expected losses are controlled for, neglecting parameter heterogeneity can lead to overestimation of risk, whether measured by …This paper considers a simple model of credit risk and derives the limit distribution of losses under different … assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical …

allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an …

This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely … last 250 days reflect a calm market for which the efficient-market hypothesis could hold. Thus it is argued that a value-at-risk …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life … explicitly taking into account ``model risk''. In this context, we show how to determine the contract parameters conservatively … and implement robust risk management strategies. This highlights the necessity of a careful choice of guarantees which are …

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for individual as well as ?average? models and its exact …

considers both the derivative's farm-specific risk reduction capacity and the individual farmer's risk acceptance. Applying it …, weather derivative markets for the agricultural sector are still in their infancy all-over the world. Some economists …. Motivated by the question of how weather derivatives should be priced to agricultural firms, this paper describes a risk …