This paper deals with ‘investment timing’, or how to make decisions on long-term investments to mitigate catastrophic risk where the risk is driven by trends and seasonality, and interest rates vary stochastically over time. Our model combines real options theory, extreme value theory and...

Influential system-wide events in financial markets share the characteristics of risk contagion and spillover, termed financial systemic risk. Current literature documents the causal relationship between asset diversification and systemic risk through the channel of asset similarity. However,...

This paper empirically examines the impacts of grid-scale battery storage facilities on the frequency control ancillary services (FCAS) market that is used by energy market operators to maintain the frequency of the system within the normal operating band. Using a staggered introduction of...

In credit risk management, migration or transition matrices are major inputs for risk management, Credit Value-at-Risk or derivative pricing. After reviewing distance measures for migration matrices we propose some new directed difference indices to measure changes in migration behavior in a...

Monthly dis-aggregated US data from 1978 to 2016 reveals that exposure to news on inflation and monetary policy helps to explain inflation expectations. This remains true when control- ling for household personal characteristics, perceptions of government policy effectiveness, future interest...

We focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration of model risk. Model risk can arise from model...