parametric complexity theory and analyse its impact in financial risk management. It is shown that selected real-world problems … in risk managements are complex in the sense of NP-completeness. Here the criterion is used to analyse the structural … reasons for the proved complexity. We show how selected risk management methods fit into the picture of our complexity …

-moment information"); estimates of risk profiles ("risk information"); and measures of the uncertainty surrounding both kinds of estimate … focused on micro information and, within it, on estimates of the current financial condition; by contrast, risk information …

risk management and various forms of structured finance. It explores the constraints that these entities face in using … modern financial markets, including counterparty and sovereign risk obstacles, and problems in their legal and regulatory …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking … regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether …

papers that were presented at the 2011 Madrid International Conference on “Risk Modeling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes …

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of … different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM …), which is a non-linear version of a risk factor model in a copula framework. Our tool allows us to decompose the risk of any …

pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of …

theaters and trades, why they run, what determines the risk, whether to return to the theater or trade when the dust settles …, and how much to pay for assets (or tickets) in light of this risk. These theoretical considerations shed light on the …