equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable …

In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful … extend coherence to all possible situations of initial wealth. Since a coherent risk measure is the negative of a coherent … lower prevision, all results presented in this paper can easily be reformulated in terms of risk measures. Finally, we …

risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation … model with expected shortfall as corresponding risk value is a prominent member of this class. Our contribution values also …

bankruptcy risk of a firm, allowing for time-varying covariates. Based on a large sample from all major sectors of the Swiss …-periphery approach, has a significant impact on its bankruptcy risk; (ii) Variables proxying for the cultural environment of a firm have …This paper examines the role of geography and culture in explaining bankruptcy. We adopt survival analyses to model the …

We derive a general framework for collateral risk control determination for central bank's open market operations. This … framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the …, if the bank fixes its risk exposure, which is related to its risk appetite, the required haircut can be extracted …

arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity … markets data. We thus provide an international analysis of corporate credit risk, and some results on sovereign risk. Simple … bond spreads when pricing credit risk. …

Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific … of VaR models, including VaR and conditional-VaR, as measures of downside risk. Though supported to some extent with … unanimous choices by some specific groups of expected or non-expected utility investors, VaRs as profiles of risk measures at …