The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

assumptions. We accomplish this by relying on the plausible joint frictions of immediacy risk (excution risk) and asset …

standard correlation-based definition of neutrality. Variance neutrality, Value-at-Risk neutrality and tail neutrality all … relate to the neutrality of the risk of the hedge fund to market risks. Finally, complete neutrality. corresponds to … one-quarter of these funds exhibit some significant exposure to market risk. …

allocation decisions in an out-of-sample setting. We consider the problem of a CRRA investor allocating wealth between the risk … performance measures and levels of risk aversion our results suggest that capturing skewness and asymmetric dependence leads to …

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second … order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are … consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two …

alternative with constant risk level implies a higher level of inequality aversion. The experiment was conducted among 211 eight …Inequality aversion and risk aversion are widely assumed features of economic models. But a review of the literature … revealed that inequlity aversion and risk aversion are treated as separate variables. This paper presents exploratory research …