Research articles for the 2021-04-28

A Review of Disease and Development
Ruiwu Liu

Acemoglu and Johnson (2007) put forward the unprecedented view that health improvement has no significant effect on income growth. To arrive at this conclusion, they constructed predicted mortality as an instrumental variable based on the WHO international disease interventions to analyse this problem. I replicate the process of their research and eliminate some biases in their estimate. In addition, and more importantly, we argue that the construction of their instrumental variable contains a violation of the exclusion restriction of their instrumental variable. This negative correlation between health improvement and income growth still lacks an accurate causal explanation, according to which the instrumental variable they constructed increases reverse causality bias instead of eliminating it.

Buy the Dip
Shohfi, Thomas,Simaan, Majeed
The increasing role of social media in financial markets has encouraged retail traders to "buy the dip" (BTD). We present a simple paradigm describing this strategy in terms of dip size and purchase smoothing. The empirical investigation considers different specifications and testing periods. While BTD does not necessarily maximize investors' terminal wealth and is sensitive to market conditions at the beginning year of investment, it does provide a heuristic approach to improve risk-adjusted performance over a passive investment policy. Overall, BTD provides a simple, intuitive approach in dealing with portfolio selection over time.

Climate Policy and Clean Technology Innovation: Evidence from FITs Policy Influence on Global VC Renewable Energy Investment Success
Li, Lingyu
This paper examines the impact of climate policy on technology transformation toward clean innovation in the context of private sector investment, providing empirical evidence supporting subsidy policy effect on alleviating global warming. In principle, the novelty of research root in that I provide conceptual view of efficient clean innovation, on which intuition discussion and supportive reasoning for utilizing sustainable VC success exit as appropriate proxy for clean technology progress along renewable energy investment value continuum were provide. I prove for validity by incorporating various green patent measurements into baseline regression model and result was robust. In practice, I analyze the global Venture Capital (VC) renewable energy investment success (proxy for cleantech entrepreneurship innovation) in relation to Feed-in-Tariffs (FITs) policy, I distinguish the empirical importance of FITs policy using variations in industry and VC participation, justifying industry exclusiveness and VC inclusive policy features. I hypothesize that FITs policy function by stimulating VC do a better job on soring and due diligence, along with enhancing portfolio company product market competition advantage; and accordingly, I construct specific test for individual pathways relying on VC characteristics, and prove for the coexistence of selecting explanation and product market competition explanation. I find strong and robust evidence that generous FITs policy significantly enhances sustainable VC investment performance, simulating clean technology innovation. Finally, in line with prior endogenous concerns, I exclude issues such as VC non-random matching, unrevealed latent variable concern and alternative explanations. I analyze research questions with multiple samples, including 1159 global VC investment in cleantech companies across 17 OECD countries as the major one, 541 cleantech project from developing economy, 1480 non-VC backed cleantech projects and 13891 VC backed projects from traditional sectors as supplemental samples.

Conditional Expectile: An Alternative to Value at Risk (VaR)
Moustapha, Amadou Roufaï
Various risk measures have been reviewed against the criteria commonly accepted by financial researchers and practitioners: coherence, elicitability, comonotonic additivity, and intuitiveness. It follows that the only risk measure that is both coherent and elicitable is an Expectile based risk measure. But unlike the VaR measure, the Expectile does not meet the criterion of comonotonic additivity. Taking this result into account, this paper proposes Expectile conditioned by a VaR as a risk measure.Then, the principle of elicitability has been used to perform backtesting and comparative analysis of the performance of the new measure versus VaR and Expectile.Two kinds of conditioning have been retained, Expectile conditioned to a predictive VaR (CEVaR) and Expectile conditioned to a realized VaR (CRVaR) as alternative risk measures.The Monte Carlo simulation and historical simulation methods were implemented to assess the validity of the two risk measures CEVaR and CRVaR. The evaluation was carried out in terms of:- Precision: for this purpose, the backtesting functions associated with the risk measures have been used;- Sub-additivity and comonotonic additivity.The simulations showed that the CRVaR and CEVaR measures are more accurate than the Expectile and VaR measures but CEVaR is not stable when the historical simulation method is used. A numerical assessment of sub-additivity and comonotonic additivity showed that CRVaR is sub-additive while CEVAR is not and both are not comonotonic additive. Nevertheless, we could conclude that CRVAR is a valid alternative to VaR as it’s coherent and outperforms Expetile in terms of accuracy.

