This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define … various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the … inflation rate and examine its impact on pension liabilities under the aspect of model risk. Under consideration of different …

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a … large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in …

Insurance companies can leverage the regulatory requirement of a "Risk Management Own Risk and Solvency Assessment …" (RMORSA) to improve risk-to-reward decision-making in general, and business planning in particular. This paper profiles …

Due to the lack of descriptive information about the effectiveness of risk management activities, decision-makers often … examine risk management decisions. We simulate individuals' decisions over 50 time periods and analyze how distributional … properties of different risk management instruments influence subjects' propensity to invest in self-insurance or self …

wide range of topics in corporate finance, from time series modeling and regression analysis to multi-factor risk models …Chapter 1. Introduction: Capital Formation, Risk, and the Corporation -- Chapter 2. The Corporation and Other Forms of … and the Cost of Funds -- Chapter 11. Investing in Assets: Theory of Investment Decision Making -- Chapter 12. Regression …