, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the … investors. The goal of this paper is to conduct a survey of the various climate risk measures that are available in the asset … lists the different climate risk metrics -- e.g., carbon footprint, carbon transition pathway, carbon transition and …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

sophisticated agent who is fully aware of such an inconsistency. Our characterization holds for general risk preferences. We apply … our results to several distinct classes of risk preference models. We show that although some specific models related to …

' risk exposure. Vulnerability results mainly from price trends and fluctuations, following supply and demand shocks. Such … minimize the portfolio's variance, semi-variance and tail risk, in the presence and the absence of constraints on the portfolio … period. Under a return constraint, the semi-variance optimal portfolio offers the best risk-return tradeoff, whereas the tail-risk …

We revisit mean-risk portfolio selection in a one-period financial market where risk is quantified by a positively … homogeneous risk measure ρ on L1. We first show that under mild assumptions, the set of optimal portfolios for a fixed return is … as the worst-case risk measure.After providing a primal characterization, we focus our attention on coherent risk …

investment's Value-at-Risk as a reasonable calculation of the worst threat an action appears to make possible, and its return … offer. In exploring the extension of the Value-at-Risk approach from applications to investments in financial assets to … applications to investments in real assets, the properties of Value-at-Risk as a risk measure are reviewed. Recognizing that Value-at-Risk …

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 …

We introduce a family of Capital allocation rules (C.A.R) based on the dual representation for risk measures and … inspired to the Aumann-Shapley allocation principle. These rules extend the one of Denault and Kalkbrener (for coherent risk … measures) and the one of Tsanakas (convex case), to the case of non Gateaux differentiable risk measures. We also study their …

This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …

In this short paper we provide a new representation result for dynamic capital allocations and dynamic convex risk …-Shapley allocation. The representation covers BSDE-based dynamic convex and dynamic coherent risk measures. The results are applied to … derive a representation for the dynamic entropic risk measure. Our result are also applicable in a specific way to the static …