We test the hypothesis that practicing Enterprise Risk Management (ERM) reduces firms' cost of reducing risk. Adoption … contribute most to the total risk of the firm, and optimize the evaluation and selection of available hedging instruments. We … hypothesize that these advantages allow ERM-adopting firms to produce greater risk reduction per dollar spent. Our hypothesis …

Expectiles (EVaR) are a one-parameter family of coherent risk measures that have been recently suggested as an …

We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higherorder risk. We estimate our extended income process by GMM for household … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …