A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
" The aim is to come up with a convex risk functional that incorporates a sefety margin with respect to nonparametric uncertainty and...
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Rechercher
26 oct. 2022
Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
"We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE)...
17 oct. 2022
Mapping the Literature of Internal Auditing in Europe
" The study focused on evaluating and analysing the characteristics of literature and the themes investigated with a focus on four key...
11 oct. 2022
Multivariate Poisson Model Adjusting for Unidirectional Covariate Misrepresentation
"Insurance fraud has been a long-lasting issue in actuarial modeling. Policyholders are prone to hide their true status in their best...
22 sept. 2022
Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector
"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and...
21 sept. 2022
The Tensions of Cyber-Resilience: From Sensemaking to Practice
"We apply Weick’s (1995) sensemaking framework to examine four foundational tensions of cyber-resilience: a definitional tension, an...
16 sept. 2022
Measuring Tail Risks
"We demonstrate the use of this risk measure for describing the tail risks in financial markets as well as the risks associated with...
14 sept. 2022
A stochastic volatility model for the valuation of temperature derivatives
"This model allows to be more conservative regarding extreme events while keeping tractability. We give a method based on Conditional...
13 sept. 2022
Convex Risk Measures for the Aggregation of Multiple Information and Applications in Insurance
"The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and...
9 sept. 2022
Quasi-convexity in mixtures for generalized rank-dependent functions
"Quasi-convexity in probabilistic mixtures is a common and useful property in decision analysis. We study a general class of non-monotone...
8 sept. 2022
Female Chief Risk Officers (Cros) and Risk-Taking in Banks
"... the appointment of a female risk officer is not sufficient to reduce risk-taking by banks." LIRE
7 sept. 2022
Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector
"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and...
2 sept. 2022
Loss Aversion Leads to Fatalistic Management of Interdependent Risk
"The higher the degree of loss aversion, the lower is the likelihood to invest in other risk management activities is when...
17 août 2022
Quasi-Logconvex Measures of Risk
"This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the...
5 août 2022
Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector
"Our findings offer new evidence on how economic shocks transmit to banking industry losses with implications for risk management and...
28 juil. 2022
Should Bank Stress Tests Be Fair?
"We argue that simply pooling data across banks treats banks equally but is subject to two deficiencies: it may distort the impact of...
26 juil. 2022
What Drives Bank-Specific Capital Requirements? Evidence from the Ssm
"Drawing on recently disclosed information on the Pillar 2 capital requirements of banks directly supervised by the ECB, we find that...
19 juil. 2022
Managing the Cybersecurity Risks of Teleworking in the Post-Pandemic 'New Normal'
"... the security risks of teleworking are considered. Interviews were conducted with a number of industry professionals and specialist...
15 juil. 2022
Strategy and Business Models in Retail Banking: Why They Also Matter to Supervisors
"Retail banking is a distinct part of the banking industry. It has been undergoing important changes in recent decades mainly due to...
13 juil. 2022
The Road Less Travelled: Keynes and Knight on Probability and Uncertainty
"The possibilities of a Keynesian-Knightian synthesis as a way forward are considered by comparing these signposts. It is argued that,...
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