downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …

This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio …

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …

We analyze output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi …-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable …