相关实验视频
Updated: Jul 25, 2025

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An R-Based Landscape Validation of a Competing Risk Model
Published on: September 16, 2022
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系统性风险是绿色和伊斯兰市场与传统市场的传染
Muhammad Abubakr Naeem1, Sitara Karim2, Larisa Yarovaya3
1Accounting and Finance Department, United Arab Emirates University, P.O. Box 15551, Al-Ain, United Arab Emirates.
概括
可持续投资提供多样化的好处,减少金融市场的尾部风险暴露. 这项研究分析了可持续,宗教和传统市场,发现可持续资产在危机期间减轻风险.
科学领域:
- 金融经济学 金融经济学
- 风险管理 风险管理
- 可持续金融 可持续金融
背景情况:
- 由于极端的不确定性,金融市场面临着越来越大的尾部风险.
- 可持续,宗教和传统市场表现出不同的特征和风险暴露.
- 了解相互联系对于有效的投资组合多样化至关重要.
研究的目的:
- 测量可持续,宗教和传统投资之间的尾部风险联系.
- 在危机期间识别市场漏洞和风险贡献者.
- 为使用可持续资产的风险多元化策略提供见解.
主要方法:
- 采用神经网络定量回归方法.
- 分析了2008年12月1日至2021年5月10日的数据.
- 使用了系统网络风险指数,系统脆弱性指数和系统危险指数.
主要成果:
- 宗教和传统投资在危机后显示出最大的尾部风险暴露.
- 可持续资产显示出显著的多元化效益.
- 全球金融危机,欧洲债务危机和COVID-19被确定为高尾部风险事件.
结论:
- 可持续投资对于减轻尾部风险和提高投资组合弹性是有价值的.
- 伊斯兰股被确定为关键风险贡献者,特别是在COVID-19大流行期间.
- 政策制定者和投资者应考虑可持续资产,以有效管理风险和实现多元化.
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