allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

returns are relatively well explained with standard risk factors, and both the residual correlation and degree of factor … quantify those shared bank exposures that create systemic risk and to portfolio managers seeking to devise optimal …

, smooth and stabilize consumption as well as minimize portfolio risk. In this context we also show how the correlation between …

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 …

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 …

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 …