Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...

On-farm agricultural biodiversity conservation has long been recognized as a fundamental resource to the maintenance of ecologic and economic functions. In this light, planned on-farm biodiversity is represented as an economic asset providing a flow of ecological services to direct use of...

Stochastic discounting models are generally recognized as extremely strong analytical tools for a very wide variety of fundamental areas in the actuarial discipline. The paper is mainly devoted to the formulation, investigation and application in the actuarial discipline of a stochastic...

Purpose – In the last two decades, a number of studies have examined the risk management practices within nonfinancial companies. For instance, some studies report on the use of derivatives by nonfinancial firms. Yet, another group of researchers has investigated the determinants of corporate...

Purpose – The purpose of this paper is to investigate Swedish non-financial firms’ use of derivatives in 2003 and to compare the results with an earlier study investigating Swedish firms in 1996. This comparison is motivated by our interest in if and how the derivative practices of firms...

Purpose – The purpose of this paper is to study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. Design/methodology/approach - The paper...

Purpose – This paper investigates the motivations and practice of nonfinancial firms with regard to using options in their risk management activities. Design/methodology/approach - The paper provides a comprehensive account of the existing empirical evidence and analyzes data on the use of...

Purpose – To better understand corporate risk management practice in Hong Kong and Singapore. To explore popular perception that use of derivatives in Hong Kong and Singapore lags that in the US. To explore possible speculative use of derivatives in these Asian countries....

Every organisation that deals with hazards and people on a daily basis faces a simply and very profound choice: either it manages human error or human error will manage the organisation, always with great cost and often in great danger. Managers fail to understand that the biggest risk they are...

The breakdown of the financial markets in fall 2007 and the following debt crisis in the EU has produced an enormous mistrust in financial products and the monetary system. The paper describes the background of the crisis induced by functional failures in risk management and the multifold...