measure based on decreasing absolute risk aversion utility function. I derive necessary and suffi cient conditions for …

We measure risk preferences for decisions that involve more than a single monetary attribute. According to theory, the … multivariate risk preferences correlation aversion, cross-prudence (coskewness preference) and cross-temperance (cokurtosis … aversion) determine how univariate risk preferences over attributes co-vary and interact. We obtain model-free measurements of …

the same for risk and ambiguity, as assumed by prospect theory, and sign‐comonotonic trade‐off consistency, the central …

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial … probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific …

We empirically compare the consistency among several measures of risk-taking and patience by evaluating how these …

Recently, new coherent, law-invariant and comonotonic additive risk measures known as spectral risk measures (SRM) have … been proposed as interesting complements to the regulatory-standard VaR. While such risk measures allow various attitudes … towards risk to be specified by the risk manager through a risk spectrum, there has not been proposed to date any practical …

We characterize and empirically measure the interaction between risk and time preferences in an experiment. Our results … indicate that risk and time preferences are intertwined. We find that decision makers are insensitive to time delay for small … fit of existing decision models that capture risk and time preferences. Our results indicate that the models which allow …

The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk … at model level, with different types of assumptions. Then, considering that in practice, a model risk management at model … level is hardly feasible, this paper also outlines a method to measure and quantify model risk at risk category level (ex …