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 …

appealing downside risk (DR) framework suggested by Estrada (2008), which applies a similar optimization algorithm as the MV … and portfolio managers. -- Downside Risk Analysis ; International Real Estate Markets ; Portfolio Management ; Portfolio …

proposed by Du and Escanciano, we find that ES is generally superior to Value-at-Risk in describing and capturing risk during … extreme events such as the financial crisis. Our results are important to regulators, risk managers and investors …