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 …

A practically oriented, top-down approach to assessing the quality of EL by backtesting with a properly defined risk … measure is introduced. In a first step, the concept of risk expenses ("Cost of Risk") has to be extended beyond the classical … provisioning view, toward a more adequate capital consumption approach ("Impact of Risk"). On this basis, the difference between …

I study the consequences of a random exposure to common risk for the purpose of relative performance evaluation (RPE … magnitude of the exposure risk not only determines how firms aggregate measures of common risk with measures of firm performance … but also the extent to which the firms can control the impact of common risk on their own performance. Simulated …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Previous research documents that risk-arbitrageurs earn positive abnormal returns. However, this research treats the … sum of two risks, deal risk and liquidity risk, as a measure of deal risk alone. We employ a forward looking measure of … liquidity risk – the VIX – and we show that arbitrageurs' ‘abnormal' returns are higher when liquidity risk is higher. Thus …

its core, the strategy is one that earns an excess return for the assumption of a specified risk. Merger arbs purchase … usually trade some measure below the agreed-upon merger price, due to the risk that the merger might not actually occur. If …. The risk to an individual risk arbitrage investment, then, comes from one specified source: the risk of deal completion …