There has been a large and committed shift to converting corporate risk management programs into enterprise risk management (ERM) systems, but the ERM literature still lacks a clear and structured picture of the incentives/benefits of ERM. We provide a structured and substantiated way of...

We derive exact expressions for the risk premia for general distributions in a Lucas economy and show that the errors when using log-linear approximations can be economically significant when the shocks are nonnormal. Assuming growth rates are Normal Inverse Gaussian (NIG) and fitting the...

This paper decomposes the popular risk measure Value-at-Risk (VaR) into one jump- and one continuous component. The continuous component corresponds to general market risk and the jump component is proportional to the event risk as defined in the Basel II accord. We find that event risk, which...