This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity … remain at risk parity. Second, agnostic (cautious) views always result in a more diversified allocation. We further extend … this framework to arbitrary initial risk budgets, and suggest an alternative to the Black-Litterman methodology …

of risk, both being associated to the stresses supported by the socio-economic system. We propose instruments for … resilience build-up and management based on a novel classification of risk and resilience management regimes corresponding to the …

Scholars have long recognized the difficulties of communicating risk to the public. The rise of mobile gaming presents … unprecedented opportunities for risk communicators to reach millions of potential users in engaging and potentially effective ways …. Gamifying risk communication may help users build knowledge bases about risk, improve risk contextualization skills, and …

Analytical portfolio risk calculations can be derived and computed in matrix form. Since the inputs are linear asset … number. Marginal Contributions and Expected Shortfall provide more insight about concentration of risk vs. diversification …

In an evolving digital landscape marked by escalating operational complexity, the need for innovative operational risk … vast volumes of unstructured data, simulate risk scenarios and automate labour-intensive tasks, generative AI offers … application of AI across various risk-management sectors. While reservations about the complexity of AI technologies and …

In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify … the pro-cyclicality of the current way financial institutions measure their risk. Analysing 11 stock indices, we show that …

firm-level capital investment, risk management, and debt issuance. The effects of uncertainty vary significantly by firm … capital investment is significantly weaker for firms that hedge their output price risk. Our analysis highlights that, in the … ability to hedge risk exposures …

Firms seem to care a lot about "risk management": the practice of hedging risks whether they are correlated with market … risk or not. The standard reasons why widely held corporations might be averse to idiosyncratic risk are based on the …: idiosyncratic risk makes business decisions more difficult. Risk can increase the value of investment projects because of option …

Under conditions of radical uncertainty, risk sharing renders financial systems anti-fragile. Our goal in this paper is … to show that risk-sharing Islamic finance (RSIF) shares the characteristics defined by Taleb for an anti-fragile system …, by mapping some characteristics of anti-fragility onto those of risk-sharing Islamic finance. A key insight around which …