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Hakenes, Hendrik - In: Journal of banking & finance 28 (2004) 10, pp. 2399-2426

Persistent link: https://www.econbiz.de/10002232736

Optimal Reinsurance Analysis from a Crop Insurer's Perspective

Porth, Lysa; Ken Seng Tan; Weng, Chengguo - 2014

Purpose - The primary objective of this paper is to analyze the optimal reinsurance contract structure from the crop insurer’s perspective. Design/Methodology/Approach - A very powerful and flexible empirical-based reinsurance model is used to analyze the optimal form of the reinsurance...

Persistent link: https://www.econbiz.de/10014146213

Resilienz in Supply Chains : Effektive Strategien und Methoden für robuste und agile Lieferketten

Huth, Michael - 2025

Grundlagen Supply Chain Management und Resilienz -- Risikomanagement als Basis für Resilienz in Supply Chains -- Aufbau … Jahren wesentlich dazu beigetragen, dass die Themen Resilienz und Risikomanagement weiter an Bedeutung gewinnen. Die … und Resilienz Risikomanagement als Basis für Resilienz in Supply Chains Aufbau von Resilienz Ein Blick in die Zukunft Der …

Persistent link: https://www.econbiz.de/10015330969

When It Rains, It Pours : Cyber Risk and Financial Conditions

Eisenbach, Thomas M.; Kovner, Anna; Lee, Michael Junho - 2022

We analyze how systemic cyber risk in the wholesale payments network relates to adverse financial conditions. We show that at the onset of the COVID-19 pandemic, payment activity increased, became more concentrated, and showed intraday liquidity stress. Cyber vulnerability was elevated in late...

Persistent link: https://www.econbiz.de/10013405104

Manufacturing Rescheduling after Crisis or Disaster-Caused Supply Chain Disruption

Bo, Hongguang; Chen, Xiao Alison - 2022

In this paper, we study the rescheduling problem of a two-tier supply chain after major supply disruptions. In our model, a service provider provides maintenance job requests to its customers. The replacement parts that are used in the maintenance requests are provided by a designated...

Persistent link: https://www.econbiz.de/10014087704

Will My Risk Parity Strategy Outperform?

Anderson, Robert M. - 2012

We gauge the return-generating potential of four investment strategies: value weighted, 60/40 fixed mix, unlevered and levered risk parity. We have three main findings. First, even over periods lasting decades, the start and end dates of a backtest can have a material effect on results; second,...

Persistent link: https://www.econbiz.de/10013104083

Higher-Moment Risk Exposures in Hedge Funds

Lambert, Marie - 2012

The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the...

Persistent link: https://www.econbiz.de/10013105638

Corporate Foreign Exchange Speculation and Integrated Risk Management

Aabo, Tom - 2012

Purpose – The purpose of this paper is to investigate how non-finance departmental involvement in the management of exchange rate risks impacts the extent of foreign exchange speculation in non-financial firms. Design/methodology/approach – We survey non-financial firms in a small open...

Persistent link: https://www.econbiz.de/10013105765

Agnostic Risk Parity : Taming Known and Unknown-Unknowns

Benichou, Raphael; Lemperiere, Yves; Sérié, Emmanuel; … - 2016

Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only, leading "Eigenrisk Parity" portfolios that achieve equal realized risk on all the principal...

Persistent link: https://www.econbiz.de/10014124619

Extending the Supply Chain Visibility Boundary : Utilizing Stakeholders for Identifying Supply Chain Sustainability Risks

Busse, Christian; Schleper, Martin; Weilenmann, Jenny; … - 2016

This article investigates how buying firms facing low supply chain visibility can utilize their stakeholder network to identify salient supply chain sustainability risks (SCSR). The study employs a design science approach to develop a procedural model for identifying SCSR as a new artifact. A...

Persistent link: https://www.econbiz.de/10014125373