: the effective risk banks accept to take by providing the offers, specific risks in financing this sector, the problem of … the balance between risk and profit return (or market share increase). …

Consider a single-leg dynamic revenue management problem with fare classes controlled by capacity in a risk …-averse setting. The revenue management strategy aims at limiting the down-side risk, and in particular, value-at-risk. A value-at-risk … process and provide a computational method for computing policies, which optimise the value-at-risk for a given confidence …

instruments of risk transfer. We show that there is a certain non-robustness in the pricing of these instruments and we create a …

impose a plan. The multiple-stage bargaining process is solved in a non-cooperative game-theory setting. The calibrated model …

gauging the effects of credit migration on portfolio risk measurements. For a typical loan portfolio, we find credit migration …, and find that migration of point-in-time credit quality accounts for a greater fraction of total portfolio risk when … effects, higher likelihood of moving away from the current credit state does not necessarily imply greater risk. Finally, we …

This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial … contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is … typically unavailable in closed form. This makes it difficult to accurately compute Value-at-Risk (VaR) and expected shortfall …

instruments of risk transfer. We show that there is a certain non-robustness in the pricing of these instruments and we create a …

, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however …, borrowers' default policies render binary options useful instruments for lenders in hedging the credit-risk component of their … and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider …