to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk …

is a new risk factor for enterprises taking part in this system. In this paper, we analyze how risk emerging from … loss account accounting for uncertainties and dependencies. Consequently, this model provides a basis for risk assessment …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

Fiktion notwendig ist, aber eine Fiktion bleibt. Aber was heisst es für die (ökonomische) Theorie der Zukunftsentscheidungen …

Expected Utility theory is not only applied to individual choices but also to ethical decisions, e.g. in cost … EU theory is able to deal with 'catastrophic risks', i.e. risks of high, but very unlikely losses, in an ethically … appealing way. In this paper we show that this is not the case. Rather, if in the framework of EU theory a plausible level of …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …

main aim is to minimize this shortfall risk by making use of results from bsde theory. … possible at time T if the initial capital is not sufficient to hedge xc. This introduces a new risk into the market and our …