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

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR … financial institutions, we quantify the extent to which characteristics such as leverage, size, and maturity mismatch predict …

order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in dfferent locations and showed that neither … accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. …

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 …

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

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 …

The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the … special case of a terminal cash flow, we require that risk depends on its conditional distribution only. We prove a … representation theorem for dynamic risk measures and investigate their relation to static risk measures. Two notions of dynamic …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

interest rate risk during this long sample period, he should have invested (more) in bonds up to a maturity of approximately … paper assesses whether a fixed-income investor is actually rewarded by taking this additional interest rate risk …-portfolio strategies are observed a concave (excess) risk/return trade-off pattern can be found. This implies that the efficiency of …