Bank Risk Governance
Outsiders in #bank#boards improve #riskgovernance (decrease #risktaking, increase #riskmonitoring) for #regulatory#riskmeasures but...
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Rechercher
16 mars 2023
Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty
This paper explores the optimal #reinsurance design for an #insurer with multiple lines of business, where the dependence structure...
16 mars 2023
An axiomatic approach to default risk and model uncertainty in rating systems
"We discuss different properties and representations of default #riskmeasures via monetary risk measures, families of related #tailrisk...
15 mars 2023
Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting Tail Risks of Monthly Us GDP
This paper proposes a novel mixed-frequency quantile vector autoregression (MF-QVAR) model that uses a #bayesian framework and...
10 mars 2023
Capital Allocation Rules and Generalized Collapse to the Mean
"In the [#riskmanagement] context of #capitalallocation principles for (not necessarily coherent) #riskmeasures, we derive - under mild...
30 nov. 2022
Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
" In this paper, we use stochastic algorithms schemes in estimating MSRM [market data based systemic risk measure] and prove that the...
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...
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