Special Issue "Data Analysis for Risk Management – Economics, Finance and Business"

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: 30 November 2021.

Special Issue Editors

Prof. Dr. Krzysztof Jajuga
E-Mail Website
Guest Editor
Department of Financial Investments and Risk Management, Wroclaw University of Economics and Business, ul. Komandorska 118/120, 53-345 Wroclaw, Poland
Interests: multivariate data analysis; classification; econometrics; financial markets; risk management; machine learning
Prof. Dr. Józef Dziechciarz
E-Mail
Guest Editor
Department of Econometrics, Wroclaw University of Economics and Business, ul. Komandorska 118/120, 53-345 Wroclaw, Poland
Interests: econometrics; data analysis; marketing

Special Issue Information

Dear Colleagues,

We invite you to submit papers to be published in the Special Issue “Data Analysis for Risk Management – Economics, Finance and Business”. The main motivation for this volume is to provide recent results of the research in the area of data analysis to be applied in widely understood risk management.

We welcome papers which address two main directions that have been substantially explored in last decade. The first is methodological development, leading to new proposals in classical multivariate data analysis and in the machine learning area. The second is the development in new types of data (in addition to numerical data), with new added opportunities in risk management through the exploration of alternative data such as symbolic data, text data, and spatial data, among other examples.

This Special Issue will contain both methodological and empirical papers. We encourage sharing the results of research based not only on data from economics, finance, and business, but – given the multidisciplinary approach – also on data from related areas such as social or natural sciences, since they can have an impact on economics, finance, or business.

Such a mix of theory and applications will add value for both scholars and practitioners in the various disciplines of science.

Prof. Dr. Krzysztof Jajuga
Prof. Dr. Józef Dziechciarz
Guest Editors

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • multivariate data analysis
  • classification and clustering
  • machine learning methods
  • natural language processing
  • risk management
  • financial data
  • macro- and microeconomic data

Published Papers (4 papers)