Conflicts of Interest in Municipal Bond Advising and Underwriting
Garrett, Daniel
A regulation following from Dodd-Frank prohibits municipal financial advisors from simultaneously acting as municipal bond underwriters. Using a difference-in-differences approach, I test whether this reduction in advisor privileges affects financial advice and bond outcomes. Bonds with potential dual advisor-underwriters see financing costs fall by 11.4 basis points (5.3% of average yield) after the advisor is no longer allowed to underwrite. The decline is concentrated in opaque school district bonds and new money issues. Non-advisors compete for underwriting business more aggressively since they are less likely to face adverse selection after previously conflicted advisors encourage creditworthy borrowers to obtain credit ratings.

Counterparty Credit Risk and Wrong Way Risk; a Least Square Montecarlo Approach
Silva, Peter Joe,Reisin, Hernan,Maurette, Manuel
This article presents the use of Least Squares Monte Carlo (LSMC) and Copula methodology for derivative option pricing including Counterparty Credit Risk. Since the financial crisis of 2008, the financial industry and the regulatory authorities began adjust the price of derivatives due to counterparty risk. Our purpose is pricing an American option using LSMC methodology and including the so-called Wrong Way Risk, through copula methodology, to represent the interaction between market and credit risk.

Deep reinforcement learning for portfolio management based on the empirical study of chinese stock market
Gang Huang,Xiaohua Zhou,Qingyang Song

According to documents, there has not been a completely artificial intelligence framework with shorting mechanism in continuous action space for portfolio optimization. The objective of this paper is to verify that current cutting-edge technology, deep reinforcement learning, can be applied in portfolio management and help us get artificial intelligence. We improve on the existing Deep Reinforcement Learning Portfolio model and make many innovations, such as adding short mechanism, designing an arbitrage mechanism. In experiments, we use our model in several randomly selected portfolios, the results show we can get artificial intelligence and defeat market through deep reinforcement learning.

Financial Analysts and Product Quality Failures
Li, Yinghua,Lin, Yupeng,Wang, Xiaoqiao,Yang, Shijie
This article investigates the role of financial analysts in product quality failures. Using a comprehensive sample of product recalls, we establish three main results. First, analyst coverage on average increases the incidence of product quality failures, particularly when managers likely succumb to analysts’ pressure to pursue short-term profits. Second, analyst coverage inhibits quality-enhancing activities, including vertical integration, importing high-quality inputs, and establishing a quality-focused corporate culture. Lastly, analysts can help reduce quality failures when they have either industry or supply-chain expertise. Taken together, our results uncover both detrimental and beneficial effects of analysts on product quality and safety.

Household Leverage and Labor Market Outcomes Evidence from a Macroprudential Mortgage Restriction
Kabas, Gazi,Roszbach, Kasper
Does households' leverage matter for their job search, matching in the labor market and pay? To answer this question we exploit a loan-to-value ratio restriction in Norway that exogenously reduces household leverage. Using comprehensive register data, we find that lower leverage enables displaced workers to find jobs with higher starting wages. Lower leverage increases the probability of finding jobs in higher paying firms and the likelihood of switching into new occupations and industries. The positive effects are long-lasting and more pronounced for young and higher educated workers. Our results indicate that policies aimed at limiting households' leverage have the potential to substantially improve their labor market outcomes.

How Common are Return Factors in Cryptocurrencies and Equities?
Feng, Guo,Sun, Yulong
Finance research contributes to finding factors to explain the cross-sectional expected equity and cryptocurrency returns. In this paper, we implement the statistical methods to evaluate the common factor structure of these two markets and aim to identify the possible common factors across two markets. By considering the comprehensive dataset covering cryptocurrencies and the U.S. equity universe, we find that there are no common pervasive factors that govern the returns for both cryptocurrencies and equities before 2019, but there arises one common factor post-2020. The identified common factor is significantly related to the standard equity factors but not the crypto factors, which suggests that equity factors can help explain the common variations in returns across equities and cryptocurrencies. The documented pattern is robust across different U.S. equity market classifications, return specifications, and implemented statistical methods. Moreover, we find this pattern holds at the international equity market level. Our results point to the arising of common factors driving the returns on these two markets. Specifically, it's the equity factors that contribute to explaining the cross-sectional cryptocurrency returns recently.

