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 …

-performance relationship by manipulating her risk exposure. In a dynamic asset allocation framework, we show that as the year-end approaches … risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks … present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic risk. The …

stationary. Multi-dimensional optimization problem is formulated in terms of risk-sensitivity matrix (RSM), allocation & yield … VcV matrix and RSM, which is specified by risk budgeting & duration management. So, optimal allocation is conditional on … RSM, i.e. on risk & portfolio management strategies. Instantly efficient portfolio derived from static one …

Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a … an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing … extreme downward movements, while the Gumbel copula overestimates this risk. Similarly we establish that the Gaussian copula …

In this Paper, I first provide a simple unifying approach to static Mean-Variance analysis and Value at Risk, which …