hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a … generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static …

, borrowers take on less risk exposure than non-borrowers. A larger risk exposure by borrowers may occur as well, however …, borrowers' default policies render binary options useful instruments for lenders in hedging the credit-risk component of their … and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider …

interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium dynamic … opponent’s risk attitude. Hence, client investors, concerned about how a strategic manager may trade on their behalf, should …

theaters and trades, why they run, what determines the risk, whether to return to the theater or trade when the dust settles …, and how much to pay for assets (or tickets) in light of this risk. These theoretical considerations shed light on the …

-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that as the year-end approaches … risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks … present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic risk. Costs of …

-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that the ensuing convexities in … the manager's objective give rise to a finite risk-shifting range over which she gambles to finish ahead of her benchmark …. Such gambling entails either an increase or a decrease in the volatility of the manager's portfolio, depending on her risk …

Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a … an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing … extreme downward movements, while the Gumbel copula overestimates this risk. Similarly we establish that the Gaussian copula …