We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets. When risk-sharing is primitive, agents...

Der Beitrag stellt ein Verfahren zur Schätzung des Loss Given Default (LGD) von Leasingverträgen vor. Die typisch multimodale Form von LGD-Verteilungen im Leasing lässt sich nicht durch Klassifikation nach Objektarten, Kundentypen, Laufzeiten oder Ausfallzeitpunkten erklären. Folglich ist...

Die Finanzmarktkrise hat Schwächen in der Bankenaufsicht deutlich werden lassen. Der Artikel befasst sich mit vier Ansatzpunkten für eine Weiterentwicklung der Bankenaufsicht: Benötigt wird eine stärker an Prinzipien orientierte Bankenaufsicht anstatt starrer Regeln für die...

Almost daily, news indicates that there are environmental and social problems in globally fragmented supply chains. Even though conceptualisations of sustainable supply chain management suggest supplier-related risk management for sustainable products and processes as substantial for companies,...

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Risk, Average Value at Risk and Limited Expected...

The recent financial crisis triggered the greatest recession since the 1930s and had a devastating impact on households' wealth and on their capacity to reduce their indebtedness. In the aftermath, it became clear that there is significant room for improvement in property risk management. While...

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at maturity or exercise. Global hedging methods in discrete...

Enterprises affected by supply chain disruptions have reported adverse consequences and dramatic financial losses. Within the research area of supply chain risk management, researchers use simulation models and algorithms to analyze disruption risks and their potential effects on the supply...

The real estate market of EU countries has undergone a severe global financial crisis 2008-2009, recovered successfully later, and now experiencing significant uncertainty due to the COVID-19 pandemic event. Significant volatility of the real estate business is once again evident, just as it was...