Lottery Stocks in the UK: Evidence, Characteristics and Cause
Khasawneh, Maher,McMillan, David G.,Kambouroudis, Dimos S
Research across international markets identifies lottery-like stocks that contradict the standard positive risk-return trade-off paradigm. This paper, consistent with those results, reports under-performance for lottery-like stocks in the UK market. Moreover, while the under-performance appears stronger in crisis periods, it persists across all periods even when controlling for other return predictors such as size, momentum and downsize risk. However, the cause of the under-performance remains a source of debate. Our results show that a left-tail measure subsumes the UK lottery effect. This suggests under-reaction and continuation behaviour to bad news and is combined with limits to arbitrage. In addition, our findings indicate that poor lottery stock performance is partially explained by the anchoring effect and is more prevalent with greater optimism and sentiment. This contrasts with US results where reversion behaviour is reported for lottery-like stocks and supports the need for market specific research.

Optimal Market Making by Reinforcement Learning
Selser, Matias,Kreiner, Javier,Maurette, Manuel
We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal agent has to find a delicate balance between the price risk of her inventory and the profits obtained by capturing the bid-ask spread. We design an environment with a reward function that determines an order relation between policies equivalent to the original utility function. When comparing our agents with the optimal solution and a benchmark symmetric agent, we find that the Deep Q-Learning algorithm manages to recover the optimal agent.

Optimal Stopping via Randomized Neural Networks
Calypso Herrera,Florian Krack,Pierre Ruyssen,Josef Teichmann

This paper presents new machine learning approaches to approximate the solution of optimal stopping problems. The key idea of these methods is to use neural networks, where the hidden layers are generated randomly and only the last layer is trained, in order to approximate the continuation value. Our approaches are applicable for high dimensional problems where the existing approaches become increasingly impractical. In addition, since our approaches can be optimized using a simple linear regression, they are very easy to implement and theoretical guarantees can be provided. In Markovian examples our randomized reinforcement learning approach and in non-Markovian examples our randomized recurrent neural network approach outperform the state-of-the-art and other relevant machine learning approaches.

Passenger Safety Car Alert System
J.M, Mohanra,N, Sanmathi,K, Kamali,C, Amresh Kumar
Every few days within the world, there are reports of young children dying from sunstroke after being left in parked cars. 54% is due to the “forgotten in-vehicle” element. Even adults are supposed to high temperature and suffocation which leads to death when they have a long nap inside a locked car for more than an hour. Even though an emphasis on education and awareness focused upon parents or drivers and to the public, in general, have been given, this could not stop the number of a child and passenger end up in this kind of tragedy. Accordingly, there's a requirement for an automatic safety system to release an individual trapped in an overheating closed vehicle and/or assist them in reducing the temperature within the vehicle to stop the onset of hyperthermia or warmth induced suffocation. To prevent this tragedy, a system and method are provided for alerting of an occupant endangered by being situated during a variable temperature setting. A NodeMcu based system is developed to provide good air ventilation and alert, once the system detects the presence of the children based on pressure and motion sensors placed at the seats of the car after the driver has left. The security response includes triggering an exhaust fan and a buzzer. This provides with good ventilation for the passengers inside the car. The system is often utilized within an automobile, and occupants include an infant, a child, a person, and an animal or pet. With the creation of this system, hopefully parents more responsible for ensuring their children's safety is compromised in a better way.

Putting a price on tenure
Thiago Marzagao

Government employees in Brazil are granted tenure after three years on the job. Firing a tenured government employee is all but impossible, so tenure is a big employee benefit. But exactly how big is it? In other words: how much money is tenure worth to a government employee in Brazil? No one has ever attempted to answer that question. I do that in this paper. I use a modified version of the Sharpe ratio to estimate what the risk-adjusted salaries of government workers should be. The difference between actual salary and risk-adjusted salary gives us an estimate of how much tenure is worth to each employee. I find that in the 2005-2019 period the monthly value of tenure was 3980 reais to the median federal government employee, 1971 reais to the median state government employee, and 500 reais to the median municipal government employee.

