government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

Financial institutions commonly face the risk that large trades will execute at unfavorable prices due to price impact … into smaller pieces and to trade these pieces sequentially over time. Such a strategy, however, is exposed to market risk …. Unlike price impact, market risk can be hedged. This paper explores the market risk management of the liquidation of a large …

This paper presents a simple dynamic investment strategy that allows long-term passive investors to hedge climate risk …

Measures of model risk based on the residual error from hedging in a misspecified model were recently proposed in … model risk for the original market. If the market can not be completed, as it is the case in most market models that allow … for jumps, we derive measures that are applicable in a more general setup. In a case study we measure the model risk that …

practitioners are enhancing the risk allocation framework in order to incorporate hedge funds. The risk allocation framework … consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures; 2. Optimize Risk … Allocation; 3. Implement Investment Strategy.Part 1 of this series discussed how to apply the first step, identifying risk …

methodology to hedge funds. Finally the article will discuss a number of leading edge solutions to these problems. The risk … allocation framework consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures …; 2. Optimize Risk Allocation; 3. Implement Investment Strategy. Part 1 of this series will discuss the first step in the …

In this paper, I review hedge fund risk using various commonly used measures including market betas, correlations, and … risk, especially in the early years, offering meaningful diverisification benefits to traditional stock/bond portfolios …

To control downside risk of a defined benefit (DB) pension plan arising from unexpected mortality improvements and … severe market turbulence, this paper proposes an optimization model by imposing two conditional value at risk (CVaR … longevity risk hedging strategies subject to basis risk. While the existing literature suggests that the excess-risk hedging …

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios … especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR) and …