Results 11 to 20 of about 1,955,764 (99)
Mathematical Finance, 2019 AbstractWe provide sharp analytical upper and lower bounds for value‐at‐risk (VaR) and sharp bounds for expected shortfall (ES) of portfolios of any dimension subject to default risk. To do so, the main methodological contribution of the paper consists in analytically finding the convex hull generators for the class of exchangeable Bernoulli variables ...
Patrizia Semeraro +3 more
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Risk Aversion and the Value of Risk to Life [PDF]
SSRN Electronic Journal, 2004 AbstractThe standard literature on the value of life relies on Yaari’s (1965) model, which includes an implicit assumption of risk neutrality with respect to life duration. To overpass this limitation, we extend the theory to a simple variety of preferences that are not necessarily additively separable.
Villeneuve, Bertrand, Bommier, Antoine
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International Journal of Theoretical and Applied Finance, 2010 I show that the structure of the firm is not neutral with respect to regulatory capital budgeted under rules which are based on the Value-at-Risk. Indeed, when a holding company has the liberty to divide its risk into as many subsidiaries as needed, and when the subsidiaries are subject to capital requirements according to the Value-at-Risk budgeting ...
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Risks and Risk Management in Agriculture
Zeszyty Naukowe SGGW w Warszawie - Problemy Rolnictwa Światowego, 2013 Agriculture has always been exposed to a wide spectrum of risks. But it is largely undisputed that farmers have faced growing risks in recent years. More volatile agricultural and input prices, climate change, ongoing discussions about the future of the Common Agricultural Policy, increasing difficulty in finding qualified farm workers, and growing ...
Theuvsen, Ludwig, Theuvsen, Ludwig
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Sovereign Risk and Bank Risk-Taking [PDF]
SSRN Electronic Journal, 2016 In European countries recently hit by a sovereign debt crisis, banks have sharply raised their holdings of domestic sovereign debt, reduced credit to forms, and faced rising financing costs, raising concerns about economic and financial resilience. This paper develops a general equilibrium model with optimizing banks and depositors to account for these
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The Relative Fire-Risk of Oil and Air-Blast Transformers [PDF]
, 1904 Elmer Rice
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Evaluation and preparation of the poor-risk patient with cancer for major surgery [PDF]
, 1954 John S. LaDue, Felix Wróblewski
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The frequency and risk of metastases in squamous-cell carcinoma of the skin [PDF]
, 1957 Alfred D. Katz +2 more
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The Advantages of Combining Local Infiltration Anesthesia with Controlled Fractional Spinal Anesthesia in Substandard Surgical Risks [PDF]
, 1942 Walter Estell Lee, Jonathan E. Rhoads
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