador. The unlevered and levered Beta coefficient obtained in the 5 periods analyzed is greater than 1, that is, it is considered a risky sector. The minimum expected yield of the sector fell from 12,15% in the 2011-2015 period to 4,98% in the 2016-2020 period. The results indicate that the results indicate that chemical substance and product manufacturing sector has a better performance than the market as a whole, since it has a higher performance than required. Considering the high level of uncertainty that currently exists, determining market risk is an important tool to support entrepreneurs and other stakeholders in making decisions., Riesgo y rentabilidad son dos aspectos interdependientes en la actividad empresarial: se debe asumir un cierto nivel de riesgo para lograr una mayor rentabilidad. El modelo de valoración de activos de capital (CAPM) es uno de los modelos más utilizados en la práctica para determinar la rentabilidad exigida en una inversión en un activo financiero en función del riesgo asumido. Existen diversos modelos y herramientas estadísticas que buscan predecir el riesgo financiero. En el presente trabajo de investigación se determinó, a través de información contable, el riesgo de mercado y rendimiento mínimo esperado en el sector de fabricación de substancias y productos químicos (CIIU C20). La data fue obtenida de la Superintendencia, Valores y Seguros y correspondió al periodo 2011-2020, y se analizaron los resultados en periodos de 5 años, para de esta manera, conocer las variaciones que se presentan entre los distintos periodos. Para el análisis de este sector se consideraron 3.756 observaciones (376 empresas por año en promedio) en el periodo. Además, se consideraron como mercado un total de 513.895 observaciones. En el modelo CAPM se consideró como tasa libre de riesgo la tasa pasiva del Banco Central del Ecuador y como rendimiento de mercado un ROE ajustado del total de empresas del sector societario del Ecuador. El coeficiente Beta desapalancado y apalancado obtenido en los 5 periodos analizados es superior a 1, es decir, que se considera un sector riesgoso. El rendimiento mínimo esperado del sector se reduce de 12,15% en el periodo 2011-2015 a 4,98% en el periodo 2016-2020. Los resultados indican que el sector de fabricación de substancias y productos químicos tiene un mejor desempeño que el mercado en conjunto, ya que posee un rendimiento mayor al exigido. Si se considera el alto nivel de incertidumbre existente actualmente, determinar el riesgo de mercado es una herramienta

Risk and profitability are two interdependent aspects in business activity: a certain level of risk must be assumed to achieve greater profitability. The Capital Asset Pricing Model (CAPM) is one of the most widely used models in practice to determine the required return on an investment in a financial asset based on the risk assumed. There are various models and statistical tools that seek to predict financial risk. In the present research work, the market risk and expected minimum return in the chemical substance and product manufacturing sector (CIIU C20) were determined through accounting information. The data was obtained from the Superintendency, Securities and Insurance and corresponded to the period 2011-2020, and the results were analyzed in periods of 5 years, in order to know the variations that occur between the different periods. For the analysis of this sector 3.756 observations (376 companies per year on average) were considered in the period. In addition, a total of 513.895 observations were considered as a market. In the CAPM, the passive rate of the Central Bank of Ecuador was considered as the risk-free rate. In addition, for market performance, an adjusted ROE was calculated for all companies in the corporate sector in Ecuador. The unlevered and levered Beta coefficient obtained in the 5 periods analyzed is greater than 1, that is, it is considered a risky sector. The minimum expected yield of the sector fell from 12,15% in the 2011-2015 period to 4,98% in the 2016-2020 period. The results indicate that the results indicate that chemical substance and product manufacturing sector has a better performance than the market as a whole, since it has a higher performance than required. Considering the high level of uncertainty that currently exists, determining market risk is an important tool to support entrepreneurs and other stakeholders in making decisions., Riesgo y rentabilidad son dos aspectos interdependientes en la actividad empresarial: se debe asumir un cierto nivel de riesgo para lograr una mayor rentabilidad. El modelo de valoración de activos de capital (CAPM) es uno de los modelos más utilizados en la práctica para determinar la rentabilidad exigida en una inversión en un activo financiero en función del riesgo asumido. Existen diversos modelos y herramientas estadísticas que buscan predecir el riesgo financiero. En el presente trabajo de investigación se determinó, a través de información contable, el riesgo de mercado y rendimiento mínimo esperado en el sector de fabricación de substancias y productos químicos (CIIU C20). La data fue obtenida de la Superintendencia, Valores y Seguros y correspondió al periodo 2011-2020, y se analizaron los resultados en periodos de 5 años, para de esta manera, conocer las variaciones que se presentan entre los distintos periodos. Para el análisis de este sector se consideraron 3.756 observaciones (376 empresas por año en promedio) en el periodo. Además, se consideraron como mercado un total de 513.895 observaciones. En el modelo CAPM se consideró como tasa libre de riesgo la tasa pasiva del Banco Central del Ecuador y como rendimiento de mercado un ROE ajustado del total de empresas del sector societario del Ecuador. El coeficiente Beta desapalancado y apalancado obtenido en los 5 periodos analizados es superior a 1, es decir, que se considera un sector riesgoso. El rendimiento mínimo esperado del sector se reduce de 12,15% en el periodo 2011-2015 a 4,98% en el periodo 2016-2020. Los resultados indican que el sector de fabricación de substancias y productos químicos tiene un mejor desempeño que el mercado en conjunto, ya que posee un rendimiento mayor al exigido. Si se considera el alto nivel de incertidumbre existente actualmente, determinar el riesgo de mercado es una herramienta

