Showing 1 - 10 of 102
We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. We prove that convex, entropy convex and entropy coherent measures of risk emerge as certainty equivalents under variational, homothetic and multiple priors preferences,...
Persistent link: https://www.econbiz.de/10011091991
Coherent risk measures have received considerable attention in the recent literature.Coherent regular risk measures form an important subclass: they are empirically identifiable, and, when combined with mean return, they are consistent with second order stochastic dominance.As a consequence,...
Persistent link: https://www.econbiz.de/10011090450
In this paper we study portfolios that investors hold to hedge economic risks.Using a model of state-dependent utility, we show that agents economic hedging portfolios can be obtained by an intuitively appealing, risk aversion-weighted approximate replication of the economic risk variables using...
Persistent link: https://www.econbiz.de/10011091561
Integrated financial markets provide opportunities for expansion and improved risk sharing, but also pose threats of contagion risk through cross-border exposures. This paper examines cross-border contagion risk over the period 1999-2006. To that purpose we use aggregate cross-border exposures...
Persistent link: https://www.econbiz.de/10011090344
Abstract: Banking systems are fragile not only within one country but also within and across regions. We study the role of regional banking system characteristics for regional banking system fragility. We find that regional banking system fragility reduces when banks in the region jointly hold...
Persistent link: https://www.econbiz.de/10011092510
Persistent link: https://www.econbiz.de/10011092812
In the context of extreme climate change, we ask how to conduct expected utility analysis in the presence of catastrophic risks. Economists typically model decision making under risk and uncertainty by expected util- ity with constant relative risk aversion (power utility); statisticians typi-...
Persistent link: https://www.econbiz.de/10011092823
Persistent link: https://www.econbiz.de/10011092830
This paper considers an investment timing problem in a duopoly framework. The results of the seminal contribution by Fudenberg en Tirole (1985, RES) are extended by introduction of uncertainty. Three scenarios are identified. In the first scenario we have a preemption equilibrium with dispersed...
Persistent link: https://www.econbiz.de/10011092843
Persistent link: https://www.econbiz.de/10011092917