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 …

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 …

increasing, or conversely its willingness to provide term lending is decreasing, in its rollover risk over the term of the loan …

We develop a dynamic model of investment, cash holdings, financing, and risk management policies in which firms face …-flow sensitivity of cash display a more realistic behavior than in prior models with financing frictions. In addition, risk management …

This article introduces a method to quantify the effect of a firm’s strategic choices on the risk profile of its … profits at different horizons. We combine a demand system for differentiated products with counterfactual paths of risk … factors. Prices, costs and quantities respond endogenously to the counterfactual state of the world. The draws on risk factors …

We investigate the question of whether sophistication in risk management fosters banking stability. We compare a simple … default risk of entrepreneurs individually. Both banking systems compete for deposits, loans, and bank equity. While a … equity and finances more entrepreneurs. Expected repayments in a simple system are always higher and its default risk is …

We analyse the demand for hedging and insurance by a firm that faces liquidity risk. The firm's optimal liquidity … reserves exceed this threshold. We study how this liquidity management policy interacts with two types of risk: a Brownian risk … that can be hedged through a financial derivative, and a Poisson risk that can be insured by an insurance contract. We find …

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 …