decade though, it led in a rather systematic way to bad investments decisions. One of MPT's main assumptions, investor risk … aversion that translates into volatility aversion, biases financial markets toward low volatility / high extreme risk patterns … the MPT: the hypothesis that risk aversion is an exogenous pattern of investors. Instead in our model risk aversion …

a consistent structure with the certainty equivalent, which is used to derive the risk premium in the context of the … expected utility with risk rather than model uncertainty …

We use the tools of mechanism design, combined with the theory of risk measures, to analyze how a cash constrained … owner of an asset with known stochastic returns raises capital from a population of investors that differ in their risk … debt and equity. Tranching endogenously arises due to the differences in risk appetites among agents, and in the budget …

A review essay of Roman Frydman & Michael D. Goldberg's Beyond Mechanical Markets: Asset Price Swings, Risk, and the …

After the financial crisis in 2008, the world becamemore aware of the importance of the systemic risk. Within China …'s financial system, commercial banks have a dominant position. Therefore, the study of systemic risk of the banking industry in … 2010 to 2018. The quantile regression method and the GARCH model were applied to measure the systemic risk of banks in …

that impact financial markets. We use the risk ratings of agents as their coordinates and approximate a description of … in the economic domain. The motion of separate agents in the economic domain due to a change of agents’ risk rating …

We establish a relationship between the idiosyncratic risk of portfolios and a parsimonious group of market variables …. Because we are able to summarize idiosyncratic risk with this small group of variables, we are able to design stress …

that impact financial markets. We use the risk ratings of agents as their coordinates and approximate a description of … in the economic domain. The motion of separate agents in the economic domain due to a change of agents' risk rating …

This paper presents a possible solution to financial crises by addressing the core of the problem of systemic risk. To … get there, it first illustrates a number of crises related situations before the definition of systemic risk is detailed …. It then explains challenges of systemic risk and solutions on an institutional level before the consequences for micro …