IDEAS home Printed from https://ideas.repec.org/a/eee/glofin/v69y2026ics104402832500153x.html

The rare disaster concern index: RIX

Author

Listed:
  • Li, Weihan
  • Zhang, Jin E.
  • Ruan, Xinfeng
  • Aschakulporn, Pakorn

Abstract

This study aims to deepen the understanding of the Rare Disaster Concern Index (RIX) by redefining its concept, developing its exact model within the Gram–Charlier density, and constructing its time series to enhance its theoretical foundation and numerical application in capturing extreme market risks. Through comparative analysis with conventional indices across various term structures, we uncover the capability of the RIX in reflecting higher-order risks in financial markets. Our findings demonstrate the heightened sensitivity of the RIX to extreme market movements, especially within the left lower range, emphasizing its importance in strategic risk management and investment decision-making.

Suggested Citation

  • Li, Weihan & Zhang, Jin E. & Ruan, Xinfeng & Aschakulporn, Pakorn, 2026. "The rare disaster concern index: RIX," Global Finance Journal, Elsevier, vol. 69(C).
    • Handle: RePEc:eee:glofin:v:69:y:2026:i:c:s104402832500153x
    DOI: 10.1016/j.gfj.2025.101226
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S104402832500153X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.gfj.2025.101226?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:69:y:2026:i:c:s104402832500153x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.