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 …

This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2015. That event gathered …

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 …

Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is … used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network … demonstrate that the optimisation of profitability across the network can be achieved through risk transfer. Considering only …

We use BERT, an AI-based algorithm for language understanding, to decipher regulatory climate-risk disclosures and … measure their impact on the credit default swap (CDS) market. Risk disclosures can either increase or decrease credit spreads …

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 …

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 …

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 …