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We show how to compute in a numerically efficient way the maximum risk of a portfolio, given uncertainty in the means and covariances of asset returns. This is a semidefinite programming problem, and ...
We explore how the interconnected nature of global finance affects corporate risk taking. We show that a common global factor known to be associated with fluctuations in cross-border...
We analyze theoretically banks choice of organization and leverage in branches or subsidiaries in the presence of economic and Önancial synergies, government bailouts and bankruptcy costs. We com...
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned ...
I investigate the effect of financial innovation on portfolio risks when traders have belief disagreements. I decompose traders’ average portfolio risks into two components: the uninsurable variance, ...
We explore the extent to which Önancial conditions áuctuate due to áuctuations in leverage, and thereby connect the recent literature on banking crises with the ìleverage e§ectîof Fisher Bla...
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are co...
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance, on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, nanced under a pay-as-you-go scheme. The paper, therefore...
This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to gr...
Continuous elimination of the acreage of orchards in Slovakia has a negative impact on the overall fruit production. Improvement of the conditions could be achieved by introducing new technological sy...
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is a large deviation ...

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