Related papers: Disaster Resilience and Asset Prices
We study how loyalty behavior of customers and differing costs to produce undifferentiated products by firms can influence market outcomes. In prior works that study such markets, firm costs have generally been assumed negligible or equal,…
Despite the promising potential of network risk management services (e.g., cyber-insurance) to improve information security, their deployment is relatively scarce, primarily due to such service companies being unable to guarantee…
We study the effect of social distancing, food vulnerability, welfare and labour COVID-19 policy responses on riots, violence against civilians and food-related conflicts. Our analysis uses georeferenced data for 24 African countries with…
This paper analyzes the hypothesis that returns play a risk-compensating role in the market for corporate revolving lines of credit. Specifically, we test whether borrower risk and the expected return on these debt instruments are…
The COVID-19 pandemic has severely affected many aspects of people's daily lives. While many countries are in a re-opening stage, some effects of the pandemic on people's behaviors are expected to last much longer, including how they choose…
COVID19s widespread distribution is wreaking havoc on peoples lives all over the world. This pandemic has also had a significant impact on energy consumption. Its influence can be seen in the power systems operation and the market as well.…
We investigate adaptive strategies to robustly and optimally control the COVID-19 pandemic via social distancing measures based on the example of Germany. Our goal is to minimize the number of fatalities over the course of two years without…
The current outbreak of novel coronavirus disease 2019 (COVID-19) poses an unprecedented global health and economic threat to interconnected human societies. Until a vaccine is developed, strategies for controlling the outbreak rely on…
We modelled emergence and spread of the Omicron variant of SARS-CoV-2 in Australia between December 2021 and June 2022. This pandemic stage exhibited a diverse epidemiological profile with emergence of co-circulating sub-lineages of…
In Aarab (2020), I examine U.S. stock return predictability across economic regimes and document evidence of time-varying expected returns across market states in the long run. The analysis introduces a state-switching specification in…
In this article, we look at the effect of volatility clustering on the risk indifference price of options described by Sircar and Sturm in their paper (Sircar, R., & Sturm, S. (2012). From smile asymptotics to market risk measures.…
Social distancing interventions can be effective against epidemics but are potentially detrimental for the economy. Businesses that rely heavily on face-to-face communication or close physical proximity when producing a product or providing…
DDoS attacks are increasingly used by `hackers' and `hacktivists' for various purposes. A number of on-line tools are available to launch an attack of significant intensity. These attacks lead to a variety of losses at the victim's end. We…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
For centuries, national economies created wealth by engaging in international trade and production. The resulting international supply networks not only increase wealth for countries, but also create systemic risk: economic shocks,…
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive…
In this paper house prices in Christchurch are analyzed over three distinct periods of time: post-2011 earthquake, pre-COVID-19 lockdown, and post-COVID-19 lockdown using the well-established hedonic price model. Results show that buyers,…
After the introduction of drastic containment measures aimed at stopping the epidemic contagion from SARS-CoV2, many governments have adopted a strategy based on a periodic relaxation of such measures in the face of a severe economic crisis…
The COVID-19 pandemic has caused more than 8 million confirmed cases and 500,000 death to date. In response to this emergency, many countries have introduced a series of social-distancing measures including lockdowns and businesses'…
During the COVID-19 pandemic, we witnessed a disproportionate infection rate among marginalized and low-income groups. Despite empirical evidence suggesting that structural inequalities in society contribute to health disparities, there has…