This note considers the treatment of risk and uncertainty in the recently established social cost of carbon (SCC) for … discounting, it mis-estimated climate risk, possibly hugely. Given the uncertainty about estimating the SCC, the note concludes by …

countries in which they live) at risk. …

This note considers the treatment of risk and uncertainty in the recently established social cost of carbon (SCC) for … discounting, it mis-estimated climate risk, possibly hugely. Given the uncertainty about estimating the SCC, the note concludes by …

for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported … normally and fat tailed distributed returnsand show that adjustment is particularly relevant for downside risk measures in … thecase of fat tails. A hedge fund case study reveals that the unadjusted risk measuresconsiderably underestimate the true …

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spill-over is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …