In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov … Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure … intersection of linear constraints, this class of allocations covers, for example, conditional Value-at-Risk (CoVaR), conditional …

In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of … total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our … allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …

in the computation of Value-at-Risk (VaR). Results show that copulas provide more sophisticated results in terms of the …

Utility and risk are two often competing measurements on the investment success. We show that efficient trade … of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

This study aims at developing econometric models to manage the price risk of Dry and Wet Cocoa beans with the help of … risk, precisely for Cocoa traders, Chocolate manufacturers, Cocoa growers, and the government for planning and decision …

The study investigates the stability of financial risk preference choices elicited from subjects by way of two methods …, namely: experimentally elicited incentivized revealed risk preferences (IRRP) and (self-reported) perceived willingness to … take a financial risk (PWTFR). The research further examines whether financial literacy (a human capital aspect) helps in …

market with reinvestment risk, since in this case the total liability cannot easily be separated into hedgeable and non …

in finance, insurance and economics with both internal contagion risk and external common risk. Key distributional …

and calculation of risk measures. Parameters are estimated on three bivariate series, using a two-stage methodology … features. As an application, we consider investment strategies for a portfolio with two risky assets and a risk-free cash … account. We calculate value-at-risk (VaR) values at a 95% risk level using both simulation-based and distribution …