In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our … simulation results on model risk show that the locally risk-minimizing hedges are robust with respect to uncertainty and even …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

squared DJIA return is used as the variability measure. The main findings are as follows: (i) the potential market risk in the … potential market risk fluctuated a lot during 2008, especially in early August and in the middle of September; and (iii) the … actual market risk in the DJIA was considerably higher near the end of 2008, especially in October, compared with the rest of …

There is a renewed interest of banks and supervisors in operational risk. In the new Capital Adequacy Framework of June …

to condition default intensities of mortgages on relevant economic risk drivers. We calibrate our model on a large … from CreditRisk+ as commonly applied in the industry. The conditional loss distribution and risk measures for a large … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

explained by an individual’s perception of the risk that is involved whenever an outcome is to be received in the future. This … risk may concern the size of the actual outcome or the endowment consumption stream to which the outcome is added. Both … experiments. We show how relative degrees of changes in risk over time can predict choices. …

. Because of risk, the firm may default. The firm manager takes investment and default decisions in order to maximize the value …