parametric complexity theory and analyse its impact in financial risk management. It is shown that selected real-world problems … in risk managements are complex in the sense of NP-completeness. Here the criterion is used to analyse the structural … reasons for the proved complexity. We show how selected risk management methods fit into the picture of our complexity …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …

exponential pattern of the general hyperbolic absolute risk aversion (HARA) utility function that satisfies their respective … study is the construction and development of an optimal compensation agency model for risk management, which is derived by … considering the effect of risk aversion utility on revenue. The proposed model can provide a fair and feasible approach within the …