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Vulnerability is estimated in terms of the effects that IEMI may induce to the services provided by the facility under study. We estimate the vulnerability by considering three variables: the likelihood, the risk, and the hardness. The different parameters ...
We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...
This article investigates the latest developments in longevity-risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of th ...
Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined wi ...
Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic ...
The investigation of self-reflective processing during adolescence is relevant, as this period is characterized by deep reorganization of the self-concept. It may be the case that an atypical development of brain regions underlying self-reflective processi ...
This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities. Furthermore, it is shown th ...
In this paper, we present a simulation-based investigation of the potential benefit of route-guidance information in the context of risk-sensitive travelers. We set up a simple two-route scenario where travelers are repeatedly faced with risky route-choice ...
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 ...
We propose a resource allocation model for project scheduling. Our model accommodates multiple resources and decision-dependent activity durations inspired by microeconomic theory. First, we elaborate a deterministic problem formulation. In a second stage, ...
