Global Index on Financial Losses Due to Crime in the United States
| Autor: | Svetlozar T. Rachev, Thilini Mahanama, Abootaleb Shirvani |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Index (economics)
financial losses due to crime Real estate Computational Finance (q-fin.CP) 01 natural sciences FOS: Economics and business 010104 statistics & probability Quantitative Finance - Computational Finance 0502 economics and business index-based derivatives Systemic risk ddc:330 Capital asset pricing model 0101 mathematics Hedge (finance) Finance 050208 finance business.industry Financial risk 05 social sciences HD61 Risk Management (q-fin.RM) HG1-9999 Portfolio Risk in industry. Risk management Pricing of Securities (q-fin.PR) business Capital market Quantitative Finance - Pricing of Securities securitization of insurance risk Quantitative Finance - Risk Management |
| Zdroj: | Journal of Risk and Financial Management Volume 14 Issue 7 Journal of Risk and Financial Management, Vol 14, Iss 315, p 315 (2021) |
| ISSN: | 1911-8074 |
| DOI: | 10.3390/jrfm14070315 |
| Popis: | Despite the potential importance of crime rates in investments, there are no indices dedicated to evaluating the financial impact of crime in the United States. As such, this paper presents an index-based insurance portfolio for crime in the United States by utilizing the financial losses reported by the Federal Bureau of Investigation. The objective of our paper is to introduce new risk hedging financial contracts for crime, consistent with dynamic asset pricing. Underlying the index, we hedge the investments by issuing marketable European call and put options and providing risk budgets. These budgets show that real estate, ransomware, and government impersonation are the main risk contributors in our index. Next, we evaluate the performance of our index via stress testing to determine its resilience to economic crisis. Of all the factors considered in this study, unemployment rate has the potential to demonstrate the highest systemic risk to the portfolio. Our portfolio will help investors envision risk exposure in the market, gauge investment risk based on their desired risk level, and hedge strategies for potential losses due to economic crashes. In conclusion, we provide a basis for the securitization of insurance risk from certain crimes that could forewarn investors to transfer their risk to capital market investors. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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