We propose a procedure to take model risk into account in the computation of capital reserves. This addresses the need to make the allocation of capital reserves to positions in given markets dependent on the extent to which reliable models are available. The proposed procedure can be used in combination with any of the standard risk measures, such as Value-at-Risk and expected shortfall. We as...

This paper proposes differentiability properties for positively homogeneous risk measures which ensure that the gradient can be applied for reasonable risk capital allocation on non-trivial portfolios. It is shown that these properties are fulfilled for a wide class of coherent risk measures based on the mean and the one-sided moments of a risky payoff. In contrast to quantile-based risk measur...

We develop a theory linking “misallocation,” i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion MPK depends on (i) heterogeneity firm-level risk and (ii) the magnitude premia. Stock market-based measures imply that considerations explain about 25% among US firms rationalize large persistent component MPK, consistent with micro-level data. Time-varying prem...

The efficiency of three statistical models, AHP surface-weighted density bivariate (semi-quantitative models), stepwise multivariate regression and logistic multivariate regression models were compared in Chehel-Chai watershed in Golestan province, Iran. In current study the hazard map was prepared according to the top model of landslide hazard map. Chehel-Chai watershed is located as one of Go...

Developing a pipeline risk assessment tool in the upstream oil and gas industry can be a difficult process. Regardless of the intent (integrity management, resource allocation, compliance etc.), challenges in the form of resource limitations and data constraints need to be overcome to develop a functional risk assessment tool. This paper describes Talisman Energy’s experience in developing an i...

Nanoparticles (NPs) are a heterogeneous group of materials that have various applications, and their risk assessment is an essential condition. This study aimed to review the applicable risk assessment methods in occupational and environmental exposures to NPs. A literature search for articles published since 2005 in Web of Knowledge, Scopus, PubMed, Science Direct, and Google Scholar, using ap...

The asset allocation is a crucial decision for pension funds, and this paper analyses the economic factors which determine this choice. The analysis proceeds on the basis that, in the absence of taxation, risk sharing and default insurance, the asset allocation between equities and bonds is indeterminate and governed by the risk-return preferences of the trustees and the employer. If the employ...