risk factors are correlated with each other and the degree of dependence individual firms have to the different types of … risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we … propose a model for exploring credit risk diversification across industry sectors and across different countries or regions …

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics …

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 …

. What additional economic cost of mitigation measures will this delay imply? At the same time, the uncertainty surrounding … the global stabilisation target to be achieved crucially affects short-term investment and policy decisions. What will … this uncertainty cost? Is there a hedging strategy that decision makers can adopt to cope with delayed action and uncertain …

baseline mortality risk, and thus operates as the “dead anyway” effect. We suggest, however, that ambiguity aversion should …

examines the role of uncertainty (on the efficiency gains) in this tradeoff. Common wisdom is that the antitrust authorities … are uncertain would not be theoretically founded. Indeed, the attitude towards uncertainty depends on the curvature of the … that competition authorities should welcome the risk for a given expectation of efficiency gains. Implications for …