Although most of the theory development concerning risk measures has concentrated on convex or even coherent risk measures, nonconvex risk measures are used in practice, the prime example of course being Value-at-Risk. The purpose of this paper is to investigate the relations between various...

A bank's liquidity risk lays in the intersection of funding risk and market liquidity risk. We offer a mathematical framework to make Economic Capital and RAROC sensitive to illiquidity. We introduce the concept of a liquidity cost profile as a quantification of a bank's illiquidity at balance...

We introduce and analyze expected balanced uncertain utility (EBUU) theory. A prior and a balanced outcome-set utility characterize an EBUU decision maker. Conditional on a reference or "balancing value," the latter assigns a utility to each outcome-set. The decision maker associates with each...