We study the effect of financial crises on hedge fund risk. Using a regime-switching beta model, we separate systematic and idiosyncratic components of hedge fund exposure. The systematic exposure to various risk factors is conditional on market volatility conditions. We find that in the...

Value at risk (VaR) is a summary statistic that quantifies the exposure of an asset or portfolio to market risk. Value at risk is now viewed by many as indispensable ammunition in any serious corporate risk manager’s arsenal. VaR is often used as an approximation of the maximum reasonable loss...

The internal audit elaborates recommendations in order to improve the government process for the fulfilling of some strategic objectives, amongst one can mention: the promotion of ethic values within the patrimonial entities, the insurance of accountability, the efficient functioning of the...

We propose a new method for estimating the covariance matrix of a multivariate time series of nancial returns. The method is based on estimating sample covariances from overlapping windows of observations which are then appropriately weighted to obtain the nal covariance estimate. We extend the...

The sustainable development and the global corporate responsibility have emerged recently as relevant factors both at a business level and with reference to the society in general. Global markets impose new and complex systems of corporate governance aimed at a generic retrieval of effectiveness...

The objective of the present paper is to present the singularities of risk management in the context of the new requirements and strategies adopted by the European Union in order to ensure sustainable development at organizational level. The paper wishes to approach the complex problem of risk...

Although Germany is not among the most hazard-prone regions of the world, it does experience various natural hazards that have caused considerable economic and human losses in the past. Moreover, risk due to natural hazards is expected to increase in several regions of Germany if efficient risk...

Flood disaster has become one of the most damaging natural disasters for the highway transportation all around the world, especially its destructive effects on highway infrastructures. In order to better understand the ruinous influence of flood disaster on highway transportation in China, this...

Flood management decision-makers face significant challenges as the climate changes. The perceptions of those affected by floods are critical to the successful implementation of adaptation responses; risk perceptions are affected by how information is communicated and, in turn, perceptions...

The global financial crises that affected the world economy starting with 2008 have at least three factors of great influence. However, the general opinion and the conclusions of researches conducted are that one of the most significant factors that is the increase dealing with more complex...