Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...

Optimal capacity allocation for investments in electricity generation assets can be deterministically derived by comparing technology specific long-term and short-term marginal costs. In an uncertain market environment, Mean-Variance Portfolio (MVP) theory provides a consistent framework to...

In recent years within Insurance companies measures like RAROC (Risk Adjusted Return on Capital) have become more popular for Balance Sheet Management purposes. RAROC is a performance measure that quantifies the amount of return per unit of risk that can be obtained by a certain entity.Measures...

Optimal capacity allocation for investments in electricity generation assets can be deterministically derived by comparing technology specific long‐term and short‐term marginal costs. In an uncertain market environment, Mean‐Variance Portfolio (MVP) theory provides a consistent framework...