first known model risk management framework for Cyber insurance modeling; Develops first known analysis of significant and … extreme model risks, tail risks, and, systemic risk; Develops multi-method empirical study of VaR and Bayesian inference for … containing model risks; Analyzes Markov Chain Monte Carlo for enabling Bayesian inference to minimize model risk; Develops Cyber …

identification of "Right Way Risk" (RWR). This approach only works if the stock and commodity price are co-integrated. To set the … picture of credit risk and to structure commodity transactions more rewardingly …

market risk as a liquidity provider in exchange for earning commissions on each trade. Here we analyze the risk profile of a … function determined by the amount of currencies supplied by the liquidity providers. Liquidity providers can be regarded as … investors in the decentralized exchange and earn fixed commissions per trade. They lock up funds in liquidity pools for distinct …

Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been … extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the … downside risk measured by VaR and expected returns for decile portfolios sorted according to VaR of each stock. We found that …

that diversification is the only free lunch in investing. It appears that once you have diversified away some risk you can … get a further free lunch by smoothing what risk remains …

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … long-term data from the Standard & Poor's 500, we show that these strategies offer an improvement in risk-adjusted return … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail-risk …

This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump … models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure … consistently exceeds the benchmark Value-at-Risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large …

We investigate climate change impacts on productivity and production risk on U. S. Pacific Northwest winter wheat farms … return distribution and thus reducing downside risk. By the mid-21st century, climate-change projections from 20 global …

evaluate the associated model risk, and show not only that the valuation is strongly dependent upon the dynamics of the spot … significant residual price risk. …