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Research

Article
Risk Factors Affecting Bancassurance Development in Poland
Risks 2021, 9(7), 130; https://0-doi-org.brum.beds.ac.uk/10.3390/risks9070130 - 07 Jul 2021
Viewed by 779
Abstract
The aim of the article is to identify the risk factors affecting bancassurance development in Poland. The development is understood here as a change of gross written premiums obtained through banks in Poland. The group of risk factors selected in a survey conducted [...] Read more.
The aim of the article is to identify the risk factors affecting bancassurance development in Poland. The development is understood here as a change of gross written premiums obtained through banks in Poland. The group of risk factors selected in a survey conducted among financial sector employees was subject to statistical verification. The analysis used both variables directly related to the insurance product (e.g., a regulatory restriction of insurance acquisition costs) as well as those resulting from the specificity of the bancassurance channel, such as the sales of banking products, i.e., cash loans, housing loans and the value of funds placed by customers on deposits. The study was conducted on the basis of data on the gross premiums written in Poland in the years 2004–2019. The result of the applied model confirms the assumptions and the importance of insurance distribution in banks. Significant risk factors (statistically significant) which determine gross premiums written in the bancassurance channel are: the size of policyholder’s family (number of children, dependants) represented by the average number of people in a household in Poland, demand on mortgage loans represents by bank housing loans for households and agent’s commission, represented by the ratio of acquisition costs to gross written premium. The results of the econometric model obtained are consistent with expectations arising from the principles and practice of cooperation between banks and insurers as well as the specificity of insurance products distribution (also local) in the bancassurance channel. Full article
(This article belongs to the Special Issue Data Analysis for Risk Management – Economics, Finance and Business)
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Article
Systemic Illiquidity Noise-Based Measure—A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets
Risks 2021, 9(7), 124; https://0-doi-org.brum.beds.ac.uk/10.3390/risks9070124 - 01 Jul 2021
Viewed by 700
Abstract
The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson–Siegel–Svensson methodology in which we utilize [...] Read more.
The paper presents an alternative approach to measuring systemic illiquidity applicable to countries with frontier and emerging financial markets, where other existing methods are not applicable. We develop a novel Systemic Illiquidity Noise (SIN)-based measure, using the Nelson–Siegel–Svensson methodology in which we utilize the curve-fitting error as an indicator of financial system illiquidity. We empirically apply our method to a set of 10 divergent Central and Eastern Europe countries—Bulgaria, Croatia, Czechia, Estonia, Hungary, Latvia, Lithuania, Poland, Romania, and Slovakia—in the period of 2006–2020. The results show three periods of increased risk in the sample period: the global financial crisis, the European public debt crisis, and the COVID-19 pandemic. They also allow us to identify three divergent sets of countries with different systemic liquidity risk characteristics. The analysis also illustrates the impact of the introduction of the euro on systemic illiquidity risk. The proposed methodology may be of consequence for financial system regulators and macroprudential bodies: it allows for contemporaneous monitoring of discussed risk at a minimal cost using well-known models and easily accessible data. Full article
(This article belongs to the Special Issue Data Analysis for Risk Management – Economics, Finance and Business)
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Article
Risk Management and Financial Stability in the Polish Public Hospitals: The Moderating Effect of the Stakeholders’ Engagement in the Decision-Making
Risks 2021, 9(5), 87; https://0-doi-org.brum.beds.ac.uk/10.3390/risks9050087 - 06 May 2021
Viewed by 947
Abstract
Public healthcare organizations usually operate under significant financial strain and frequently strive for survival. Thus, in most cases, financial stability is a “holy grail” of public healthcare organizations in general and hospitals in particular. The financial stability itself is partly dependent upon the [...] Read more.
Public healthcare organizations usually operate under significant financial strain and frequently strive for survival. Thus, in most cases, financial stability is a “holy grail” of public healthcare organizations in general and hospitals in particular. The financial stability itself is partly dependent upon the ability to manage risk associated with hospital actions. In the paper, we seek to address the question related to the moderating role of stakeholders’ engagement in the relationship between risk management practices and a hospital’s financial stability. To answer this question, we designed and carried out empirical research on a sample of 103 out of 274 Polish public hospitals operating at the first-level (closest to the patient). Results show that risk management practices are positively related to financial stability. Hospitals with well-developed risk management practices are better prepared and find appropriate answers to threats, helping them attain financial stability. We also found that stakeholder engagement acts as a moderator of the relationship between risk management practices and financial stability. Research results indicate that with more sophisticated risk management practices, stakeholder engagement in decision-making leads to statistically lower financial stability. On the other hand, high levels of stakeholders’ engagement help when risk management practices are underdeveloped. Full article
(This article belongs to the Special Issue Data Analysis for Risk Management – Economics, Finance and Business)
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Article
Exchange Rate Volatility, Currency Misalignment, and Risk of Recession in the Central and Eastern European Countries
Risks 2021, 9(5), 82; https://0-doi-org.brum.beds.ac.uk/10.3390/risks9050082 - 01 May 2021
Viewed by 654
Abstract
This study is aimed at estimation of the exchange rate volatility and its impact on the business cycle fluctuations in four central and eastern European countries (the Czech Republic, Hungary, Poland, and Romania). Exchange rate volatility is estimated with the EGARCH(1,1) model. It [...] Read more.
This study is aimed at estimation of the exchange rate volatility and its impact on the business cycle fluctuations in four central and eastern European countries (the Czech Republic, Hungary, Poland, and Romania). Exchange rate volatility is estimated with the EGARCH(1,1) model. It is found that exchange rate volatility is affected by the components of the Index of Economic Freedom from the Heritage Foundation, besides inflation and crisis developments. The empirical results using GMM estimation technique and comprehensive robustness checks suggest that exchange rate volatility reduces the risk of recession in the Czech Republic while the opposite effect is found for Hungary and Romania, with a neutrality for Poland. These findings continue to hold after controlling for the fiscal and monetary policy indicators. There is evidence that the RER undervaluation prevents sliding into a recession on a credible basis in Poland only, with a neutral stance for other countries. Except in Romania, higher levels of economic freedom is associated with worsening of the cyclical position of output. Among other results, stabilization policies in the recession imply fiscal tightening for the Czech Republic and Romania, higher money supply for the Czech Republic and Poland, and lower central bank reference rate for Hungary. Full article
(This article belongs to the Special Issue Data Analysis for Risk Management – Economics, Finance and Business)
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