The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected … sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was … shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the … stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting … based on Bernoulli-distributed default events and known default probabilities to the fully-fledged Credit Risk …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

This paper investigates the impact of multiplicative background risk on an investor's portfolio choice in a mean …-variance framework. We also study the efficient boundary frontiers with and without risk-free security. …

This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-VaR, mean-CVaR and … mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient frontier … in the presence of background risk. We also consider the case with a risk-free security. …

The widely used risk measures as standard deviations and value at risk do not always reflect risk preferences … accurately. To overcome this problem we show coherent risk approach. For making the overview of the problem of risk measure we … propose a coherent risk measure approach. We started from the definition of risk (market and other) and we took a close look …

The paper discusses the limits to market-based risk transfer in the financial system and the implications for the … as part of governments' role as a risk manager. …