Residual dividends: a quasi-natural experiment
Sanvicente, Antonio
On December 15, 1976, a just-promulgated corporate law introduced, among other innovations, a minimum required dividend distribution on annual basis in Brazil. As a conceptual reference, this article refers to the so-called residual theory of dividend policy. According to this theory, dividends are determined from what is left after optimal investment and financing decisions are made by the firm. The introduction of a minimum required dividend represented the imposition of a constraint on that behavior by the firms. The hypothesis that this constraint affected the firms’ investment behavior is tested herein, and this is confirmed with the use of an interaction term with dividend payments. A “difference-in-differences” approach is adopted, with data for 233 publicly owned firms in the 1973-1980 period.

Risk Measurement Using Extreme Values Theory
Maio, Sebastian,macri, pablo,Maurette, Manuel
Since 2008’s financial crisis, risk management has focused in extreme market movements, i.e. low probability but high impact financial returns. This requires to precisely know the far tails of the probability distribution function underlying the returns’ generation process. Extreme values theory appears in this context as a novel method to estimate that part of the distribution, allowing afterwards different kinds of risk metrics’ calculation. The purpose of this work is studying its methodology and determining if it outperforms traditional methods in numerically generated and market scenarios.

Social Norms Offer Explanation for Inconsistent Effects of Incentives on Prosocial Behavior
Caroline Graf,Eva-Maria Merz,Bianca Suanet,Pamala Wiepking

Incentives have surprisingly inconsistent effects when it comes to encouraging people to behave prosocially. Classical economic theory, according to which a specific behavior becomes more prevalent when it is rewarded, struggles to explain why incentives sometimes backfire. More recent theories therefore posit a reputational cost offsetting the benefits of receiving an incentive -- yet unexplained effects of incentives remain, for instance across incentive types and countries. We propose that social norms can offer an explanation for these inconsistencies. Ultimately, social norms determine the reputational costs or benefits resulting from a given behavior, and thus variation in the effect of incentives may reflect variation in norms. We implemented a formal model of prosocial behavior integrating social norms, which we empirically tested on the real-world prosocial behavior of blood donation. Blood donation is essential for many life-saving medical procedures, but also presents an ideal testing ground for our theory: Various incentive policies for blood donors exist across countries, enabling a comparative approach. Our preregistered analyses reveal that social norms can indeed account for the varying effects of financial and time incentives on individual-level blood donation behavior across 28 European countries. Incentives are associated with higher levels of prosociality when norms regarding the incentive are more positive. The results indicate that social norms play an important role in explaining the relationship between incentives and prosocial behavior. More generally, our approach highlights the potential of integrating theory from across the economic and behavioral sciences to generate novel insights, with tangible consequences for policy-making.

Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure
Mizrach, Bruce
Five of the ten largest stablecoins are backed by fiat assets. Four hold digital assets; all ten are collateralized. Seven of the ten are on the Ethereum network. Failure rates of stablecoin projects are almost as high as other digital assets. The 2015 and 2018 vintages of stablecoins have failure rates of 80% and 25% respectively. Tether has a 48% share of 1.15 trillion USD in 2021Q1 transactions, and USD Coin 29%. Tether has nearly 13 million unique addresses, 63% of the ERC-20 token network. Seven of the top ten tokens have unconcentrated Herfindahl indices, but Gemini, Pax and Huobi have single holders with more than 50% of the supply. More than 75% of Tether fees are under $1.00, but more than 1% of the transaction fees exceed the transferred amount. Fees, which are proportional to the price of Ethereum, are rising though. Median fees for Tether rose 470% in the first quarter of 2021, and 2,735% for USD Coin. 24 hour exchange turnover in Tether is over $125 billion. This is more than the daily turnover of all the FANG stocks and almost ten times the daily flow in money market mutual funds. Narrow bid-ask spreads and depth have attracted active HFT participation

