framework while still obtaining Pareto optimality. In the framework developed, the aggregate risk components of individual risks … are exchanged through a highly reduced set of nonspecific securities, while the idiosyncratic risk components are insured …

The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study …

extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index … complete order for all risk avers investors. We present a closed-form solution to the PROFIT Index, as a function of the return … stressing the asymmetric sensitivity between losses then gains. Consequently, downside risk measure such as VaR and CVaR were …