According to our survey about climate risk perceptions, institutional investors believe climate risks have financial … of the investors, especially the long-term, larger, and ESG-oriented ones, consider risk management and engagement …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

, heavy tails, and nonellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio … optimization with active risk monitoring. The former selects optimal portfolio weights. The later, independently, initiates market … leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk …

Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to … the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital … is avoided and only internal resources appear. An intrinsic risk measure is defined by the smallest percentage of the …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

currency risk via so-called currency overlay strategies. In our setting, a classical mean-variance problem in an international …

We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging … the total risk of his portfolio after a drawdown. In this case, he faces a tradeoff of either paying the transaction costs … and deleveraging, or keeping his current position in the illiquid instrument and hedging away some of the risk while …

risk measures cannot be transformed into cash-additive risk measures by a change of numeraire. However, extending the range …-free bonds may be unrealistic. We focus on finiteness and continuity properties of these general risk measures. As an application …, we discuss capital requirements based on Value-at-Risk and Tail-Value-at-Risk acceptability, the two most important …

containing varying proportions of gateway and non-gateway markets. Risk-adjusted performance is found to be similar across types … returns even after accounting for capital expenditures. Downside risk appears to be slightly greater for gateway markets than … risk is found to be constant across types of markets. We show that discriminating between gateway and non-gateway markets …

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 …