State capacity and vulnerability to natural disasters
Richard S.J. Tol

Many empirical studies have shown that government quality is a key determinant of vulnerability to natural disasters. Protection against natural disasters can be a public good -- flood protection, for example -- or a natural monopoly -- early warning systems, for instance. Recovery from natural disasters is easier when the financial system is well-developed, particularly insurance services. This requires a strong legal and regulatory environment. This paper reviews the empirical literature to find that government quality and democracy reduce vulnerability to natural disasters while corruption of public officials increases vulnerability. The paper complements the literature by including tax revenue as an explanatory variable for vulnerability to natural disasters, and by modelling both the probability of natural disaster and the damage done. Countries with a larger public sector are better at preventing extreme events from doing harm. Countries that take more of their revenue in income taxes are better that reducing harm from natural disasters.

Static Replication of European Multi-Asset Options with Homogeneous Payoff
Bossu, Sebastien
The replication of any European contingent claim by a static continuous portfolio of calls and puts, formally proven by Carr and Madan (1998), extends to multi-asset claims with absolutely homogeneous payoff. Using sophisticated tools from integral geometry, we show how such claims may be replicated with a continuum of vanilla basket calls and derive closed-form solutions to replicate two-asset best-of and worst-of options. We also derive a novel mathematical formula to invert the Radon transform which we apply to obtain a tractable expression of the joint implied distribution. Consequently, a large class of multi-asset options admit a model-free price enforced by arbitrage, just as single-asset European claims do.

Testimony of Erik F. Gerding, “Industrial Loan Companies, Fintech Charters, and Eroding the Separation between Banking and Commerce,” for a Hearing before the U.S. House of Representatives Committee on Financial Services, Subcommittee on Consumer Protection and Financial Institutions on “Banking Innovation or Regulation Evasion?: Exploring Modern Trends in Financial Institution Charters”
Gerding, Erik F.
The 2020 Federal Deposit Insurance Corporation reopening of deposit insurance to industrial loan companies (“ILCs”) threatens to:¶ create risks to financial stability;¶ distort competition in commercial markets;¶ distort competition in banking markets and promote greater risk-taking;¶ generate conflicts of interest in lending; and¶ compromise consumer protections.The FDIC’s ability to map and respond to these risks is limited by the fact that ILCs and the conglomerates that own them are not subject to consolidated supervision.The Office of the Comptroller of the Currency's new fintech charter contravenes the text, purpose, and structure of the National Bank Act and other core federal banking statutes. Conferring banking privileges on non-deposit taking firms provides them with competitive advantages over commercial rivals that distorts markets. The OCC’s fintech charter seems designed mainly to preempt state financial laws without authorization from Congress. It would also open up exemptions from important federal financial laws for favored firms.Congress should reverse these actions and close destructive loopholes in banking law by: ¶ ending the ILC exemption to the Bank Holding Company; and ¶ removing the Comptroller’s ability to issue future charters to non-deposit taking firms. Congress should reinforce the walls separating commerce from banking, which:¶ guard against concentrations of financial, economic, and political power in the largest banking, retail, and tech conglomerates;¶ prevent distortions and unfair competition in commercial markets;¶ safeguard financial stability;¶ reduce conflicts of interest in credit; and¶ protect consumers.

The Future of Employment Revisited: How Model Selection Determines Automation Forecasts
Fabian Stephany,Hanno Lorenz

The uniqueness of human labour is at question in times of smart technologies. The 250 years-old discussion on technological unemployment reawakens. Prominently, Frey and Osborne (2017) estimated that half of US employment will be automated by algorithms within the next 20 years. Other follow-up studies conclude that only a small fraction of workers will be replaced by digital technologies. The main contribution of our work is to show that the diversity of previous findings regarding the degree of job automation is, to a large extent, driven by model selection and not by controlling for personal characteristics or tasks. For our case study, we consult experts in machine learning and industry professionals on the susceptibility to digital technologies in the Austrian labour market. Our results indicate that, while clerical computer-based routine jobs are likely to change in the next decade, professional activities, such as the processing of complex information, are less prone to digital change.

