financing frictions and fair debt pricing, short-term debt increases incentives for risk-taking. To do so, we develop a model in … to increase asset risk in an attempt to improve interim debt repricing and prevent inefficient liquidation. These risk …

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 …

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 …

has the feature that it incorporates a catastrophic risk component as a tool to capture the dynamics of super …

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

new developments, for instance, the claims development result and the risk margin were introduced. The present text …