We address the problem of minimizing the risk of an exposure (e.g., cash holdings) to a small number of defaultable counterparties based on spectral risk measures, in particular the expected shortfall. The resulting risk-minimal allocation turns out to be economically implausible in a number of...

This paper solves the mean-variance-skewness-kurtosis (MVSK) portfolio optimizationproblem using a new approach based on the Dirichlet distribution. To obtain efficient portfolios,we generalize the Dirichlet distribution using the student copula to produce an increasedproportion of portfolios...

The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free worst-case approach based on static hedging of counterparty exposure with liquid options. We say "start from" because...

Various concepts appeared in the existing literature to evaluate the risk exposure of a financial or insurance firm/subsidiary/line of business due to the occurrence of some extreme scenarios. Many of those concepts, such as Marginal Expected Shortfall or Tail Conditional Expectation, are simply...

We examine the problem of decision making using a probabilistic model when there is material uncertainty concerning the accuracy of the model coupled with limited information about it. Such conditions could hold, for example, for the user of a complex commercial model of natural catastrophe...

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

We introduce a general decision tree framework to value an option to invest/divest in a project, focusing on the model risk inherent in the assumptions made by standard real option valuation methods. We examine how real option values depend on the dynamics of project value and investment costs,...

Online storage service providers such as Amazon S3 grant a way for companies, particularly startups, to avoid spending resources on maintaining their own in-house storage infrastructure and thereby allowing them to focus on their core business activities. These providers however follow a fixed,...

Aim/purpose - The aim of this paper is to present a strategy that allows companies to recover from disasters, when creating a supply chain. Furthermore, it also shows the impact on the company’s resources that are used in the implementation of the strategy in case of small and big disasters....

The COVID-19 pandemic has caused major disruptions in global supply chains with unforeseen and unpredictable consequences. However, the pandemic was not the only reason why supply chain risk management has become more crucial than ever before. In the last decade, the occurrence of previously...