We report results from an experiment that contrasts preferences toward the risk of what may happen (outcome risk preferences) with preferences toward the risk of when something may happen (time or delay risk preferences). Just as choices over monetary risks identify utility independently from...

Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversi?ed away. The impact of undiversi?ed idiosyncratic risk on portfolio Value-at-Risk can be quanti?ed via a granularity adjustment (GA). We provide an analytic formula for the...

We propose an experimental method to test individuals for prudence (i.e. downside risk aversion) outside the expected utility framework. Our method relies on a novel representation of compound lotteries which allows for a systematic parameterization that captures the full generality of prudence....

In 2005 the Internal Ratings Based (IRB) approach of `Basel II' was enhanced by a `treatment of double default effects' to account for credit risk mitigation techniques such as ordinary guarantees or credit derivatives. This paper reveals several severe problems of this approach and presents a...

We propose a method to measure the intensity of risk aversion, prudence (downside risk aversion) and temperance (outer risk aversion) in experiments. Higher-order risk compensations are defined within the proper risk apportionment model of Eeckhoudt and Schlesinger [American Economic Review, 96...

It is often said that prudence and temperance play key roles in aversion to negative skewness and kurtosis, respectively. This paper puts a new perspective on these relationships and presents a characterization of higher-order risk preferences in terms of statistical moments. An implication is,...

We study cross-risk preferences over wealth and two other attributes to obtain theory-free evidence on correlation aversion as well as higher-order cross-traits like cross-prudence and cross-temperance. Two experiments elicit the dependence structure of risk preferences between wealth and,...

Die infrastrukturelle Anbindung von Städten oder Regionen innerhalb des gesamten Verkehrsnetzes eines Landes bestimmt nachhaltig, in welchem Maße diese am gesamtwirtschaftlichen Wachstum partizipieren können. Unzureichend vorhandene Verkehrsinfrastruktur führt zu Wohlfahrtseinbußen; Output...