reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may … increased dependence increases aggregate prevention expenditures, but not necessarily prevention expenditures for each risk due …

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

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This …

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple … explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by … portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and …

risk aggregation. The so-called "square-root formula" uses correlation parameters between, for example, market risk, non …Modern regulatory capital standards, such as the Solvency II standard formula, employ a correlation based approach for …-life insurance risk and default risk to determine the company's aggregate capital requirement. To support decision-making, companies …