Concept

Financial risk

Related publications (331)

Non-myopic betas

An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...

2018

Model Uncertainty And Scenario Aggregation

Damir Filipovic, Mathieu Jacques David Cambou

This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence minimization from a reference probability measure subject to scenario constraints. An example from regulatory practice motivates the defi ...

Wiley-Blackwell2017

Abnormal creatine transport of mutations in monocarboxylate transporter 12 (MCT12) found in patients with age-related cataract can be partially rescued by exogenous chaperone CD147

Membrane transporters influence biological functions in the ocular lens. Here, we investigate the monocarboxylate transporter 12 (MCT12), also called creatine transporter 2 (CRT2), which is found in the ocular lens and is involved in cataract. As the age-r ...

Oxford Univ Press2017

Robust Bounds In Multivariate Extremes

Sebastian Engelke

Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is crucial and it is ...

Institute of Mathematical Statistics2017

Debt enforcement, investment, and risk taking across countries

Erwan Morellec, Philip Valta

We argue that the prospect of an imperfect enforcement of debt contracts in default reduces shareholder-debtholder conflicts and induces leveraged firms to invest more and take on less risk as they approach financial distress. To test these predictions, we ...

2017

Stability against backward balance loss: Age-related modifications following slip-like perturbations of multiple amplitudes

Silvestro Micera

Falls are one of the most serious problems in the elderly. Although previous studies clearly link the increased risk of falls with ageing, the mechanisms responsible for the modifications of reactive motor behaviours in response to external perturbations a ...

Elsevier Ireland Ltd2017

Introduction to the IRGC Risk Governance Framework

Marie-Valentine Renée Agnès Florin, Marcel Thomas Bürkler

The IRGC Framework recommends a holistic, multidisciplinary and multistakeholder approach to risk. It supports processes that aim to provide and structure scientific evidence about a risk in a societal context. It helps decision-makers analyse the major am ...

EPFL2017

Acute stress alters individual risk taking in a time-dependent manner and leads to anti-social risk

Maria del Carmen Sandi Perez, Samuel Bendahan, Fiona Hollis, Leyla Loued-Khenissi, John Christian Thoresen, Lorenz Goette

Decision-making processes can be modulated by stress, and the time elapsed from stress induction seems to be a crucial factor in determining the direction of the effects. Although current approaches consider the ﬁrst post-stress hour a uniform period, the ...

2017

Pesticides drive risk of micropollutants in wastewater-impacted streams during low flow conditions

Juliane Hollender

Micropollutants enter surface waters through various pathways, of which wastewater treatment plants (WWTPs) are a major source. The large diversity of micropollutants and their many modes of toxic action pose a challenge for assessing environmental risks. ...

Pergamon-Elsevier Science Ltd2017

MATHICSE Technical Report : Multilevel Monte Carlo approximation of functions

Fabio Nobile, Sebastian Krumscheid

Many applications across sciences and technologies require a careful quantification of non-deterministic effects to a system output, for example when evaluating the system's reliability or when gearing it towards more robust operation conditions. At the he ...

MATHICSE2017

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