In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely … determine the minimal entropy martingale measure in a market where securities are traded with payoffs depending on two types of …

-free and are relevant to many fields encountering catastrophic risk analysis, such as, perhaps most noticeably, insurance and … risk management. …

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 …

about estimation risk in FFMs in high dimensions. We investigate whether recent linear and non-linear shrinkage methods help … to reduce the estimation risk in the asset return covariance matrix. Our findings indicate that modest improvements are …

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

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the …

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

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

find that risk-shifting interacts with regulatory arbitrage motives to explain how banks adjust their portfolios after … yielding but zero risk-weight sovereign bonds. The increase in banking system risk might therefore be even larger than the … decline in risk-weighted solvency ratios suggests. Distress in the banking system also feeds back onto bond prices. Bonds …