__Abstract__ We test risk attitude and risk propensity of executive and non-executive directors of almost all (read: 10 … main finding is that the differences between risk attitudes of board members of companies in a developing country do not …

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … banks could be tempted to use models that underpredict risk, and hence lead to low capital charges. In order to avoid this … excessive violations, thereby suggesting the current penalty structure is not severe enough to control risk management. In …

wealth. We derive closed-form solutions for the portfolio choice problem of constant relative risk averse investors, under …

wage growth and find that it is relatively small. We show that downside-risk measures increase risk-taking at both low and …

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk …. This paper is concerned with market risk management and monitoring under the Basel II Accord, and presents Ten Commandments … for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic …