VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...

FINRA registered representatives – commission securities salespeople – have come to be known as financial “advisors,” but are not required to generally put customers' interests ahead of their own compensation and other interests, as are agents of fiduciary Registered Investment Advisors....

This paper examines the impact of cybercrime and hacking events on equity market volatility across publicly traded corporations. The volatility influence of these cybercrime events is shown to be dependent on the number of clients exposed across all sectors and the type of the cyber security...

This paper examines the effect of rate regulation on the management of the property-liability insurer loss reserve. The political cost hypothesis predicts that managers make accounting choices to reduce wealth transfers resulting from the regulatory process. Managers may under-state reserves to...

Written for undergraduate and graduate students of finance, economics and business, the fourth edition of Financial Markets and Institutions provides a fresh analysis of the European financial system. Combining theory, data and policy, this successful textbook examines and explains financial...

This Article is the first to analyze an unexplored but critical change in how modern banks are governed: the rise of lawyers as bank directors. That rise has been precipitous, raising the question of why lawyer-directors now sit on most bank boards. Using novel empirical evidence, we show that...

A simple formula for non-discriminatory insurance pricing is introduced. This formula is based on the assumption that certain individual (discriminatory) policyholder information is not allowed to be used for insurance pricing. The suggested procedure can be summarized as follows: First, we...

With the aging population of the U.S., questions of estate planning have grown in importance. For the wealthiest Americans, the federal estate tax can destroy almost half of their wealth. Because of the special tax treatment of death benefits, life insurance has been used for many years to...

The main focus of this paper is to develop a framework for pricing of a multiple-event coupon paying CAT bond. The model is the first of its kind to address theoretical issues of pricing of an insurance-linked security that derives its value based on two underlying processes: catastrophic...

Credit risk transfer (CRT) instruments offer important diversification benefits but may magnify shocks since they disperse risk, across both financial and non-financial sectors. Exposures to CRT instruments, such as credit derivatives, are difficult to track, given the lack of public data on...