We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier … liquid assets. When risk-sharing is primitive, agents self-hedge and hold more liquid assets; this buffers aggregate risks …, resulting in few correlated failures compared to when there is greater risk sharing. We apply this insight to build a model of a …

portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option …. Real option theory argues that research projects with conditional phases have option-like risk and return properties, and … are different from unconditional projects. We show that although the risk of a portfolio always depends on the correlation …

While risk management gained popularity during the last decades even some of the basic risk types are still far out of … one of the most often overlooked business risk types. After reviewing the origin of the problem we propose and compare … seven risk measures to access path. Traditional risk measures like standard deviation of sub period cash flows fail to …

Estimation or mis-specification errors in the portfolio loss distribution can have a considerable impact on risk … measures. This paper investigates the sensitivity of tail-related risk measures including the Value-at-Risk, expected shortfall …

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

abgeleitet. Das erwartete Risiko wird dadurch gemindert unter anderem auch durch Einbeziehung von Anlagen mit schwachen …