In the Basel regulation the required capital of a financial institution is based on conditional measures of the risk of … its future equity value such as Value-at-Risk, or Expected Shortfall. In Basel 2 the uncertainty on this equity value is … captured by means of changes in asset prices (market risk) and default of borrowers (credit risk), and mainly concerns the …

In the Basel regulation the required capital of a financial institution is based on conditional measures of the risk of … its future equity value such as Value-at-Risk, or Expected Shortfall. In Basel 2 the uncertainty on this equity value is … captured by means of changes in asset prices (market risk) and default of borrowers (credit risk), and mainly concerns the …

In financial economics risk-return tradeoffs show how expected rates of return and consequently asset prices are altered …: (i) Present some of the recent literature that is concerned with the effect of long run risk on returns and prices. (ii …) Develop an analytical structure that reveals the long-run risk-return relationship in nonlinear continuous time Markov …

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by … law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an … optimal risk sharing allocation which is in addition increasing in terms of the total risk. We next provide an explicit …

We create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous … eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long … components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a long-run risk …

the impact of forward markets and vertical integration on prices, risk premia, and retail market shares. We point out that … forward hedging and vertical integration are two separate mechanisms for demand and spot price risk diversification that both … producers and retailers exposure to demand risk, whereas linear forward contracts do not. Vertical integration is superior to …