Normalized exponential tilting is an extension of classical theories, including the Capital Asset Pricing Model (CAPM) and the Black-Merton-Scholes model, to price risks with general-shaped distributions. The need for changing multivariate probability measures arises in pricing contingent claims...

The regulation of insurance companies in the United States and the European Union (EU) continues to evolve in response to market forces and the changing nature of risk but with somewhat different philosophies and at different rates. One important area where both economic realities and markets...

The goal of this short communication is to give an overview of the key research issues in Enterprise Risk Management that arose during the talks and the brainstorming session of the first ERMII research workshop, which was held at ISFA, University of Lyon in June 2007. To define and compute...

We use an event-study methodology to analyze the effect of sovereign debt rating changes on daily stock market returns around the world. We find evidence that the stock market moves before the public announcement of a sovereign rating downgrade, resulting in a significant market reaction prior...

Using event studies we find statistically and economically significant, negative daily abnormal stock market returns prior to sovereign debt rating downgrade announcements. Instrumental variable techniques show that these findings are more pronounced in countries with lower institutional...