Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is … economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to … measure risk adequately in a multi period context, we then extend the coherent expected shortfall to time-conditional expected …

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded … long remained a more or less elusive concept. Treatment of liquidity risk is still under development.This paper provides an … overview on important aspects of market liquidity and its risk. We also survey existing models to integrate market liquidity …

Prinzipien gelenkt, wiein Zukunft das Risikomanagement, die interne Banksteuerung und die Bankenaufsicht reformiert undauf die …

Why was risk management not effective in preventing financial institutions from bubbles in the past? 1. Because the … emerge of the bubbles were not recognized at all. 2. Because risk managers did not have sufficient authority to stop the …

While multiple sourcing is common practice in manufacturing to mitigate risk ofsupplier breakdown, those strategies are …. Drawing on the example of securities settlement the tradeoffbetween the costs of integration and the costs of risk due to …

with rising self perceptiontowards risk. Further, we find that it depends highly on the type of risk, if a household is …

theory-basedrecommendations. In this contribution the current state of the market as well as its perspectivesfor the future …