In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … simulation results on model risk show that the locally risk-minimizing hedges are robust with respect to uncertainty and even … misconceptions about the underlying data generating process. The empirical study indicates that locally risk-minimizing hedge …

There is a renewed interest of banks and supervisors in operational risk. In the new Capital Adequacy Framework of June …

financial viewpoint, natural catastrophes represent idiosyncratic risks,diversifiable at the world level. But for reasons … analyzed in this pap er reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as … cat bonds, have been issued to complete the international risk transfer process, but their development is disappointing so …

to condition default intensities of mortgages on relevant economic risk drivers. We calibrate our model on a large … from CreditRisk+ as commonly applied in the industry. The conditional loss distribution and risk measures for a large … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

explained by an individual’s perception of the risk that is involved whenever an outcome is to be received in the future. This … risk may concern the size of the actual outcome or the endowment consumption stream to which the outcome is added. Both … experiments. We show how relative degrees of changes in risk over time can predict choices. …

. Because of risk, the firm may default. The firm manager takes investment and default decisions in order to maximize the value …

reinsurance companies, financial markets have failed to displace reinsurance as the primary risk-sharing vehicle for natural … catastrophe risk. We show that this failure can be explained by differences in information gathering incentives between financial … markets and reinsurance companies. Using a simple model of an insurance company that seeks to transfer a fraction of its risk …