This article proposes a mean-variance optimization and portfolio frontier analysis of energy risk management with … the CAPM. These results reveal that carbon, gas, coal and bond assets share the best properties for composing an optimal … management, as the carbon market constitutes a segmented commodity market with specific risk factors linked to the EU Commission …

We compare the risk neutral pricing model with the CAPM when it is understood that both models are incorrect. We show …

In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To … sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …

, we address a discussion on this topic proposing the concept of meta-distribution which can be used to improve risk …

along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk …

Some company boards of directors and management teams are still reluctant to embrace enterprise risk management (ERM …) because of the uncertainty regarding its value to the bottom line. A survey of audit and risk management executives suggests … that the use of ERM leads to increased management consensus, better-informed decisions, enhanced communication of risk …

Farm risk management for income stabilization is on-going issue. An applied work has been performed to measure farm … risk using a stochastic model. Risk management tools, with symmetric as well as asymmetric impacts, are then tested and … compared through ad hoc statistics. Normal farm business risk can be efficiently managed using a precautionary saving provision …