payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk …-neutral investors and risk-free spot rates for the valuation. The expected payments include the potentiality of default by weighting … promised payments the risk-neutral default probabilities. The required risk-neutral default probabilities are derived from …

The regulatory use of banks' internal models makes capital requirements more risk-sensitive but invites regulatory … arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can … discourage arbitrage by auditing risk models, and implements capital ratios less risk-sensitive than in the first-best to reduce …

The significant excess of the price of risk, research question in the version paper, [S. Chule, in Applied Mathematical … Finance, submitted June 2016], is space-domain form re-evaluated into the stochastic problem objective of the premium risk …. The adapts of the conventional generic replication method for the volatility risk is dissipative on the structure of the …

strategic manager and strategic management researcher, chapter five shows how ABRM can be used to integrate risk measures in the … diversifiable risk from portfolio investment is less than it might appear when using models derived from market data …

account the risk on the sponsor's guarantee, and we show that in presence of sponsor risk, optimal strategies incorporate a … Indemnity Assurance, a non-redundant asset and contract, reduces the risk-shifting incentives from each party to the pension …

. The paper's result formalizes the forces of risk shifting and risk management that shape the form of the corporate pension … portfolio. As in Rauh (2009), the risk-shifting and risk-management incentives increase when a sponsoring company runs into … financial trouble. Unlike Rauh (2009), we show that risk management must not constitute a force countering risk shifting. On the …

This paper explores how corporate financial portfolio influences distress risk. Inspired by Fukuda and Nakamura (2011 …), we define distress risk as a dummy variable determined by whether firms need external subsidies to repay the interest …, financial portfolio is associated with less distress risk. Second, the impact is more pronounced for firms with higher levels of …

dynamic trading strategy based on the sponsor's shares.The paper "Managing Sponsor Risk in Pension Plans: Dynamic Strategies …

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