Showing 1 - 10 of 2,186
This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …
Persistent link: https://www.econbiz.de/10014258296
We measure the economic risk of epidemics at a geo-spatially detailed resolution. In addition to data about the …’s resilience (its ability of the recover rapidly from the shock). We find that the economic risk of epidemics is particularly high …
Persistent link: https://www.econbiz.de/10012156716
, 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 …
Persistent link: https://www.econbiz.de/10013309456
Persistent link: https://www.econbiz.de/10014529004
This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …
Persistent link: https://www.econbiz.de/10011334834
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 …
Persistent link: https://www.econbiz.de/10011539235
Persistent link: https://www.econbiz.de/10010411555
Many practitioners annualize VaR just like the standard deviation. We show that this approach is incorrect, and a more sophisticated formula should be used for deriving a periodic VaR from parameters of the daily returns distribution. Another problem addressed here is the distribution of daily...
Persistent link: https://www.econbiz.de/10013117236
We investigate risk averse agents who manage risk by trading financial securities in a market that we call a risk … market. We assume this market is perfectly competitive and complete. When risk aversion is expressed using risk measures, the … probability distributions defines a novel template for equilibria under uncertainty and, more specifically, equilibria under risk …
Persistent link: https://www.econbiz.de/10013121852
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In … the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …
Persistent link: https://www.econbiz.de/10013124424