As part of a consistent journey to enhance the loss absorption capacity and resilience of the banks through increasing the capital and improving the quality thereof, Bangladesh Bank has given directions to banks to implement Basel III from January 01, 2015 in phases and fully by January 01, 2019.Basel III reforms are the response of Basel Committee on Banking Supervision (BCBS) to improve the banking sector’s ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy.The aim of this study is to find out market disclosure on risk based capital with comparison among stateowned banks, private banks & foreign banks from 2015-2017. Secondary data have been used to conduct the study. Thesedisclosures requirements should be more applicable and Bangladesh bank will also assist the commercial banks to follow the instructions more efficiently for smooth implementation of Basel III framework in the banking sector of Bangladesh. Keywords: , , , ,.

As part of a consistent journey to enhance the loss absorption capacity and resilience of the banks through increasing the capital and improving the quality thereof, Bangladesh Bank has given directions to banks to implement Basel III from January 01, 2015 in phases and fully by January 01, 2019.Basel III reforms are the response of Basel Committee on Banking Supervision (BCBS) to improve the banking sector’s ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy.The aim of this study is to find out market disclosure on risk based capital with comparison among stateowned banks, private banks & foreign banks from 2015-2017. Secondary data have been used to conduct the study. Thesedisclosures requirements should be more applicable and Bangladesh bank will also assist the commercial banks to follow the instructions more efficiently for smooth implementation of Basel III framework in the banking sector of Bangladesh. Keywords: , , , ,.

As part of a consistent journey to enhance the loss absorption capacity and resilience of the banks through increasing the capital and improving the quality thereof, Bangladesh Bank has given directions to banks to implement Basel III from January 01, 2015 in phases and fully by January 01, 2019.Basel III reforms are the response of Basel Committee on Banking Supervision (BCBS) to improve the banking sector’s ability to absorb shocks arising from financial and economic stress, whatever the source, thus reducing the risk of spillover from the financial sector to the real economy.The aim of this study is to find out market disclosure on risk based capital with comparison among stateowned banks, private banks & foreign banks from 2015-2017. Secondary data have been used to conduct the study. Thesedisclosures requirements should be more applicable and Bangladesh bank will also assist the commercial banks to follow the instructions more efficiently for smooth implementation of Basel III framework in the banking sector of Bangladesh. Keywords: , , , ,.

