Decisions involving risk depend on two distinct aspects: (i) the risk of the gamble and (ii) the attitude towards risk of the investor. The literature captures the first aspect by risk measures and the second by risk aversion. We connect both concepts by introducing the class of risk measures...

The aims of this paper are twofold: first, we attempt to express the threshold of a single quot;Aquot; rating as issued by major international rating agencies in terms of annualised probabilities of default. We use data from Standard amp; Poor's and Moody's publicly available rating histories to...

Testing calibration quality by means of backtesting is an integral part in the validation of credit rating systems. Against this background this paper provides a comprehensive overview of existing testing procedures. We study the procedures' deficiencies theoretically and illustrate their impact...

Aumann and Serrano (J Political Econ 116(5):810–836, <CitationRef CitationID="CR3">2008</CitationRef>) introduce the axiom of duality, which ensures that risk measures respect comparative risk aversion. This paper characterizes all dual risk measures by a simple equivalent condition. This equivalence provides a decomposition result and...</citationref>

Aumann and Serrano (2008) introduce the index of riskiness to quantify the risk of a gamble. We discuss for which gambles this index of riskiness exists by considering the acceptance behavior of CARA-agents. Since for several relevant distributions riskiness is not defined, we suggest an...

Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with infinitely increasing maturities: long...