We introduce the regulatory arbitrage of risk measures, one of the key considerations in choosing a suitable risk … regulatory arbitrage; dividing risks will not reduce the total capital requirement under a coherent risk measure. However, risk … arbitrage is then of significant importance. We quantify the regulatory arbitrage of risk measures in a rigorous mathematical …

This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … method is based on dynamic enterprise risk matri- ces. The matrix describes the changes of corporate risk values over the …

although risk can be measured, uncertainty cannot be measured. Even though risk can be measured, a simple symmetric measure … attempt at "measuring" risk or (fundamental) uncertainty is flawed. … financial institutions. The Finance literature had decided that it was impossible to have bubbles in financial markets and any …

The present article describes the approaches and definition of the concept of uncertainty proposed by its authors, a … quantitative evaluation of uncertainty, and materials of the empirical study used to explore the said issues on the example of …

Uncertainty shapes the trajectory of business cycles and remains a central research topic in Macroeconomics. When … studying the impact of uncertainty on the economy, economists use different uncertainty measures. While all indicators … approximate uncertainty along some certain dimension, none of the indicators directly captures Knightian Uncertainty. According to …