access to a number of risk sharingmarkets that have an efficient risk management role. Two of the most strikingresults … achieved from the existence of risk sharing markets are the separationtheorem and the and full-hedging theorem. This note … examines the optimalproduction for exports and hedging decisions of a risk-averse rm facing bothhedgeable exchange rate risk …

We provide an economic valuation of the riskiness of risk models. We estimate the impact of model risks (estimation and … specification) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial correction … relies on a backtesting framework, for integrating the global model risk into VaR estimates …