We propose new Unconditional, Independence and Conditional Coverage VaR-forecast backtests for the case of annuity pricing under a Bayesian framework that significantly minimise the direct and indirect effects of $p$-hacking or other biased outcomes in decision-making, in general. As a...

Quite recently, a great interest has been devoted to time-consistency of risk measures in its different formulations (see Delbaen, Follmer and Penner, Bion-Nadal, Delbaen et al., Laeven and Stadje, among many others). However, almost all the papers address to coherent or convex risk measures...

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance prices have been studied widely in the literature. In particular, Pareto optimal allocations have been characterized by applying inf-convolution of risk measures and convex...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

We study a concept of dynamic leverage which is a risk measure generalizing traditional value at risk type measures. This measure is suited for hedge funds and can be applied to quantify risk in a fund of hedge funds. Dynamic leverage depends on the level of fund volatility, time horizon and...

The high cost of capital for firms conducting medical research and development (R&D) has been partly attributed to the government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be compensated for it. We propose new and simple financial...

This paper explores the application of contingent claims analysis (CCA) to two quot;hotquot; issues in life-cycle finance: (1) investing for retirement and (2) deciding when, if ever, to switch careers. Participants in individual retirement accounts do not have the time or the knowledge to make...

This paper presents a critical review of the different versions of the LIBOR market model (LMM). Based on the new taxonomy of the term structure models (see Nawalkha, Beliaeva, and Soto [2007a, 2007b]) the typical application of the LMM are shown to triple-plus type, exposing these to the...

This paper derives analytical solutions for valuing credit default swaps (CDS) using preference-free multifactor affine and quadratic models, under the recovery of face value (RFV) assumption. We use a preference-free framework, which is independent of the market prices of risk, and yet allows...

The term structure of interest rates gives the relationship between the yield on an investment and the term to maturity of the investment. Since the term structure is typically measured using default-free, continuously-compounded, annualized zero-coupon yields, it is not directly observable from...