A distortion-type risk measure is constructed, which evaluates the risk of any uncertain position in the context of a portfolio that contains that position and a fixed background risk. The risk measure can also be used to assess the performance of individual risks within a portfolio, allowing for the portfolio’s re-balancing, an area where standard capital allocation methods fail. It is shown t...

I selectively survey several key strands of literature on financial risk measurement and management. I begin by showing why the need for financial risk measurement and management exists, and then I turn to relevant aspects of return distributions and volatility fluctuations, with implicit emphasis on market risk for equities. I then treat market risk for bonds, focusing on the yield curve, with...

The vast majority of approaches to risk management, hedging, or portfolio planning assume that some model is given. However, under model risk, the true data generating process is not known. The focus of this paper is on problems related to the hedging of derivative contracts. We explain the main general concepts, provide economic interpretations, and illustrate our arguments by simple and strai...

This paper features an application of Regular Vine copulas which are a novel and recently developed statistical and mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a popular tool in financial applications, but is usually applied to pairs of securities. By contrast, Vine copulas provide greater flexibility and permit the ...

This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking Supervision. In contrast to the standard market risk measure based on a 10-day value-at-risk calculated at 99% confidence, the IRC considers more extreme losses and i...

The issue of credit risk and deferred bank claims is one of the sensitive issues of banking industry, which can be considered as the main cause of bank failures. In recent years, the economic slowdown accompanied by inflation in Iran has led to an increase in deferred bank claims that could put the country's banking system in serious trouble. Accordingly, the current paper presents a prediction...

Introduction Radioactive materials naturally exist in the world. Indeed, approximately 82% of human-absorbed radiation doses, which are out of human control, arise from natural sources of radiation including cosmic, terrestrial, and exposure through inhalation or ingestion. Thus, the aim of the present study was to estimate health risk, as well as the effective and organ doses from naturally oc...

Given entrepreneurs’ special role in the economic growth and development, many developed and developing countries are attempting to motivate more number of people who have entrepreneurial characteristics towards entrepreneurship and entrepreneurial activities. The purpose of this research was to study the effectiveness of entrepreneurship training courses in Ilam Province, Iran. In this researc...

Risk is the major reason for the failure of software development projects. The risk measurement can provide the decision-making data for the risk management and control. The traditional risk measurement method usually assesses in terms of the occurrence probability and the loss of the risk factors, which usually are assessed by experts subjectively. Therefore, they are greatly influenced by art...