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Perotti, Enrico; Ratnovski, Lev; Vlahu, Razvan - 2011

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited liability. When capital raising is costly, poorly...

Persistent link: https://www.econbiz.de/10011383199

Aggregation of Opinions and Risk Measures

Amarante, Massimiliano - 2020

A ranking over a set of alternatives is an aggregation of experts' opinions (AEO) if it depends on the experts' assessments only. We study both those rankings that result from pooling Bayesian experts and those that result from pooling possibly non-Bayesian experts. In the non-Bayesian case, we...

Persistent link: https://www.econbiz.de/10012825743

Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System

Cukierman, Alex - 2011

This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest...

Persistent link: https://www.econbiz.de/10013122330

A review of individual and systemic risk measures in terms of applicability for banking regulations

Sum, Katarzyna - In: Contemporary economics 10 (2016) 1, pp. 71-82

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as well as the Basel Accords. The study is aimed at presenting the evolution and critique of risk measures and risk models in banking, with a special focus on the dynamically...

Persistent link: https://www.econbiz.de/10011452984

Do Lack of Transparency and Enforcement Undermine International Risk-Sharing?

Asiedu, Elizabeth; Jin, Yi; Villamil, Anne Patricia - 2005

variable with a verification cost that differs across countries and reflects the "transparency" of institutions. When the level … of transparency is exogenous, the optimal contract provides complete expected risk sharing across countries and states …. Less transparency and limited enforcement reduce consumption and result in insurance rationing. When a country can increase …

Persistent link: https://www.econbiz.de/10014061601

Catastrophic Risk and Governance after Hurricane Katrina : A Postscript to Terrorism Risk in a Post-9/11 Economy

Rhee, Robert J. - 2015

This essay inquires into the political economy and system of governance that have made catastrophes more frequent and severe. The system of governance that is designed to mitigate risk and respond to catastrophes can be ineffective, or worse, increase the risk of harm through unintended...

Persistent link: https://www.econbiz.de/10014058716

Collective risk-taking decisions with heterogeneous beliefs

Gollier, Christian - 2003

Suppose that a group of agents having divergent expectations can share risks efficiently. We examine how this group should behave collectively to manage these risks. We show that the beliefs of the representative agent is in general a function of the group.s wealth level, or equivalently, that...

Persistent link: https://www.econbiz.de/10011507677

Stress Testing for Cyber Risks : Cyber Risk Insurance Modeling beyond Value-at-Risk (VaR): Risk, Uncertainty, and, Profit for the Cyber Era

Malhotra, Yogesh - 2017

To avert the impending global Cyber-Finance Insurance Crisis based upon large-scale commercial reliance upon quantitative models with inherent model risks, tail risks, and systemic risks in current form, this post-doctoral thesis makes the following key contributions: Develops the first known...

Persistent link: https://www.econbiz.de/10012972233

A Global Approach to Financial Risk

Guptara, Prabhu - 2009

Persistent link: https://www.econbiz.de/10013153033

An Empirical Analysis of Risk, Incentives and the Delegation of Worker Authority

DeVaro, Jed - 2010

Traditionally, researchers have had difficulty testing the relationship between the degree of risk or uncertainty in workers' environments and incentive pay. The authors employ Prendergast's (2002) theory that incorporates the delegation of worker authority into the principal-agent model to...

Persistent link: https://www.econbiz.de/10013137206