strategic manager and strategic management researcher, chapter five shows how ABRM can be used to integrate risk measures in the … diversifiable risk from portfolio investment is less than it might appear when using models derived from market data …

The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and … estimate of risk expenses, however, is barely covered. So far there are no established backtesting procedures for EL that … quantify its impact with regards to pricing or risk-adjusted profitability measures. In this paper, a practically oriented, top …

A practically oriented, top-down approach to assessing the quality of EL by backtesting with a properly defined risk … measure is introduced. In a first step, the concept of risk expenses ("Cost of Risk") has to be extended beyond the classical … provisioning view, toward a more adequate capital consumption approach ("Impact of Risk"). On this basis, the difference between …

A strategically minded CFO will realize that strategic corporate risk management is about finding the right balance … between risk prevention and proactive value generation. Efficient risk and performance management requires adequate assessment … of risk and risk exposures on the one hand and performance on the other. Properly designed, a risk measure should provide …

I study the consequences of a random exposure to common risk for the purpose of relative performance evaluation (RPE … magnitude of the exposure risk not only determines how firms aggregate measures of common risk with measures of firm performance … but also the extent to which the firms can control the impact of common risk on their own performance. Simulated …

not fully understand how to assess the interest rate risk of different fixed income investments. This is particularly …. The simplest measure of interest rate risk for the average investor is something called duration. The Financial Industry …

This study investigates whether audit market competition influences the risk profile of audit offices' client … portfolios and whether an audit office's client risk profile affects the association between audit market competition and audit … quality. Economic theory suggests that market competition can affect a company's risk-taking, but there is limited evidence on …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Previous research documents that risk-arbitrageurs earn positive abnormal returns. However, this research treats the … sum of two risks, deal risk and liquidity risk, as a measure of deal risk alone. We employ a forward looking measure of … liquidity risk – the VIX – and we show that arbitrageurs' ‘abnormal' returns are higher when liquidity risk is higher. Thus …