According to Basel II criteria, the use of external data is indispensable to the implementation of an advanced method for calculating operational risk capital. This article investigates how the severity and frequencies of external losses are scaled for integration with internal data. We set up...

Risk Management offers comprehensive coverage of the design and operation of a risk management system: its technical modeling and its interplay with the external regulations by which such a system is governed. More specifically, it provides a framework for viewing the policies, methodologies,...

The objective of this article is to develop a precise and rigorous measurement of a bank's operational VaR. We compare our model to the standard model frequently used in practice. This standard model is constructed based on lognormal and Poisson distributions which do not take into account any...

Risk Management offers comprehensive coverage of the design and operation of a risk management system: its technical modeling and its interplay with the external regulations by which such a system is governed. More specifically, it provides a framework for viewing the policies, methodologies,...

The ability and willingness of health care workers to report for work during a pandemic are essential to pandemic response. The main contribution of this article is to examine the relationship between risk perception of personal and work activities and willingness to report for work during an...

A risk-averse firm faces uncertainty about the spot price of the output, but has access to a futures market. The technology requires both capital and labor to produce the output. Due to the presence of flexibility in production, the level of capital and the volume of futures contracts are chosen...

Risk classification refers to the use of observable characteristics by insurers to group individuals with similar expected claims, to compute the corresponding premiums, and thereby to reduce asymmetric information. Permitting risk classification may reduce informational asymmetry-induced...

We analyze firms’ entry, production and hedging decisions under imperfect competition. We consider an oligopoly industry producing a homogeneous output in which risk-averse firms face an entry cost upon entering the industry, and then compete in Cournot with one another. Each firm faces...

In this paper, we analyze whether the state of the limit order book affects future price movements in line with what recent theoretical models predict. We do this in a linear vector autoregressive system which includes midquote return, trade direction and variables that are theoretically...