Summary The value at risk measure has become a widespread risk management concept in many different types of financial organizations. The value at risk concept is the attempt to summarize in a single number the return risk in a portfolio of financial assets. This paper studies the impact of the...

Summary The aim of this study is to analyze the importance of the elasticity of risk aversion with regard to an increase in exchange rate risk for exports and hedging in an international firm. Mean-variance preferences allow for an immediate study of the entailed substitution and income effect....

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...

Einführung -- Risiko und Bank -- Risikoteilung und -transfer -- Value at Risk -- Hedging-Effektivität -- Futures und Lagerhaltung -- Risiko und Controlling -- Controlling und Risikoaversion -- Risikopolitik mit Optionen -- Dynamisches Hedging -- Konjunktur und Risikomärkte -- Währungsauswahl...

Using a two-moment decision model, this paper analyzes corporate hedging behavior in the presence of differential versus unified income taxation. We start with the well-known result that risk-taking may increase when income tax rates increase and, therefore, the incentive for hedging decreases....

We present a model of a risk-averse exporting firm subject to liquidity constraints. We show that preferences and expectations become important for optimum export and hedging decisions. Only firms that have sufficient financial resources can fully materialize gains from trade.