After negative shocks, investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on stock prices. We test the relevance of this mechanism by exploiting the...

Applying the approach used by Eisenberg (2007) to derive the marginal price of risk for an expected value maximizing manager who has a Var constraint, I derive the marginal price of risk given a Cvar (Acerbi and Tasche, 2001), also known as an expected shortfall constraint. Despite the criticism...

Insurers in the U.S. hold over $5 trillion in assets, with approximately $1 trillion of these assets held in equities. While insurers manage underwriting risk with reinsurance, insurers increasingly manage asset risk with options, futures, and other derivatives. We demonstrate, using all options...

Traditional capital budgeting models price only systemic risk. However, insurers and banks seek to manage their total risk. With the help of modern information systems and information technology, bankers and insurers are able to get timely information on the risk exposures of their multiple...

This paper reviews the recent literature on CAPM and APT, and reaches a surprising conclusion. While APT died a silent death, CAPM's progeny is alive and well! We provide a short review of the recent literature on the conditional CAPMs, intertemporal CAPMs, and higher-order Co-Moments-based...

As early as the 1970s, European Union (EU) member countries implemented rules to coordinate insurance markets and regulation. However, with the more recent movement toward a general single EU market, financial services regulation has taken on new meaning and priority. Solvency I regulations went...

Var is perhaps the most commonly used measure of risk by financial institutions. At many of these the head of risk management gets a daily report on firm-wide Var as well disaggregated Var across the firm's businesses. Often chief risk manager (CRM) is a top level officer in many financial...

This chapter focuses on institutional investors in the German financial markets. Institutional investors are specialized financial intermediaries who collect and manage funds on behalf of small investors toward specific objectives in terms of risk, return and maturity. The major types of...

In this article, the authors emphasize the very important role that institutional investors, under the form of pension funds, hold for the development of capital markets existing in the economy and for supporting the financing process of institutional sectors in the financing deficit situation....

This chapter focuses on institutional investors in the German financial markets. Institutional investors are specialized financial intermediaries who collect and manage funds on behalf of small investors toward specific objectives in terms of risk, return and maturity. The major types of...