This paper values correlated future cash flows when idiosyncratic risk earns a premium. For example, single period RAROC-style valuations used by financial institutions can be extended to multiple periods. Properties of the valuation differ considerably from traditional NPV analysis. Cash flow...

Besides market risk, stock market investments in emerging markets are also exposed to political phenomena that are not generally present in the more developed economies. This problem is well known to banks and multinational companies as country or political risk. Assessment techniques in these...

Applying the approach used by Eisenberg (2007) to derive the marginal price of risk for an expected value maximizing manager who has a Var constraint, I derive the marginal price of risk given a Cvar (Acerbi and Tasche, 2001), also known as an expected shortfall constraint. Despite the criticism...

Financial insolvency for life insurers should impact the financial button line and even incur high social costs. The main profit of life insurers in Taiwan almost depend on investment performance. Thus, to evaluate efficiency of investment performance, and to explore the financial standing are...

We analyze the role of institutional investors as providers of long-term capital resources in the Brazilian capital market. Since there is virtually only one provider of long-term financing in Brazil, BNDES - the National Bank for Economic and Social Development, and the fact that the domestic...

Insurers in the U.S. hold over $5 trillion in assets, with approximately $1 trillion of these assets held in equities. While insurers manage underwriting risk with reinsurance, insurers increasingly manage asset risk with options, futures, and other derivatives. We demonstrate, using all options...

We characterize a firm as a nexus of projects with their associated cash flows. Production and operations activities and real risk management activities distribute cash flows over states of nature and time periods, leading to a transformation possibility frontier similar to a production...

To address the value of risk management, we adopt a new perpspective. We characterize the relationships between operations management and real risk management activities by postulating a transformation possibility frontier for the cash flows of the firm. We show how external changes in the...

The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation. While being close to consumption/investment models of Mathematical Finance, dividend optimization models possess special features which do not allow...