We discuss how the standard Cost-Benefit Analysis should be modified in order to take risk (and uncertainty) into … account. We propose different approaches used in finance (Value at Risk, Conditional Value at Risk, Downside Risk Measures …, and Efficiency Ratio) as useful tools to model the impact of risk in project evaluation. After introducing the concepts …

Generalized value at risk (GVaR) adds a conditional value at risk or censored mean lower bound to the standard value at … risk and considers portfolio optimization problems in the presence of both constraints. For normal distributions the …

Credit risk modelling has become increasingly important to Banks since the advent of Basel II which allows Banks with … credit risk is often the key reason behind banks failing or experiencing severe difficulty. The management of sectoral … concentration is a critical component of credit risk management, as over concentration of credit in sectors can be a significant …

conditional probability of default which measures extreme credit risk. This paper finds that bank risk was significantly similar … for Australian and Canadian Banks during the GFC period. This includes an assessment of impaired assets, Value at Risk … Default (CDD); metrics which confirm the two countries similarities in terms of a significant increase in credit risk between …

We studied systemic risk in European sovereign debt markets before and after the onset of the Greek debt crisis, taking … the conditional value-at-risk (CoVaR) as a systemic risk measure, characterized and computed using copulas. We found that …, before the debt crisis, sovereign debt markets were all coupled and systemic risk was similar for all countries. However …

dependence and to calculate some measures of risk. The first step consists of deducing filtered residuals for each return series … compute Value-at-Risk and Conditional Value-at-Risk. …

maximize return while managing risk. Risk and return are quantities that are used as input parameters for the optimal …-Conditional Value at Risk (M-CVaR) portfolio selection problem under the estimation risk in mean return for both interval and …

The mining industry can be extremely volatile during times of economic downturn. We compare extreme risk in mining … share portfolios from each of the worldís seven leading mining areas using Conditional Value at Risk (CVaR) which measures … those risks beyond traditional Value at Risk (VaR) metrics. We also show how CVaR can be used to optimise portfolios and …

include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a …