This paper investigates risk and stability features of Islamic banking using a sample of 553 banks from 24 countries … lower credit risk than conventional banks. In terms of insolvency risk, small Islamic banks also appear more stable …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from … available observations and computing a ``risk measure" which summarizes the risk of the portfolio. We define the notion of … ``risk measurement procedure", which includes both of these steps and introduce a rigorous framework for studying the …

The classical expected utility model of decision under risk (von Neumann-Morgenstern, 1944) has been criticized from an … could dislike risk (prefer to any lottery its expectation) without necessarily avoiding any increase in risk ; diminishing … marginal utility may coexists with "weak" risk seeking attitudes ; decision makers with the same utility function may differ in …

consequences. By properly assessing the outcomes involved - especially those concerning human life - economic theory of choice … under uncertainty is expected to help people take the best decision. However, the widely used expected utility theory values …

This paper investigates the nature of the relationship between direct investment and country risk in southern countries … is sufficient for business risk to determine the entrepreneur's strategy to undertake an investment project if the mover …-owner advantage exists in a country with risk. A Multinational Enterprise can invest in a big number of countries if the gains from …

This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically …, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected … time-integrated negative part of the risk process on a fixed time interval [0; T] (T can be infinite) is less than a given …

Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is … seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss … distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk …