In a repeated unobserved endowment economy in which agents negotiate long-term contracts with a financial intermediary, we study the implications of the interaction between incentive compatibility and participation constraints for risk sharing. In particular, we assume that after a default...

Marktpreisrisiken von industriellen Verbrauchsgütern oder, nach Gutenberg (1983) und Heinen (1992), Repetierfaktoren waren schon immer ein zentrales Thema in der wirtschaftswissenschaftlichen Diskussion. Eine zunehmende Intensität von Marktpreisrisiken, wie sie in den letzten Jahren beobachtet...

This article considers an economy where risk is insurable, but selection determines the pool of individuals who take it up. First, we demonstrate that the comparative statics of these economies do not necessarily depend on its marginal selection (adverse versus favorable), but rather other...

I show that risk-sharing pension plans can reduce some of the shortcomings of defined benefit and defined contributions plans. The risk-sharing pension plan presented aims to improve the stability of benefits paid to generations of members, while allowing them to enjoy the expected advantages of...

Central banks and supervisory authorities regularly conduct stress tests of banks. As losses accumulate in stress scenarios, banks' equity position worsens, and they must pay higher interest rates to retain funding. I explore how variations of Merton-type models can be used to measure bank risk,...

Sind Finanzinstitute wie Banken, welche sich auf Dienstleitungen im Wealth Management fokussieren, tatsächlich risikoaverser und deren Manager weniger risikoaffin (Bicker, 1996; Eichhorn, 1996; Bessis, 2015; Stulz, 2015)? Die vorliegende Dissertation versucht einen Einblick in den oft als undurchsichtig...

Using a specially designed experiment, we investigate whether and how interdependence in risk exposure i.e., risk taking by some members of a potential risk sharing group affecting not only their own but also their co-members risk exposure, affects both risk taking and ex post sharing. The...

This paper discusses obstacles faced in implementing SMS and uses concrete examples to show how to overcome them across all modes of transport (air, maritime, rail and road) in leading countries, particularly ITF member countries. The difficulties and problems in implementing SMS can originate...

In almost all cases, the transport industry has adopted safety management systems (SMS) in response to a regulatory initiative. SMS vary dramatically across transport modes and jurisdictions - often because of the influence of different legacy regulatory programmes, and the attendant cultures....

This discussion paper presents an introduction to safety management systems (SMS) as they apply to transportation organisations across modes and industries, and provides a broad overview of SMS and its processes, activities and tools. The discussion is grounded on conceptual foundations, but...

System resilience is the ability for complex, dynamic-adaptive socio-technical systems to absorb and rebound from trauma or stress, and to avoid "jousting with dragons" where results are uncertain and often fatal. In a safety context, the term "dragons" originates from Professor David Woods at...

Since every Safety Management System (SMS) is intended to provide a framework by which an organisation manages risk, it is inevitable that accident investigators will take a close interest. The good investigator will always want to understand how the SMS was intended to control risk and how this...

The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments. The...

Non-catastrophic weather risk is gaining importance as climate change becomes more pronounced and economic crisis forces companies to strengthen their cost control. Recent literature proposes weather derivatives as flexible weather risk mitigating tools. Only a handful of studies analysed the...

Purpose: This paper provides an important contribution towards the development of a valid, reliable and cost-effective instrument that reduces operational and economic risk levels in public sector organizations. Design/methodology/approach: A quantitative methodology based on the collection of...

Under Solvency II, corporate governance requirements are a complementary, but nonetheless essential, element to build a sound regulatory framework for insurance undertakings, also to address risks not specifically mitigated by the sole solvency capital requirements. After recalling the...

In Deutschland ist das Interesse an (neuen) Risikomanagementinstrumenten für die Landwirtschaft in letzter Zeit stark gestiegen. Vor diesem Hintergrund erfolgt in diesem Working Paper eine systematische Zusammenstellung und Bewertung ausgewählter Instrumente zum Risikomanagement in der...

We prove that the Omega measure, which considers all moments when assessing portfolio performance, is equivalent to the widely used Sharpe ratio under jointly elliptic distributions of returns. Portfolio optimization of the Sharpe ratio is then explored, with an active-set algorithm presented...

Value-at-Risk (VaR) is a well-accepted risk metric in modern quantitative risk management (QRM). The classical Monte Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and loss frequency. In practice, this assumption does not...

We examine the determinants of corporate speculation and challenge the extant, conflicting evidence. Separating risk management (reducing currency-specific FX exposure) from speculation (increasing or holding currency-specific FX exposure constant), we provide unprecedented evidence that...

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...

The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate ARCH,...

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at maturity or exercise. Global hedging methods in discrete...

We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts,...