In this paper we consider the operations of a non-financial corporation and present a novel risk-management framework … where the decision maker - the firm's manager - is risk averse. Critically, our framework (i) imposes risk aversion through … a generic class of tail risk constraints and (ii) considers explicitly the differences than can, and often do, exist …

Building on a new theory of parametric risk models initiated in Hürlimann(1998), it is shown how mean scaled individual … risk models can be constructed. The approximate computation of their distributions and related quantities can be done in … of models. The method is applied to the construction of a mean scaled operational risk model …

collection threshold in operational risk modeling. There are several approaches under consideration --- the empirical approach … family. Our primary goal is to quantify the effect of model uncertainty on risk measurements. This is accomplished by … evaluating the probability of each approach producing conservative capital allocations based on the value-at-risk measure. These …