In this chapter I argue that as a response to the introduction of capital requirements in the form of risk weights … that the new optimum has a lower risk. The effect of the regulation depends on several things, most importantly the … correlation between individual investments, investor preferences and the relative size of risk weights. …

ermöglicht die Anwendung von Copulas in zahlreichen Bereichen der Finanzwirtschaft, vom Risikomanagement über die Bewertung von …

The group of duration models has grown rapidly during last years, offering manynew approaches for interest rate risk … easily surpassed by more realistic strategies;(ii) the number of risk factors has a greater influence on the result than the …

takes a holistic view of the problem and determines the optimal asset allocation as well as risk hedging decisions by means … investigate the performance of alternative risk management strategies. Through extensive computational experiments, both in static … alternative hedging strategies – including options – to control the main risk exposures, (c) the relative performance of …

relative to the event risk that can (and often does) occur. The opposite is concluded for the long/short approach. We find … commodities can be key drivers in risk mitigation over time and in crisis conditions when utilized in long/short portfolios. Focus … upon crisis risk exposes many of the fallacies inherent to simplistic portfolio creation and management. …

This paper investigates a simple risk management problem where an investor is forced to hold a risky asset and then …

an investor receive in return for bearing that extra risk? I find that one such put option will cause the distribution to …

of Portfolio Credit Risk. Part I: Markov Copula Perspective <i>(T R Bielecki, A Cousin, S Crépey, A Herbertsson …)</i></li><li>A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues <i …

</li> <li>Laplace Distributions and Processes</li> <li>The Time Change Framework</li> <li>Tail Distributions</li> <li>Risk … Budgets</li> <li>The Psychology of Risk</li> <li>Monoperiodic Portfolio Choice</li> <li>Dynamic Portfolio Choice</li> <li …