Предметом исследования является анализ рисков в исламском банковском деле. Определяются конкретные риски, присущие исламскому банкингу. В исламском банкинге важным принципом является разделение прибыли и убытков по операциям между, а также недопущение ростовщичества. Требуется более глубокое понимание и изучение темы оценки рисков и управления рисками в исламском банкинге. Оценка рисков рассматривается как часть общей процедуры управления рисками. Был использован количественный метод для определения величины риска для каждого компонента исламской банковской системы. Также предпринимается попытка представить общую основу для выявления рисков, оценки и управления рисками в исламском банкинге. Предлагается концептуальная модель управления рисками. Рассматривается размер риска, связанного с каждым из общих контрактов. Сделана попытка создать общую структуру для оценки рисков и управления ими в исламском банковском деле. Метод взвешивания рисков активов может быть наиболее подходящим решением для оценки контрактов в исламском банкинге. Природа рисков исламского банкинга, возникающих в результате использования исламских контрактов, отличается от традиционного банковского дела. Исламские банки несут двойные риски, так как отношения побудителя и проигравшего здесь не допустимы. Стороны совместно получают выгоду и несут ответственность за возможные убытки. Предлагается метод оценки рисков в исламском банкинге и решения по их предотвращению и минимизации. Оспаривается существующий способ оценки и управления рисками в исламском банкинге., The study focuses on the analysis of the Risks in Islamic Banking. I identify specific risks, which are inherent to the Islamic Banking. In Islamic banking, an important principle is the distribution of profits and losses on transactions, as well as the prevention of interest (or usury). The deeper understanding and study of the topic of risk assessment and risk management in Islamic banking is required. Risk assessment is considered as a part of the overall risk management procedure. I employed quantitative methodology to determine the magnitude of the risks for each of the component of the Islamic banking system. There is also an attempt to provide a general framework for risk identification, assessment and management in Islamic banking. A conceptual model for risk management is proposed. The amount of risk associated with each of the common contracts in this banking system is discussed. An attempt is made to include a general structure for risk assessment and management in Islamic banking. The method of weighing assets risk may be the most appropriate or perhaps the only standard solution for classifying the contracts used by an Islamic bank. The nature and type of risk in Islamic banking resulting from the use of Islamic contracts is different from the Conventional banking. Islamic banks have a double risk, because the winner-loser relationship is not acceptable. The parties are jointly share the benefits and are jointly reliable for potential losses. I propose the methods to assess the risks in Islamic Banking and solutions for the risks avoidance and minimization. I challenge the existing way of risk assessment and management in Islamic Banking.

Research background: Internationalisation of entrepreneurial activities provides an ample opportunity for the growth and sustainability of small and medium-sized enterprises (SMEs). When making their business activities international, SMEs are facing various obstacles. Investigating the key factors of internationalisation and their impact on SME decision making constitutes a key factor of the research work. Purpose of the article: The main purpose of the paper is to examine the impact of selected factors of SME internationalisation on the positive perception of the market risk. Higher export costs. differences in legal environment, taxes. and linguistic and cultural differences were set to be the significant factors influencing the positive perception of the market risk. Bearing the main purpose in mind, the Visegrad Four (V4-Czech Republic, Slovakia, Poland, Hungary) were examined. Methods: The questionnaire in mother tongue of each country in online and paper form was used. The questionnaire consists of 77 questions divided into several sections. Likert five-point scale was used to allow the respondents to express their opinion. In total. 1585 responses were completed. A regression analysis was used to verify the statistical significance of the independent variables and to quantify the causal relationships (determining the direction and strength of the effect) on the dependent variable. As the variables are of one metric, a linear regression model (I,RM) was selected to validate the hypothesis. Findings & value added: The internationalisation of SME activities brings along many risks and barriers that SMEs need to overcome if they want to enter international markets. Many SMEs consider the barriers and restrictions to enter foreign markets to be severe. Therefore, they decide to do their business domestically. It was established in the research that only 30.2% of the respondents expanded their business activities internationally. The biggest impact on the positive

Research background: Internationalisation of entrepreneurial activities provides an ample opportunity for the growth and sustainability of small and medium-sized enterprises (SMEs). When making their business activities international, SMEs are facing various obstacles. Investigating the key factors of internationalisation and their impact on SME decision making constitutes a key factor of the research work. Purpose of the article: The main purpose of the paper is to examine the impact of selected factors of SME internationalisation on the positive perception of the market risk. Higher export costs. differences in legal environment, taxes. and linguistic and cultural differences were set to be the significant factors influencing the positive perception of the market risk. Bearing the main purpose in mind, the Visegrad Four (V4-Czech Republic, Slovakia, Poland, Hungary) were examined. Methods: The questionnaire in mother tongue of each country in online and paper form was used. The questionnaire consists of 77 questions divided into several sections. Likert five-point scale was used to allow the respondents to express their opinion. In total. 1585 responses were completed. A regression analysis was used to verify the statistical significance of the independent variables and to quantify the causal relationships (determining the direction and strength of the effect) on the dependent variable. As the variables are of one metric, a linear regression model (I,RM) was selected to validate the hypothesis. Findings & value added: The internationalisation of SME activities brings along many risks and barriers that SMEs need to overcome if they want to enter international markets. Many SMEs consider the barriers and restrictions to enter foreign markets to be severe. Therefore, they decide to do their business domestically. It was established in the research that only 30.2% of the respondents expanded their business activities internationally. The biggest impact on the positive

