- 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 …

relationship between the frequency and magnitude components of any earthquake risk model. This paper investigates the actuarial …, statistical and risk management implications of these two characteristics of earthquake risk. To do so, we introduce the … dependence between the interarrival times and the force of each earthquake. An actuarial earthquake risk model based on these …

I investigate the consequences of executive stock option (ESO) risk incentives on risk-taking and future stock returns … “vega,” the sensitivity of CEO wealth to stock return volatility), and risk-taking. However, significant heterogeneity … exists in executives’ risk preferences and hence, the efficacy of ESO risk incentives to encourage risk-taking. I provide …

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

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 …

Current decision-making models assume that an individual's attitude towards risk does not vary across different sources … result suggests that individuals are subject to knowledge illusion in decisions under risk, constituting source …-dependent risk attitudes. We document that knowledge illusion stems from the wrongly assigned importance of perceived expertise in …

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …

The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk … at model level, with different types of assumptions. Then, considering that in practice, a model risk management at model … level is hardly feasible, this paper also outlines a method to measure and quantify model risk at risk category level (ex …