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Risk Analysis and Portfolio Modelling Journal of Risk Analysis and Portfolio Modelling Edited by David Allen and Elisa Luciano Printed Edition of the Special Issue Published in Journal of Risk and Financial Management www.mdpi.com/journal/jrfm Risk Analysis and Portfolio Modelling Risk Analysis and Portfolio Modelling Special Issue Editors David Allen Elisa Luciano MDPI • Basel • Beijing • Wuhan • Barcelona • Belgrade Special Issue Editors David Allen Elisa Luciano University of Sydney University of Torino Australia Italy Editorial Office MDPI St. Alban-Anlage 66 4052 Basel, Switzerland This is a reprint of articles from the Special Issue published online in the open access journal Journal of Risk and Financial Management (ISSN 1911-8074) from 2018 to 2019 (available at: https:// www.mdpi.com/journal/jrfm/special issues/risk analysis). For citation purposes, cite each article independently as indicated on the article page online and as indicated below: LastName, A.A.; LastName, B.B.; LastName, C.C. Article Title. Journal Name Year, Article Number, Page Range. ISBN 978-3-03921-624-6 (Pbk) ISBN 978-3-03921-625-3 (PDF) c 2019 by the authors. Articles in this book are Open Access and distributed under the Creative Commons Attribution (CC BY) license, which allows users to download, copy and build upon published articles, as long as the author and publisher are properly credited, which ensures maximum dissemination and a wider impact of our publications. The book as a whole is distributed by MDPI under the terms and conditions of the Creative Commons license CC BY-NC-ND. Contents About the Special Issue Editors ..................................... vii David Edmund Allen and Elisa Luciano Risk Analysis and Portfolio Modelling Reprinted from: J. Risk Financial Manag. 2019, 12, 154, doi:10.3390/jrfm12040154 .......... 1 Stuart M. Turnbull Capital Allocation in Decentralized Businesses Reprinted from: J. Risk Financial Manag. 2018, 11, 82, doi:10.3390/jrfm11040082 .......... 5 Ching-Chih Wu and Tung-Hsiao Yang Insider Trading and Institutional Holdings in Seasoned Equity Offerings Reprinted from: J. Risk Financial Manag. 2018, 11, 53, doi:10.3390/jrfm11030053 .......... 16 Gabriel Frahm and Ferdinand Huber The Outperformance Probability of Mutual Funds Reprinted from: J. Risk Financial Manag. 2019, 12, 108, doi:10.3390/jrfm12030108 .......... 30 Andrea Bedin, Monica Billio, Michele Costola and Loriana Pelizzon Credit Scoring in SME Asset-Backed Securities: An Italian Case Study Reprinted from: J. Risk Financial Manag. 2019, 12, 89, doi:10.3390/jrfm12020089 .......... 59 A. Ford Ramsey and Barry K. Goodwin Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program Reprinted from: J. Risk Financial Manag. 2019, 12, 65, doi:10.3390/jrfm12020065 .......... 87 Eduard Krkoska and Klaus Reiner Schenk-Hopp´e Herding in Smart-Beta Investment Products Reprinted from: J. Risk Financial Manag. 2019, 12, 47, doi:10.3390/jrfm12010047 ..........108 Jane Mpapalika and Christopher Malikane The Determinants of Sovereign Risk Premium in African Countries Reprinted from: J. Risk Financial Manag. 2019, 12, 29, doi:10.3390/jrfm12010029 ..........122 Kim Hiang Liow, Xiaoxia Zhou, Qiang Li and Yuting Huang Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence Reprinted from: J. Risk Financial Manag. 2019, 12, 16, doi:10.3390/jrfm12010016 ..........142 Giorgio Arici, Marco Dalai, Riccardo Leonardi and Arnaldo Spalvieri A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs Reprinted from: J. Risk Financial Manag. 2019, 12, 4, doi:10.3390/jrfm12010004 ...........165 Mats Wilhelmsson and Jianyu Zhao Risk Assessment of Housing Market Segments: The Lender’s Perspective Reprinted from: J. Risk Financial Manag. 2018, 11, 69, doi:10.3390/jrfm11040069 ..........176 Faiza Sajjad and Muhammad Zakaria Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure Reprinted from: J. Risk Financial Manag. 