The Impact of Mortality Shocks on Modeling and Insurance Valuation as Exemplified by COVID-19
Schnürch, Simon,Kleinow, Torsten,Korn, Ralf,Wagner, Andreas
The COVID-19 pandemic interrupts the relatively steady trend of improving longevity observed in many countries over the last decades. We claim that this needs to be addressed explicitly in many mortality modeling applications, for example in the life insurance industry. To support this position, we provide a descriptive analysis of the mortality development of several countries up to and including the year 2020. Furthermore, we perform an empirical and theoretical investigation of the impact a mortality jump has on the parameters, forecasts and implied present values of the popular Lee-Carter mortality model. We find that COVID-19 has induced substantial mortality shocks in many countries. We show that such shocks have a large impact on point and interval forecasts of death rates and, consequently, on the valuation of mortality-related insurance products. We obtain similar findings under the Cairns-Blake-Dowd mortality model, which demonstrates that COVID-19 affects a variety of models. Finally, we provide an overview of approaches to handle extreme mortality events such as the COVID-19 pandemic in mortality modeling.

The investor problem based on the HJM model
Szymon Peszat,Dariusz Zawisza

We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with different maturities are described by the general HJM factor model. We assume that the bond market consists of entire family of rolling bonds and the investment strategy is a general signed measure distributed on all real numbers representing time to maturity specifications for different rolling bonds. In particular, we can consider portfolio of coupon bonds. The investor's objective is to maximize time-additive utility of the consumption process. We solve the problem by means of the HJB equation for which we prove required regularity of its solution and all required estimates to ensure applicability of the verification theorem. Explicit calculations for affine models are presented.

What Determines the Freezing of Defined-Benefit Pension Schemes: Evidence from the UK
Li, Yuan,Liu, Wexi,Newton, David
Given the shifting corporate policy from defined benefit (DB) to defined contribution (DC) schemes, we investigate the determinants of so-called ‘freezing’ of DB schemes. We test the reasons of pension freezing and its influence on firm performance, for all FTSE350 companies from 2009 to 2017. We find that pension plan asset is the key factor for determining the freezing of the DB plans and companies tend to close their DB scheme under a good economic state.

Кредитование юридических лиц в 2020 г.: рост и стабилизация (Corporate Lending in 2020: Growth and Stabilization)
Zubov, Sergey
Russian Abstract: Ð' первой половине 2020 г. российские банки существенно нарастили объемы корпоративного кредитования. Этому способствовали расширение спроса на заемные ресурсы со стороны предприятий из-за падения выручки; регуляторные меры Ð'анка России, стимулировавшие льготное кредитование; снижение уровня процентных ставок как следствие мягкой денежно-кредитной политики ЦÐ' РФ; накопленный запас ликвидности банковского сектора. Ð'о второй половине года, по мере нормализации экономической ситуации, темпы кредитования пошли на спад и стали соответствовать уровню 2019 г. Риски для банковского сектора сохраняются в связи с повышенной неопределенностью в отношении дальнейшего возможного распространения пандемии, ценовой волатильностью на нефтяном рынке, неустойчивым характером восстановления корпоративного сектора.English Abstract: In H1 2020, Russian banks notably increased the volume of corporate lending. This was facilitated by an increase in demand for borrowed funds from enterprises due to a drop in revenue; regulatory measures of the Central Bank that stimulate soft lending; a drop in interest rates as a result of monetary policy easing conducted by the Central Bank; and the accumulated liquidity by the banking sector. In H2 2020, as the economic situation was back on track, the pace of lending declined and began to match the level of 2019. Risks for the banking sector remain due to increased uncertainty about the possible spread of the pandemic, price volatility in the oil market, and the unstable nature of the corporate sector recovery.

