We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial … probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific …

of risk, both being associated to the stresses supported by the socio-economic system. We propose instruments for … resilience build-up and management based on a novel classification of risk and resilience management regimes corresponding to the …

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that … and applications to capital adequacy, portfolio risk management and catastrophic risk are presented …

We live in a ‘zero-risk society', characterized by a culture that is obsessed with controlling and removing any … known unknowns but even unknown unknowns. This may sound like a paradox, but, bold risk-taking is an essential ingredient of … attribute this to five deeper causes: (i) risk aversion as a consequence of increasing wealth and aging; (ii) increasing …

insurance by strictly-risk averse agents and risk-neutral firms when they enjoy limited liability. When exposed to a bankrupting …

We investigate the impact of the 2014 Interagency Clarification on the leverage risk premium for bank- and nonbank … protection, is strongly associated with a narrower leverage risk premium …

risk. In this model, banks face taxation, flotation costs of securities, and default costs and maximize shareholder value …

-debtholder conflicts and induces leveraged firms to invest more and take on less risk as they approach financial distress. To test these … our model, we find that the relation between debt enforcement and firms' investment and risk depends on the firm …-specific probability of default. A difference-in-differences analysis of firms' investment and risk taking in response to bankruptcy …

and risk-seeking behaviour in the loss domain. It also predicts observed violations of stochastic dominance (Birnbaum and …