This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely...

In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent." We...

We construct a financial market with countably many securities for which there are two equivalent martingale measures under which the market is approximately complete. Thus, approximate completeness does not in general guarantee unique consistent prices for nonmarketed claims. the construction...

This paper is based on a general method for multiperiod prudential supervision of companies submitted to hedgeable and non-hedgeable risks. Having treated the case of insurance in an earlier paper, we now consider a quantitative approach to supervision of commercial banks. The various elements...

This paper deals with issues concerning the core as a solution concept for games in coalitional form as well as the use of these games in representing economies of a certain formal type. Side-payment games are imbedded in the more general class of no-side-payment games. It is shown that to a...

Assume that the random future evolution of values is modelled in continuous time. Then, a risk measure can be viewed as a functional on a space of continuous-time stochastic processes. In this paper we study coherent and convex monetary risk measures on the space of all càdlàg processes that...

We give two examples showing that for unbounded continuous price processes, the no-free-lunch assumption and the existence of an equivalent martingale measure are not equivalent. In fact it turns out that the notion of an equivalent local martingale measure is natural in this context. Copyright...