requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different …

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 …

credit risk amid greater uncertainty. These adverse impacts of uncertainty on bank lending (both quantity and quality) are …

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …

-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega ratio dominance insofar that the Omega … ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the …

diesem Zusammenhang wird festgestellt, dass durch die Gestaltung von Overcollateralization Tests Risk Shifting-Anreize von … Interessenkonflikt zwischen dem Manager und den Equity Investoren vor, wenn der Manager keinen Risk-Shifting Anreiz besitzt. Hierbei sind …

This paper studies the aggregation of a downside risk measure introduced by Fishburn (1977). Properties of aggregated … downside risk are examined and compared to classical risk measures such as standard deviation and value-at-risk. The notion of … downside-efficient portfolios that maximize the expected payoff given a prescribed upper bound for downside risk is introduced …

We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and … inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk … measures) and the one of Tsanakas (convex case), to the case of non Gateaux differentiable risk measures. We also study their …

Firms seem to care a lot about "risk management": the practice of hedging risks whether they are correlated with market … risk or not. The standard reasons why widely held corporations might be averse to idiosyncratic risk are based on the …: idiosyncratic risk makes business decisions more difficult. Risk can increase the value of investment projects because of option …