In this paper, we generalize the parametric Delta-VaR method from portfolios with normally distributed risk factors to portfolios with elliptically distributed ones. We treat both expected shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a...

This paper looks at markets characterized by the fact that the demand side is insured. In these markets a consumer purchases a good to compensate consequences of unfavorable events, such as an accident or an illness. Insurance policies in most lines of insurance base indemnity on the insured’s...

Many observers have expressed concerns about the impact of a rise in interest rates upon banks in India. In this paper, we measure the interest rate risk of a sample of major banks in India, using two methodologies. The first consists of estimating the impact upon equity capital of certain...

We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality and duality theory for problems involving risk...

This book presents a simple model (the simplest?) for the computation of the value-at-risk: the delta-normal approach. It doesn't explain the shortcomings and advantages of the method nor compares it with other models. Even on this single topic, by no way it pretends to be complete or in the...

This article complements the earlier work by Mayers and Smith (1987) and Schnabel and Roumi (1989) which showed that a property insurance contract could be used to bond subsequent corporate investment decisions. Although these models suggest one possible approach to solving the underinvestment...

The purpose of this paper is to demonstrate how investors can benefit from volatility by constructing portfolios of options and futures based on the FTSE/ASE-20 ADEX listed derivatives. Furthermore, this paper provides an insight into the risks associated with such trades as well as addresses...

We consider optimization problems involving coherent risk measures. We derive necessary and sufficient conditions of optimality for these problems, and we discuss the nature of the nonanticipativity constraints. Next, we introdice dynamic risk measures, and we formulate multistage optimization...

This essay summarizes some recent empirical contributions on two aspects of sharecropping: (i) the effects of the contractual form (incentive power and contract length) on resource allocation and farm performance; and (ii) the exogenous elements behind the choice of different contractual forms.