We consider a firm that invests in capacity under demand uncertainty and thus faces two related but distinct types of risk: mismatch between capacity and demand and profit variability. Whereas mismatch risk can be mitigated with greater operational flexibility, profit variability can be reduced...

In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk (VaR) constraint on the mean-variance model, and compare them with those arising from the imposition of a conditional value-at-risk (CVaR) constraint. We show that for a given confidence level, a...

Extreme value theory is concerned with the study of the asymptotical distribution of extreme events, that is to say events which are rare in frequency and huge with respect to the majority of observations. Statistical methods derived from this theory have been increasingly employed in finance,...

This report describes the application in 12 countries of a system of four indicators that measure the potential impact of natural hazards, the key element of those countries' vulnerability, and their capacity to manage risks. The development of this set of indicators relies on two decades of...

In this paper, we present a novel quantitative analysis for the strategic planning decision problem of allocating certain available prevention and protection resources to, respectively, reduce the failure probabilities of system safety measures and the total expected loss from a sequence of...

Agricultural value chain financing (VCF) is an emerging phenomenon in the region but it is not well studied. Historically, small- and medium-sized famers experience problems accessing formal finance. Participation in a well-structured and dynamic supply chain seems to improve chances of...

In conditions of high exchange rate volatility, entities conducting foreign trade transactions are subject to currency risk exposures, which may have a significant impact on financial performance and operating profitability. The research approach is oriented to identify the possibility to...

This article defines, explains, organises and analyses the major risk and return considerations involved in international real estate investments in a risk management framework. Both risk management and the real estate investment principles are to be applied to accomplish this task. The study...

This paper investigates the significance of financial derivatives in shipping firms and its potential impact on their firm value. The methodology applied in order to measure firms' value is Tobin's Q. The investigation whether shipping firms can decrease their risk exposure and increase their...

The aim of this paper is to study the impact of structure of dependency on the pricing of multi-name credit derivatives such as collateralised debt obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based...