In this paper we derive an exposure-based measure of Cash-Flow-at-Risk (CFaR). Existing approaches to calculating CFaR … either only focus on cash flow conditional on market changes or neglect market-risk exposures entirely. We argue here that an … essential first step in a risk-management program is to quantify cash-flow exposure to macroeconomic and market risk. This is …

A strategically minded CFO will realize that strategic corporate risk management is about finding the right balance … between risk prevention and proactive value generation. Efficient risk and performance management requires adequate assessment … of risk and risk exposures on the one hand and performance on the other. Properly designed, a risk measure should provide …

measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution …The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In … particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk …

described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two … results proved a heavy-tailed pattern of operational risk data consistent with the results documented by other researchers in … from emerging markets such as Central Europe are exposed to these operational risk events and that successful estimates of …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon …

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

the revenue side is considered to be not at risk. We show different approaches to modelling the uncertainty of recurring …

Research on risk communication relates basic risk perception studies to the formulation of policies, the currently … evolving legislation dealing with hazards, the key issues of public involvement, the risk and environmental management. Risk … communication is a relatively new field based on a sociological approach. The discipline comes from risk perception studies …