and numerical methods, we obtain answers concerning capital allocation, network stability, risk figures, and diversification …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 …

In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful … extend coherence to all possible situations of initial wealth. Since a coherent risk measure is the negative of a coherent … lower prevision, all results presented in this paper can easily be reformulated in terms of risk measures. Finally, we …

risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation … model with expected shortfall as corresponding risk value is a prominent member of this class. Our contribution values also …

We derive a general framework for collateral risk control determination for central bank's open market operations. This … framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the …, if the bank fixes its risk exposure, which is related to its risk appetite, the required haircut can be extracted …

arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity … markets data. We thus provide an international analysis of corporate credit risk, and some results on sovereign risk. Simple … bond spreads when pricing credit risk. …

diversification of European investors? This is an empirical question that this paper tries to answer by exploring four alternative …

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 …

financial applications. In particular we focus on issues arising in the estimation and the empirical choice of copulas as well …