effects and Logit models. The pricing theory is outlined to include risk determinant factors as well as negative news for …This paper investigates the reputational risk measurement in banking using a simple model that integrates random … increase risk in Brazilian banks, particularly by creating rumors that may trigger bank runs or other reputational problems …

Purpose: This paper aims to explore drivers of the effectiveness of risk assessments in risk workshops. Design …/methodology/approach: This study uses an agent-based model to simulate risk assessments in risk workshops. Combining the notions of transactive … memory and the ideal speech situation, this study establishes a risk assessment benchmark and then investigates real …

a given level of risk, as represented by the volatility of the returns of the investor’s portfolio. Therefore, in order …

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk …, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio … risk measures are vulnerable to larger skewness and kurtosis of the asset returns. Moreover, the traditional assumption of …