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 …

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

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 …

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 …