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 …

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 …

We assess the ability of different risk profiling measures to predict risk taking along a multi-stage decision process …. The latter involves decisions under ambiguity, decisions under risk, decisions after gaining experience and decisions … after receiving outcome information on previous decisions. We find that in all decisions risk taking can be predicted by …

reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may … increased dependence increases aggregate prevention expenditures, but not necessarily prevention expenditures for each risk due …

This paper investigates how welfare losses for facing risks change as a function of the number of risk exposures. To … that aim, we define the risk apportionment of order n (RA-n) utility premium as a measure of pain associated with facing … the passage from one risk to a riskier one. Changes in risks are expressed through the specific concept of stochastic …

I develop a dynamic capital structure model to examine how the nature of risk affects firm's debt policy. In the model …, firm's fundamental risk, captured by its cash flow process, consists of transitory and persistent parts with markedly … different dynamics. The model explains the observed dispersion in the risk-leverage relationship. Firms with similar total …

Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …

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 …