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 … far. This paper argues that downside risk aversion and ambiguity aversion explain the limited success of cat bonds. Hybrid …

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 … types of uncertainty naturally appear in the context of intertemporal choice and both are difficult to control in …

. 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 …

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

We examine the quantification of operational risk for banks. We adopt a financial-economics approach and interpret … operational risk management as a means of optimizing the profitability of an institution along its value chain. We start by defining … operational risk and then propose a framework to model risk mitigation through the bank’s value chain over time. Using analytical …

In this paper we present a modelling framework for portfolio credit risk which incorporates the dependence between risk …

The effect of monetary policy on financial risk premia is analysed in a simple general equilibrium model with sticky … wages and an optimising central bank. Analytical results show that equity risk premia and term premia are higher under … inflation targeting than under output targeting, and that inflation risk premia are higher for policies that strike a balance …