Special Issue "Risk Management Models with Applications to Economic, Social and Natural Environment Sustainability"

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

Deadline for manuscript submissions: 31 December 2021.

Special Issue Editor

Dr. Silvia Dedu
E-Mail Website
Guest Editor
Department of Applied Mathematics, Bucharest University of Economic Studies, 6 Romana Sq., District 1, 010734 Bucharest, Romania
Interests: statistics; risk theory; information theory; operations research; risk measures; entropy measures; actuarial science; financial mathematics

Special Issue Information

Dear Colleagues,

Many recent studies have revealed the crucial contribution of risk analysis to mitigating the influence of uncertain negative events and enhancing sustainability in various fields. The aim of the present Special Issue is to provide a framework for the discussion and design of new statistical models and optimization techniques for risk assessment, forecasting and control. Special attention will be paid to modelling and simulating the behavior and evolution of complex systems under uncertainty by using statistical models, information measures, risk measures, inequality measures, stochastic processes, as well as data analysis, big data, machine learning and other computational techniques. In addition, applications of modern quantitative models to risk management in economic, social and natural environments would be highly appreciated. We will include the following research directions: risk management in finance and insurance, risk mitigation to achieve economic convergence and sustainable development, risk of poverty, economic inequality, risk of social exclusion, food security risk, longevity risk and environmental risk.

Dr. Silvia Dedu
Guest Editor

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

  • risk models
  • risk measures
  • entropy measures
  • inequality measures
  • financial risk management
  • risk of poverty
  • risk of social exclusion
  • longevity risk
  • environmental risk

Published Papers (3 papers)

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Research

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Article
Investors’ Trading Activity and Information Asymmetry: Evidence from the Romanian Stock Market
Risks 2021, 9(8), 149; https://0-doi-org.brum.beds.ac.uk/10.3390/risks9080149 - 19 Aug 2021
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Abstract
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004–2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years period, as [...] Read more.
This paper examines the problem of information asymmetry between foreign, local, institutional and individual investors on the Bucharest Stock Exchange (BVB) for the period 2004–2011. Using monthly returns for individual companies listed on BVB, stock market indices during the seven years period, as well as aggregate data on foreign and domestic investors (both institutional and individual) sales and purchases on the Romanian stock market, this research intends to provide an answer to the following question: Are foreign investors better informed than the domestic ones and continually achieve higher rates of return on the Romanian stock market? We compare the information advantage of the different investors’ categories by separating the stock in our data sample into two categories, namely blue-chips stocks (mostly stocks that are part of the BET index, and also containing one international stock, Erste Bank), and “regular” stocks. Subsequently, we study the explanatory power for stock returns of potential impact factors, which reflect the monthly net position of four groups of investors on the Romanian Stock market (Purchases-Sales) by employing multivariate regression models and a five variable VAR system. Ultimately, we are interested in whether investors in one particular category are consistently net buyers just before stock returns increase and are net sellers before stock returns decrease, thus suggesting they have an information advantage as compared to the domestic ones. Our aim is to provide robust empirical evidence on the nature of investors’ information asymmetry by utilising a unique data set and directly assessing relevant inter-relationships. Full article
Article
Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach
Risks 2021, 9(5), 89; https://0-doi-org.brum.beds.ac.uk/10.3390/risks9050089 - 08 May 2021
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Abstract
The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The [...] Read more.
The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification of the randomness of PSX-100. The methodology includes two approaches: (i) the implementation of EGARCH, GJR-GARCH, and TGARCH models to estimate the volatilities; and (ii) analysis of randomness in volatilities series, return series, and PSX-100 closing prices for pre-pandemic and pandemic period by using Shannon’s, Tsallis, approximate and sample entropies. Volatility modeling suggests the existence of the leverage effect in both the underlying periods of study. The results obtained using GARCH modeling reveal that the stock market volatility has increased during the pandemic period. However, information-theoretic results based on Shannon and Tsallis entropies do not suggest notable variation in the estimated volatilities series and closing prices. We have examined regularity and randomness based on the approximate entropy and sample entropy. We have noticed both entropies are extremely sensitive to choices of the parameters. Full article
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Review

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Review
Reputational Risk and Sustainability: A Bibliometric Analysis of Relevant Literature
Risks 2021, 9(7), 134; https://0-doi-org.brum.beds.ac.uk/10.3390/risks9070134 - 14 Jul 2021
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Abstract
This study aims to conduct a bibliometric analysis of reputational risk and sustainability. The research was conducted using the Scopus database, which returned 88 publications published during 2001–2020, revealing that the amount of research output within this field is limited, and more research [...] Read more.
This study aims to conduct a bibliometric analysis of reputational risk and sustainability. The research was conducted using the Scopus database, which returned 88 publications published during 2001–2020, revealing that the amount of research output within this field is limited, and more research output should be conducted in the field of reputational risk and sustainability. We identified nine research streams: reputation risk, reputation risk and sustainability, supply chain management, social responsibility, reputation risk management, strategic approach, sustainable development, corporate sustainability and risk assessment. This bibliometric analysis provides managerial and policy implications for sustainability consideration of reputational risk with perceptions to advance knowledge in this important research field. Full article
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