equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …

This article defines correlation products andexplores the problems they raise for risk management systemsin financial … institutions. It explains the difficulties ofanalyzing nonseparable risk in one type of correlation product,the differential (diff … article concludes withsome general ways nonseparable risk can be managed.[...] …

The following article develops a simultaneous multi-factor model for defaults and recoveries. Applying this model, risk … parameters can be forecast using systematic and idiosyncratic risk fac-tors and their implied correlations. The theoretical … framework is accompanied by an empirical analysis in which a negative correlation between defaults and recoveries over the …

Unter der Reputation einer Bank versteht man ihren aus Wahrnehmungen der Anspruchsgruppenresultierenden öffentlichen … Ruf bezüglich Kompetenz, Integrität und Vertrauenswürdigkeit.Für die Sicherung nachhaltiger Rentabilität ist Reputation … erwarteten Reputation. Ein aktives Reputationsmanagement ist hierbeiunabdingbarer Baustein des integrierten Controlling …

), rather than the standard deviation, is used as the measure of risk. …

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 …

Finanzwirtschaftstheorien mit der Fuzzy Set Theorie (Theorie unscharfer Mengen)verbunden.Ziel ist es, sowohl eine einperiodige als auch eine …The neoclassical arbitrage theory is based on the assumption that market participants have thesame expectations about … classicfinancial theories and fuzzy-logic theory. Payoffs are now described by fuzzy numbers. Thismeans that, based on their private …

This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key … contribution of our analysis is that we model the estimation risk as a second, independent source of risk. …