) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the … increase of portfolio risk due to the higher sectoral concentration. If specialization is instead measured by distance measures …

and interbank rate risk on the optimaldecisions on deposits and loans of a competitive bank. It is found that dueto the … introduction of both sources of risk there appear direct effects as wellas portfolio effects which jointly determine changes in the … bank's behavior.Moreover, it is shown that there is an interaction between the effects of theintroduction of risk and …

Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This … credit risk. Recent literature, however, does not account for this fact when analyzing the effects of these instruments on …

into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …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 …

. A simple theoretical model predicts that interest rates of interlinked loans increase with income volatility when …

study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of …

Theory of financial intermediation gives contradicting answers to the question whether banks should diversify or focus …

period, when forest value is also stochastic following geometric Brownian motion and landowners are risk-averse. We provide … volatility increases, while higher risk aversion decreases the optimal harvesting threshold. Moreover, under risk aversion … increased forest value volatility decreases the optimal harvesting threshold, while it has no effect under risk neutrality …

everal empirical findings have challenged the traditional trade-off between risk and incentives. By combining risk … aversion and limited liability in a standard principal-agent model the empirical puzzle on the positive relationship between … risk and incentives can be explained. …

contribution, the paper extends the smooth ambiguity model by providing a threefold disentanglement between, risk aversion …Uncertainty has an almost negligible impact on project value in the economic standard model. I show that a … assumption of (intertemporal) risk neutrality reduces the growth effect in social discounting and significantly amplifies the …