Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in … terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no … the data. -- Risk management ; extreme risk assessment ; multivariate models ; dependence function …

Exchanging collateral has emerged as the market standard for mitigating counterparty credit risk in the interbank … derivatives market. Collateral postings do not, however, eliminate that risk completely. Most notably, the so-called gap risk … remains, which is the risk that in the event of counterparty default, mismatches between the collateral account and the …

To determine the appropriate level of risk capital financial institutions are required to empirically estimate and … predict specific risk measures. Although regulation commonly prescribes the forecasting horizon and the frequency with which … risk assessments have to be reported, the scheme with which the underlying data are sampled typically remains unspecified …

trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a …

This paper addresses two questions about the morality of warfare: (1) how much risk must soldiers take to minimize … precautions that expose them to greater risk. In a well-known article, Asa Kasher and Amos Yadlin argue that while soldiers must … correct. Although soldiers may take extra risks on behalf of their own civilians, the minimally acceptable risk for enemy …

The paper examines in the laboratory how risk-taking situations are affected by the conditions of observing other …

. Failure to allow for this possible input–output risk structure is indeed one of the limitations of the conventional form of … the CES production function. This limitation may result in false inferences about input-driven output risk. In light of … from very restrictive structural assumptions regarding risk considerations, and that such restrictions may lead to biased …