Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

We study the effect of an asymmetric environment on risk sharing. In our model, entrepreneurs consider undertaking … asymmetric environment, the returns on the alternative risk-free investment are allowed to differ between the entrepreneurs and … the presence of asymmetric options establishes links between the risk-free and risky sectors as well as between the real …

We study the effect of an asymmetric environment on risk sharing. In our model, entrepreneurs consider undertaking … asymmetric environment, the returns on the alternative risk-free investment are allowed to differ between the entrepreneurs and … the presence of asymmetric options establishes links between the risk-free and risky sectors as well as between the real …

This paper investigates a corporation's risk management response to highly dynamic risks. Using a unique data set on … the German terrorist insurance market, the paper tests whether corporate risk managers have a clear understanding of the … probability distribution of highly dynamic risks or if risk managers learn from severe losses and base their decisions upon day …

the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In …

in risk premia; or the irrational exuberance of investors, bidding prices up and down even in the absence of changes in … such changes in uncertainty would generate through sentiments or risk premia. I then apply this framework to the S&P 500 …, the negative correlation between movements in uncertainty and in implied risk premia) is not compatible with rational …

Adverse weather related risk is a main source of crop production loss and a big concern for agricultural insurers and … reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to … dependence of weather risk to reduce basis risk. The analysis shows that the LSHAC model can improve the hedging performance …

higher profit margins. The model predicts that CSR decreases systematic risk and increases firm value and that these effects …

higher profit margins. The model predicts that CSR decreases systematic risk and increases firm value and that these effects …

We propose new systematic tail risk measures constructed using two different approaches. The first extends the … market crash risk. Both tail risk measures are associated with a significantly positive risk premium after controlling for … other measures of downside risk, including downside beta, co-skewness and co-kurtosis. Using these measures, we examine the …