- abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches …A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact … increases, expected losses decouple from unexpected losses, which reflect a high percentile of the loss distribution. Banks that …

probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key …

The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and … scientific attention. The impact of parameter imperfections on the quality of expected loss (EL) in the sense of a fair, unbiased … estimate of risk expenses, however, is barely covered. So far there are no established backtesting procedures for EL that …

Scholars have long recognized the difficulties of communicating risk to the public. The rise of mobile gaming presents … unprecedented opportunities for risk communicators to reach millions of potential users in engaging and potentially effective ways …. Gamifying risk communication may help users build knowledge bases about risk, improve risk contextualization skills, and …

relationship between the frequency and magnitude components of any earthquake risk model. This paper investigates the actuarial …, statistical and risk management implications of these two characteristics of earthquake risk. To do so, we introduce the … dependence between the interarrival times and the force of each earthquake. An actuarial earthquake risk model based on these …

I investigate the consequences of executive stock option (ESO) risk incentives on risk-taking and future stock returns … “vega,” the sensitivity of CEO wealth to stock return volatility), and risk-taking. However, significant heterogeneity … exists in executives’ risk preferences and hence, the efficacy of ESO risk incentives to encourage risk-taking. I provide …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity … remain at risk parity. Second, agnostic (cautious) views always result in a more diversified allocation. We further extend … this framework to arbitrary initial risk budgets, and suggest an alternative to the Black-Litterman methodology …

In this experimental study, we compare the influence of risk communication in the form of stories versus statistics on … with an individual’s preferences for risk and numbers. The results indicate that individuals invest more in a resilience …-promoting activity when communication comes as a story. This finding holds irrespective of an individual’s risk preference. The results …