In his basic model of debt renegotiation, BESTER [1994] argues that collateral is more effective if high risk projects … are financed. This result, however, crucially depends on the definition of risk. Using the second-order stochastic … dominance criterion introduced by ROTHSCHILD AND STIGLITZ [1970], we show that it is not a project's high risk, induced by a …

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics … system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk" (p. 3 …

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean … and futures markets. However, the SD tests show that spot dominates futures in the downside risk, while futures dominate … spot in the upside profit. On the other hand, the SD findings suggest that spot dominates futures in downside risk, while …

for China and Taiwan warrants are not efficient, and second- and third-order risk averters prefer to invest in China …

-order dominate returns of portfolios optimized on the basis of traditional MGARCH models. This result implies that any risk …