185 résultats
pour « riskmanagement »
"We demonstrate the use of this risk measure for describing the tail risks in financial markets as well as the risks associated with natural hazards (earthquakes, tsunamis, and excessive rainfall)."
"This model allows to be more conservative regarding extreme events while keeping tractability. We give a method based on Conditional Least Squares to estimate the parameters on daily data and estimate our model on eight major European cities... This new model allows to better assess the risk related to temperature volatility."
"The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and premia calculation under uncertainty."
"Quasi-convexity in probabilistic mixtures is a common and useful property in decision analysis. We study a general class of non-monotone mappings, called the generalized rank-dependent functions, which include the preference models of expected utilities, dual utilities, and rank-dependent utilities as special cases, as well as signed Choquet integrals used in risk management."
"... the appointment of a female risk officer is not sufficient to reduce risk-taking by banks."
"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and supervision."
"The higher the degree of loss aversion, the lower is the likelihood to invest in other risk management activities is when self-protection is implemented. Our results help to explain the lack of demand for catastrophe insurance or cyber risk insurance and have important implications for corporate risk management and public policy."
"This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk."
"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and supervision."
"We argue that simply pooling data across banks treats banks equally but is subject to two deficiencies: it may distort the impact of legitimate portfolio features, and it is vulnerable to implicit misdirection of legitimate information to infer bank identity. We compare various notions of regression fairness to address these deficiencies, considering both forecast accuracy and equal treatment. In the setting of linear models, we argue for estimating and then discarding centered bank fixed effects as preferable to simply ignoring differences across banks."