We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk …. Finally, we reformulate the computation of regular and coherent risk measures as an optimal transportation problem, for which …

measure based on decreasing absolute risk aversion utility function. I derive necessary and suffi cient conditions for …

Risk aversion — but also the higher-order risk preferences of prudence and temperance — are fundamental concepts in the … study of economic decision making. We propose a method to jointly measure the intensity of risk aversion, prudence, and … temperance. Our theoretical approach is to define risk compensations of different orders, and in an experiment we elicit these …

Risk can be defined as the likelihood that you can deliver your promise. This paper has used the European put option … and the European call option to construct the p-index and c-index to measure the risk levels (likelihoods) of owning or ….e., higher risk for owning the assets; and (2) assets having higher up move have higher c-index, i.e., higher risk for short …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …