Finance theory does not provide a comprehensive framework for explaining risk management within the imperfect financial … corporate hedging: equity value maximising strategies and strategies determined by managerial risk aversion. The first category … environment in which firms operate. Corporate managers, however, rank risk management as one of their most important objectives …

additional delivery risk on hedgers. This paper derives the optimal production and futures hedging strategy for a risk …-averse competitive firm in the presence of delivery risk. We show that, depending on its relative valuation, the delivery option may … induce the firm to produce more than in the absence of delivery risk. If delivery risk is additively related to commodity …

currency hedging strategies, for a series of 7 models,using Bayesian inference and decision analysis. The models differ in the … comparethe hedging decisions and financial returns and utilities as they result from the modellingassumptions and the attitudes … towards risk. …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo … densities) areinvestigated in relation to the hedging strategies. Consequently, we can make adistinctionbetween statistical …

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … general setup we discuss and provide an intensive literature review of estimation and simulation techniques. Separate section … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an …

Research on risk communication relates basic risk perception studies to the formulation of policies, the currently … evolving legislation dealing with hazards, the key issues of public involvement, the risk and environmental management. Risk … communication is a relatively new field based on a sociological approach. The discipline comes from risk perception studies …

, smooth and stabilize consumption as well as minimize portfolio risk. In this context we also show how the correlation between …

have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs … liquidity providers in normal times, namely their tolerance of risk, enables a large increase in asset price risk during a … financial panic. We show that a policy that discourages balance sheet risk reduces the magnitude of financial panics, as well as …