We quantify model risk of a financial portfolio whereby a multi-period meanstandard-deviation criterion is used as a selection criterion. In this work, model risk is defined as the loss due to uncertainty of the underlying distribution of the returns of the assets in the portfolio. The...

Using local natural disasters as a quasi-experimental setting, we show that heightened distress risk in shocked firms drives both these firms and their unshocked competitors to cut profit margins by about 0.8 percentage points. These reductions stem from predatory pricing, inventory liquidation,...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies different insurance policies in the context of capital reduction for a range of extreme loss...

This white paper presents analysis of Advisen Cyber Loss dataset (www.advisenltd.com/data/cyber-loss-data/) containing a historical view of cyber events, collected from reliable and publicly verifiable sources. The dataset analyzed in this study comprehends 132,126 cyber events during 2008-2020,...

We focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration of model risk. Model risk can arise from model...