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....

Conceptually, the ‘resolution' of financial intermediaries does not merely refer to instruments and procedures for the management of insolvencies in the financial sector generally. Rather, ‘resolution' is conceived as a functional alternative to, and substitute for, traditional means of...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...

In the last two decades, the application of Enterprise Risk Management (ERM) has increased in its pace and more penetration particularly after the 2007-08 financial crisis. Such application was largely driven due to regulatory push. However, ERM is more to offer than just regulatory compliance

This paper explores the development of enterprise risk management as a function of the development of risk-based capital across the world over the last two decades. The paper identifies a clear correspondence between the emergence of RBC and ERM. The development of RBC worldwide was triggered by...

Risk culture is essential for the success of enterprise risk management (ERM). Enterprise riskmanagement is different from silo risk management where risks were mainly managed by onedepartment. Enterprise risk management means that the risk management is integrated fromBoard to the last employee...

Businesses are the main drivers of any economy and impact all the economic actors explicitly or implicitly. According to Gupta (2010) accountability, transparency, fairness, and responsibility of firms on legal social, and economic grounds are crucial for the wellbeing of every entity of a...

A business value is created by identifying the risks in the business and developing a risk mitigation plan. The only identification of risks is of little use unless an effective advance plan is developed and implemented to reduce either the likelihood or impact or both of the events. In this...