Меры «VaR в степени t» и «ES в степени t» как новые подклассы мер катастрофических финансовых рисков во множестве мер риска искажения (Measures “VaR to the Extent of T” and “ES to the Extent of t” As New Subclasses of Measures of Catastrophic Financial Risks in a Variety of Measures of Risk Distortion)
Minasyan, Vigen Babkenovich
Russian Abstract: Меры риска искажения в последние годы широко используются в финансовых и страховых приложениях благодаря своим привлекательным свойствам. Целью работы является исследование вопроса принадлежности мер риска «VaR в степени t», введенных в научный оборот автором к классу мер риска искажения, а также описание соответствующих функций искажения. Ð' данной работе вводится новый класс мер риск «ES в степени t» и также исследуется вопрос о принадлежности этих мер риска, к классу мер риска искажения, а также описания соответствующих функций искажения. Ð' работе описывается композитный метод, как метод построения новых функций искажения и соответствующих мер риска искажения. Этот метод используется для доказательства принадлежности мер риска «VaR в степени t» и «ES в степени t» к классу мер риска искажения. Представлены также различные примеры для иллюстрации соответствующих понятий и результатов, проявляющих важность мер риска «VaR в степени t» и «ES в степени t», как подмножеств мер риска искажения, позволяющих выявлять финансовые риски различной степени катастрофичности. Автор делает вывод, что меры риска «VaR в степени t» и «ES в степени t» может быть полезно в практике риск-менеджмента компаний при оценке маловероятных рисков высокой катастрофичности.English Abstract: Distortion risk measures have been widely used in financial and insurance applications in recent years due to their attractive properties. The aim of the work is to study the issue of belonging to the "VaR to degree t" risk measures introduced into scientific circulation by the author to the class of distortion risk measures, as well as to describe the corresponding distortion functions.This work introduces a new class of risk measures "ES to degree t" and also examines the issue of belonging to these risk measures, to the class of distortion risk measures, as well as descriptions of the corresponding distortion functions. The paper describes the composite method as a method for constructing new distortion functions and corresponding distortion risk measures. This method is used to prove that the risk measures "VaR to degree t" and "ES to degree t" belong to the class of distortion risk measures. Various examples are also presented to illustrate relevant concepts and outcomes that demonstrate the importance of "VaR to degree t" and "ES to degree t" risk measures as subsets of distortion risk measures that identify financial risks of varying degrees of catastrophicity. The author concludes that the risk measures "VaR to the extent of t" and "ES to the extent of t" can be useful in the practice of risk management of companies in assessing unlikely risks of high catastrophe.

الادÙ'ِخار في المملكة العربية السعودية: مسـح وتحليـل للأدبيÙ'ات الاقتصاديÙ'ـة والماليÙ'ـة
Saving in Saudi Arabia: Survey and Analysis of Economic and Financial Literature

Gherbi, Abdelhalim,Al-Suhaibani, Mohammad
Arabic Abstract:تهدف هذه الورقة البحثية إلى (1) استعراض المفاهيم الأساسيÙ'Ø© لمصطلح "الادÙ'ِخار" في الأدبيÙ'ات الاقتصاديÙ'Ø© والماليÙ'Ø© والمصرفيÙ'Ø©. (2) وتحليل العوامل والمحدÙ'ِدات التي أثبتت الدÙ'ِراسات التÙ'جريبية أنها مؤثÙ'ِرة في معدÙ'Ù„ الادÙ'ِخار على مستوى القطاع العائلي وقطاع الشركات والقطاع الحكومي؛ للاستفادة منها في تعزيز ثقافة الادÙ'ِخار في المملكة العربية السعودية. (3) وتقييم مبادرات تحفيز الادÙ'ِخار في برنامج تطوير القطاع المالي الذي يُعدÙ' أحد برامج رؤية المملكة 2030. ختامًا؛ تقدÙ'ِم هذه الورقة اقتراحات لصانعي السÙ'ِياسة الاقتصادية لتطوير حلول ادÙ'ِخارية تُسهم في رفع حجم المدÙ'خرات الوطنية في الاقتصاد السعوديEnglish Abstract:This paper aims to (1) review the basic concepts of the term "Saving" in the economic, financial and banking literature. (2) analyze the factors and determinants that empirical studies have shown to have an impact on the saving rate for the household, private corporate and general government sectors in order to enhance the culture of saving in Saudi Arabia. (3) and to evaluate the saving incentive initiatives in the Financial Sector Development Program (FSDP), which is one of the Kingdom's Vision 2030 programs. Finally, this paper presents suggestions for economic policymakers to develop saving solutions that contribute to raising the volume of national savings in the Saudi economy.