The paper examines in the laboratory how risk-taking situations are affected by the conditions of observing other …

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 … complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our …

-sectional effects. We present two estimation procedures that can do so and illustrate their application by examining international …-sectionally while other variables vary cross-sectionally but not across time. Using two different estimation procedures we find a … second estimation as U.S. Corporate bond spreads change value each year but have the same value across countries. Similarly …

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 …

According to modern portfolio theory (MPT), rational market participants make most decisions and seek to be compensated … for additional risk. However, investors sometimes behave irrationally owing to preconceived notions and biases based on …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

to estimate Growth at Risk as introduced in Adrian, Boyarchenko, and Giannone's (2019) seminal paper "Vulnerable Growth …

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 …