This paper highlights the empirical results of analyzing the correlation between accounting information and systematic risk. This association is analyzed among financial ratios and systematic risk by considering the financial statement of 39 companies listed on the Tehran Stock Exchange (TSE) for five years (2014-2018). Financial ratios have been categorized into four groups and to describe the special features, as representative of accounting information we selected: Return on Asset (ROA), Debt Ratio (Total Debt to Total Asset), Current Ratio (current assets to current debt), Asset Turnover (Net sales to Total assets), and Total Assets. The hypotheses were tested through simple and multiple linear regression and T-student test. The findings illustrate that there is no significant relationship between accounting information and market risk. This indicates that in the selected sample, historical accounting information does not fully reflect the price of stocks.

Об’єктом дослідження є нелінійні нестаціонарні процеси у фінансах, пов’язані з банківською сферою, які представлені відповідними статистичними даними стосовно їх розвитку. Метою даної роботи є підвищення адекватності математичних моделей фінансових ризиків і якості оцінок їх прогнозів за рахунок створення нових математичних моделей. Методами дослідження виступають теорія моделювання та прогнозування часових рядів, регресійний аналіз, статистичні методи аналізу фінансових ризиків. Предмет дослідження – ймовірнісно статистичні та методи інтелектуального аналізу даних для моделювання і прогнозування ризиків можливих фінансових втрат; множини критеріїв для аналізу адекватності моделей та оцінювання якості прогнозів можливих втрат В роботі наведений огляд основних підходів оцінювання фінансових ризиків в банківській сфері. Була розглянута та проаналізована методологія VaR для оцінки рівня фінансового ризику. Наведений огляд моделей, їх особливостей при описі динаміки волатильності (дисперсії) та прогнозування її в подальшому. Було проаналізовано результати моделювання та оцінювання для обґрунтуваного вибору найкращої моделі для оцінки ринкових ризиків., The object of research is nonlinear non-stationary processes in finance, related to the banking sector, which are represented by the relevant statistics on their development. The purpose of this work is to increase the adequacy of mathematical models of financial risks and the quality of estimates of their forecasts due creation of new mathematical models. As methods of research come forward design theory and prognostication of sentinel rows, regressive analysis, statistical methods to the analysis of financial risks. Article of research - probabilistic statistical and methods intellectual analysis of data for a design and prognostication of risks possible financial losses; great numbers of criteria are for the analysis of adequacy models and evaluation of quality of prognoses of possible losses. In-process the brought review over of basic approaches of evaluation of financial risks in a bank sphere. It was considered and the analysed methodology VaR for the estimation of level of financial risk. The brought review over of models, them features at description of dynamics of волатильності (dispersions) and prognostication of her in future. Results were analysed a design and evaluation are for the обгрунтуваного choice of the best model for the estimation of market.

In recent years, companies' actions towards factors of production have multiplied. The human dimension is increasingly present in decisions and companies feel socially responsible. The sustainability of companies necessarily requires limiting the negative environmental effects because of these production activities. Ethical finance in general, whether Islamic or not, is a growing demand on the part of consumers and states. The aim of this paper is to assess the risk of two ethically responsible indices such as S&P500 Shariah index and S&P500 Environment and Socially Responsible index. In this paper, we will conduct a comparative study of market risk on two ethically responsible indices: the Islamic Index of the Shariah (S&P500 Shariah index) and the S&P500 Environment and Socially Responsible index during the period from 30/09/2010 to 21/09/2018. The evolution of the market will be represented by the general index of the S&P500. To do this, we use different approaches to value at risk such as VaR parametric approach, VaR non-parametric approach and the Theory of Extreme Values approach. Our results show that, on the one hand, the S&P500 Environment and Socially Responsible index is less risky than the S&P500 Shariah index and the S&P500 index. On the other hand, the S&P500 Shariah index is at low risk when yields are extreme. We conclude that the S&P500 Environment and Socially Responsible index is less risky than the Shariah S&P500 Index when you consider that yields are moving under normal market conditions.

In recent years, companies' actions towards factors of production have multiplied. The human dimension is increasingly present in decisions and companies feel socially responsible. The sustainability of companies necessarily requires limiting the negative environmental effects because of these production activities. Ethical finance in general, whether Islamic or not, is a growing demand on the part of consumers and states. The aim of this paper is to assess the risk of two ethically responsible indices such as S&P500 Shariah index and S&P500 Environment and Socially Responsible index. In this paper, we will conduct a comparative study of market risk on two ethically responsible indices: the Islamic Index of the Shariah (S&P500 Shariah index) and the S&P500 Environment and Socially Responsible index during the period from 30/09/2010 to 21/09/2018. The evolution of the market will be represented by the general index of the S&P500. To do this, we use different approaches to value at risk such as VaR parametric approach, VaR non-parametric approach and the Theory of Extreme Values approach. Our results show that, on the one hand, the S&P500 Environment and Socially Responsible index is less risky than the S&P500 Shariah index and the S&P500 index. On the other hand, the S&P500 Shariah index is at low risk when yields are extreme. We conclude that the S&P500 Environment and Socially Responsible index is less risky than the Shariah S&P500 Index when you consider that yields are moving under normal market conditions.

In recent years, companies' actions towards factors of production have multiplied. The human dimension is increasingly present in decisions and companies feel socially responsible. The sustainability of companies necessarily requires limiting the negative environmental effects because of these production activities. Ethical finance in general, whether Islamic or not, is a growing demand on the part of consumers and states. The aim of this paper is to assess the risk of two ethically responsible indices such as S&P500 Shariah index and S&P500 Environment and Socially Responsible index. In this paper, we will conduct a comparative study of market risk on two ethically responsible indices: the Islamic Index of the Shariah (S&P500 Shariah index) and the S&P500 Environment and Socially Responsible index during the period from 30/09/2010 to 21/09/2018. The evolution of the market will be represented by the general index of the S&P500. To do this, we use different approaches to value at risk such as VaR parametric approach, VaR non-parametric approach and the Theory of Extreme Values approach. Our results show that, on the one hand, the S&P500 Environment and Socially Responsible index is less risky than the S&P500 Shariah index and the S&P500 index. On the other hand, the S&P500 Shariah index is at low risk when yields are extreme. We conclude that the S&P500 Environment and Socially Responsible index is less risky than the Shariah S&P500 Index when you consider that yields are moving under normal market conditions.

Study intent to identify the direct (indirect) risk factors that can influence the export of medical instruments from SMEs sector of Pakistan by using the time series monthly data sample for a period of fifteen years that is from FY 2003 to FY 2017. Empirically a strong long term relation between the export of medical instruments with operational risk, market risk, export refinance schemes and steel prices are proven by Johansen co-integration. Study also establishes a direct positive relation of operational risk and market risk with the export of medical instruments as a result of Vector Error Correction Model.

Market risk significantly affects the activities of small and medium-sized enterprises (SMEs). Its management determines the financial performance of the company and whether it will remain on the market This article aims to examine significant factors that determine the intensity of market risk. The authors present their empirical model of the dependence of the company’s perceived future on the intensity of market risk factors. Empirical research was carried out in the Visegrad4 countries. As part of this research, information from 1,585 small and medium-sized companies was obtained. The results of the study confirmed the existence of a primary relationship between the assessment of business risks of SMEs depending on macroeconomic development. Market risk is consistently significant for the development of SMEs in every stage of the economic cycle because its management means the constant financial performance of SMEs and their sustainability in the market. The situation in the SME segment is not dramatic, as about half of the entrepreneurs interviewed considered market risk as reasonable, and 2/3 of the entrepreneurs stated that they had a reasonable amount of sales. Competition in the business sector significantly motivates SMEs to improve their performance. An interesting and important finding is the fact that SMEs pay little attention to innovative ways to gain new markets and retain existing customers. The research confirmed that larger and older companies within the SME segment tend to be more able to manage the factors determining the intensity of market risk. © Vilnius University, 2002-2020.