The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk measurement: it is particularly interpretable as a special...

Several definitions of regulatory risk are known from the literature. From the perspective of regulatory reform it is important to differentiate between the impact of a given regulatory scheme on the firm's risk exposure and the risk arising from discretionary behavior of regulatory agencies....

In diesem Beitrag werden auf Basis theoretischer Überlegungen Empfehlungen zur effizienten Allokation des Verkehrsmengenrisikos abgeleitet und auf Betreibermodelle für Bundesfernstraßen nach dem so genannten A-Modell angewandt. Es wird festgestellt, dass grundsätzlich eine Teilung des...

Dieser Beitrag diskutiert, warum wir künftig mit einem Anstieg der Alterarmut in Deutschland rechnen müssen. Trotz schwieriger Datenlage lassen sich bereits heute klare Anzeichen dafür erkennen, die im Zusammenspiel der Grundprinzipien des deutschen Rentensystems, vergangener Rentenreformen...

In this paper we analyze exemplarily the volatility of the internal rates of return of the German pension system over the life-cycle of an individual born in 1957. The outcome is compared to an alternative defined-contribution or defined-benefit policy. Based on the actual data, our resultsshow...

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in mathematical challenges: simple extensions and...

This paper examines the interplay between the real and financial decisions of the competitive firm under output price uncertainty. The firm faces additional sources of uncertainty that are aggregated into a background risk. We show that the firm always chooses its optimal debt-equity ratio to...

Expected Utility theory is not only applied to individual choices but also to ethical decisions, e.g. in cost-benefit analysis of climate change policy measures that affect future generations. In this context the crucial question arises whether EU theory is able to deal with 'catastrophic...

Despite their impressive market success, investment certificates' benefits are puzzling from both a theoretical and an empirical viewpoint. Previous research analyzed portfoliotheoretical issues, mispricing patterns, and counterparty risk. This work highlights the impact of taxation, which has...