Diversification by banks affects the systemic risk of the sector. Importantly, Wagner (2010) shows that linear … diversification increases systemic risk. We consider the case of securitization, whereby loan portfolios are sliced into tranches with … risk of individual institutions beyond the minimum level attainable by linear diversification, without increasing systemic …

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a …

Extreme losses are the major concern in risk management. The dependence between financial assets and the market … portfolio changes under extremely adverse market conditions. We develop a measure of systematic tail risk, the tail regression … compare it to regular systematic risk measures: the market beta and the downside beta. Furthermore, the tail regression beta …

explaining insurers' trading behaviour we explicitly control for country risk and momentum strategies. The results show that …

survey commissioned by the Nederlandsche Bank, held in March of this year. The investigation shows that risk bearing elements …

The paper investigates risk attitudes among different types of individuals. We use several different measures of risk … risk aversion measures and explain them by background characteristics (both “objective characteristics and other … subjective measures of risk preference). Next we incorporate the measured risk attitudes into a household portfolio allocation …

In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value theory … (EVT) framework. We consider the heavy-tailness of the risk factors as well a non-parametric tail dependence structure …. This allows a large scope of models on the dependency. We assess the Value-at-Risk of a diversified portfolio constructed …