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 …

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 …

and risks. This has been amplified by the lack of a sound operational risk estimate due to the scarcity of the relevant … Dragon Kings regime for the largest events. With respect to risk assessment, our main finding is that risk is dominated by …

We study risk sharing games with quantile-based risk measures and heterogeneous beliefs, motivated by the use of … equivalent to equilibrium allocations, and the equilibrium price is unique. For Value-at-Risk (VaR) agents or mixed VaR and ES … agents, a competitive equilibrium does not exist. Our results generalize existing ones on risk sharing games with risk …

We argue that risk sharing motivates the bank-wide structure of bonus pay. In the presence of financial frictions that … make external financing costly, the optimal contract between shareholders and employees involves some degree of risk … to rationalize exclusively with incentive theories of bonus pay---but support an important risk sharing motive …

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …, we argue that complementing this approach by studying measures of risk that capture the magnitude of losses potentially …

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 …

In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never … dividend payment strategies of barrier and threshold type. We study the case where once during the lifetime of the risk process … payments until ruin. We first consider a general spectrally-negative Lévy risk model, and then re fine the analysis for a …

. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …

Financial risk and longevity risk are the main risks affecting pension income. This paper analyses gender differences … related to how financial risk taking and survival expectations are correlated. We analyse data from the “Survey of Health …, Ageing and Retirement in Europe” (SHARE) database and find a significant gender gap in self-assessed risk tolerance …