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To be able to take effective and efficient decisions leading to transparent and comparable results between different risk situations, a consistent and systematic risk management process has to be followed (in this context called “integral risk management”) ...
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 ...
Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market por ...
Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market por ...
The academic research and education risk problem as well as the diversification of risk types have increased concurrently with research development. Moreover, academia induces important worsening factors affecting risk such as high turnover of collaborator ...
Due to the abundance of attractive services available on the cloud, people are placing an increasing amount of their data online on different cloud platforms. However, given the recent large-scale attacks on users data, privacy has become an important issu ...
We investigate routing policies for shortest path problems with uncertain arc lengths. The objective is to minimize a risk measure of the total travel time. We use the conditional value-at-risk (CVaR) for when the arc lengths (durations) have known distrib ...
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the ori ...
We review the use of behavior from television game shows to infer risk attitudes. These shows provide evidence when contestants are making decisions over very large stakes, and in a replicated, structured way. Inferences are generally confounded by the sub ...
A daily return reversal measure of liquidity is developed and estimated using a new comprehensive ultra-high frequency data set of foreign exchange rates during the financial crisis period of 2007--2008. The measure captures market participants' perception ...