mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a … approach to risk modelling is the exibility in the choice of distributions used to model co-dependencies. The practical …

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

In this paper, we examine the determinants of risk-sensitivity exhibited by humans and other animals. Our dependent … meta-analysis of human risk-preference data and compare it to the results of a similar meta-analysis of animal data by … Shafir (2000). Both sets of data show that the coefficient of variation (CV), a relative measure of risk per unit of return …

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets …. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long …-term dependence" and the "catastrophe propensity" were ignored. Risk in 1900 was based on the mathematical laws of Chance and …