- abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches …A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact … increases, expected losses decouple from unexpected losses, which reflect a high percentile of the loss distribution. Banks that …

probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key …

We describe a simple robust technique for incorporating any type of views on expected returns into the Risk parity … remain at risk parity. Second, agnostic (cautious) views always result in a more diversified allocation. We further extend … this framework to arbitrary initial risk budgets, and suggest an alternative to the Black-Litterman methodology …

. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

Analytical portfolio risk calculations can be derived and computed in matrix form. Since the inputs are linear asset … number. Marginal Contributions and Expected Shortfall provide more insight about concentration of risk vs. diversification …

We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults … contagion effects when making investment decisions, reduces his risk exposure as he becomes more sensitive to risk, and that his … strategy depends non-monotonically on the aggregate risk level …

Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy … methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty …

arbitrary (but finite) number of projects and the termination time. The optimal policy depends on the projects' risk …-adjusted drifts that are determined by their drifts, volatilities and the curvature (or relative risk aversion) of the agent's payoff … function. We prove that the optimal policy only selects projects in the spanning subset. Further, if the projects' risk …

benchmark random loss, in which case our risk measures are intimately linked to second-order stochastic dominance …We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial …

credit risk amid greater uncertainty. These adverse impacts of uncertainty on bank lending (both quantity and quality) are …