Risks, Volume 10, Issue 8

Crediting represents one of the biggest risks faced by the banking sector, and especially by commercial banks. In the literature, there have been a number of studies concerning credit risk management, often involving credit scoring systems making use...

Early investors possess unique sets of decision-making characteristics. They are more open to experience and eager to face risks. However, to the best of the authors’ knowledge, the discussions of nascent investors upon making the investment de...

We propose several numerical algorithms to compute the distribution of gross loss in a positively dependent catastrophe insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula familie...

This article presents a systematic review of the theoretical and empirical literature on option grants and managerial risk taking. One of the objectives is the motivation of further research on the topic. Risk-averse managers hold less diversified po...

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its...