withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of … pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of …

theaters and trades, why they run, what determines the risk, whether to return to the theater or trade when the dust settles …, and how much to pay for assets (or tickets) in light of this risk. These theoretical considerations shed light on the …

hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a … generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static …

In this Paper, I first provide a simple unifying approach to static Mean-Variance analysis and Value at Risk, which …

-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that as the year-end approaches … risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks … present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic risk. Costs of …

-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that the ensuing convexities in … the manager's objective give rise to a finite risk-shifting range over which she gambles to finish ahead of her benchmark …. Such gambling entails either an increase or a decrease in the volatility of the manager's portfolio, depending on her risk …

Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a … an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing … extreme downward movements, while the Gumbel copula overestimates this risk. Similarly we establish that the Gaussian copula …

international portfolio investments, such as relative market liquidity and relative risk characteristics of assets, are also …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …