This paper is the first that formally compares investment risk taking by pension funds and insurance firms. Using a … take substantially less investment risk than pension funds, even though a market risk capital charge for insurers is yet … investors' risk taking is determined by their risk bearing capacity, where this risk bearing capacity depends on capital, size …

and examine the implications for bank risk. We find that banks use LLPs to manage the level and volatility of earnings … to avoid fluctuations in their risk-weighted assets. Our findings highlight an important tradeoff in the provisioning for … expected and unexpected losses that affects bank risk and profitability. …

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

with the individual risk profile and actual portfolio allocations. The findings suggest that the presence of framing …

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

sophisticated asset allocation rules tend to opt for investment strategies with a lower risk-return profile. …

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 …