2018, 11, 24, doi:10.3390/jrfm11020024 ..........198 v About the Special Issue Editors David Allen is currently an Honorary Professor, in the School of Mathematics and Statistics, at the University of Sydney, Australia; an Honorary Professor, in the School of Business and Law, Edith Cowan University, Joondalup, Western Australia; and an Honorary Chair Professor, in the Department of Finance, Asia University, Taiwan. Prior to retirement in 2013, he held Finance Chairs successively at Curtin and Edith Cowan Universities in Western Australia. He has a Ph.D in Finance from the University of Western Australia and an M.Phil in the History of Economic Thought from Leicester University, England. He is a Fellow of the Modelling and Simulation Society of Australia and New Zealand and the International Engineering and Technology Institute. His research interests include financial economics, financial econometrics, market microstructure, risk modeling, and portfolio analysis. He has published five books in finance and economics, the most recent in (2017), which featured the use of R in economics and finance research. His research output includes over 150 papers and chapters in books, on a diverse range of topics, which have been published in economics, finance, statistics, and operational research journals. Elisa Luciano is currently a Professor of Finance at the University of Torino; the Scientific Director of LTI@Unito, a think tank on long-term investors; a Fellow of Collegio Carlo Alberto; and has been a Visiting Scholar at the Wharton School, Cornell University, INSEAD, and the University of Zurich. She is an expert in asset allocation, asset pricing, insurance, and risk management. She has published around 100 articles in academic journals, including the Journal of Finance and the Review of Financial Studies. She has published also for MIT Press. She belongs to the EIOPA Occupational Pensions Stakeholder Group and is in the top 2% of SSRN Authors, and the top 8% of women economists according to REPEC-IDEAS. vii Journal of Risk and Financial Management Editorial Risk Analysis and Portfolio Modelling David Edmund Allen 1,2,3,* and Elisa Luciano 4 1 School of Mathematics and Statistics, University of Sydney, Sydney, NSW 2006, Australia 2 Department of Finance, Asia University, Wufeng 41354, Taiwan 3 School of Business and Law, Edith Cowan University, Joondalup, WA 6027, Australia 4 Department of Economics and Statistics, University of Torino, I-10134 Torino, Italy; [email protected] * Correspondence: [email protected] Received: 18 September 2019; Accepted: 18 September 2019; Published: 21 September 2019 Abstract: Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially explored risks or risk takers in a wide variety of empirical contexts. Keywords: risk analysis; portfolio analysis; risk attribution In a special issue of the Journal of Risk and Financial Management, there was a call for contributions within the broad topic of portfolio analysis. This topic includes any novel, theoretical, or empirical research application in the area of portfolio analysis. This book collects a number of novel contributions for the measurement of financial risk, which address partially explored risks or risk takers in a wide variety of empirical contexts. Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve quickly. The more theoretical contributions in the book include an adjusted present value (APV) model of capital allocation for decentralized businesses. Further, it includes an integration of communication regarding theoretic models and portfolio theory. At the opposite end of the spectrum, this collection includes a study that details the links between insider trading and institutional holdings in the context of United States (US) equity issues (SEOs). A number of issues relating to portfolio risk and performance are addressed in this volume. Apart from the construction of novel portfolio performance benchmarks, these include various aspects of default rates, probability of loss, and loss distributions on small enterprise loans. Further, value-at-risk (VaR) is examined in the context of crop insurance programs, as is herding in smart beta investments and determinants of sovereign risk premiums. There are two contributions regarding real estate markets that include the analysis of links between real estate and stock markets, plus the analysis of risk in Sweden housing market segments. Turnbull (2018) considers a theory of capital allocation for decentralized businesses, considering the costs associated with risk capital. He derives an APV expression for making investment decisions that incorporates a time varying profile of risk capital. This differs from a top-down approach, in which, in the case of a bank, senior management decides on the optimal buffer size and the allocation to individual businesses within the bank make up its component activities. Managers who run sub-units of said business would presumably prefer a situation where the determination of a project’s risk capital depended on project characteristics under their remit, not the characteristics of the bank as a whole. This is because they are concerned about risks over which they have some control. Turnbull derives an expression for the APV of a business
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