, 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 social value of risk reduction (SVRR) is the marginal social value of reducing an individual’s fatality risk, as … domain of fatality risk regulation. This Article investigates SVRR, using a lifetime utility model in which individuals are … differentiated by age, lifetime income profile, and lifetime risk profile. We consider both the utilitarian SWF and a “prioritarian …

The goal of the research is to estimate the level of risk of agricultural companies according to degree of operating …-2013. The greatest impact on risk of agricultural companies had the degree of operating leverage characterizing sensitivity of … level of debt and interest paid influenced the risk of agricultural companies to a lesser extent. Agricultural companies …

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview … of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …-Gaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of …

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 …

We compare seven established risk elicitation methods and investigate how they robustly explain eleven kinds of risky … behavior with 760 individuals. Risk measures are positively correlated; however, their performance in explaining behavior is … heterogeneous and, therefore, difficult to assess ex ante. To close this knowledge gap, greater diversification across risk measures …

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 …

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 …

A critical problem in risk analysis involving financial variables is the calculation of risk margins. When there are a … number of risks, the total risk margin is often reduced to reflect "diversification benefits." How large should the …