Innovations in Quantitative Risk Management

Quantitative Finance; Game Theory, Economics, Social and Behav. Sciences; Finance/Investment/Banking; Actuarial Science

Innovations in Quantitative Risk Management

Quantitative Finance; Game Theory, Economics, Social and Behav. Sciences; Finance/Investment/Banking; Actuarial Science

Fiancial Innovation, Structuring and Risk Transfer

These lecture notes are about financial innovations. We ask why are there some innovation and how is an innovative idea realized. This forces us to consider practical and structural aspects (regulations, taxation, markets) as key drivers of innovations and also basic formal aspects in valuation. Contents: Overview: Taxes and Regulation, Technology, Who Innovates, Life Cycle, Pricing and Hedging Discount Factors and No Arbitrage Investment: Rule Bases, Alpha, Beta, View and Trade, Fund Industry, Portfolio Theory Swaps and Financial Markets: IRS, TRS, ALM, ISDA Retail Structured Products Real Estate Asset Class, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricin

Risks

This book is a collection of feature articles published in Risks in 2020. They were all written by experts in their respective fields. In these articles, they all develop and present new aspects and insights that can help us to understand and cope with the different and ever-changing aspects of risks. In some of the feature articles the probabilistic risk modeling is the central focus, whereas impact and innovation, in the context of financial economics and actuarial science, is somewhat retained and left for future research. In other articles it is the other way around. Ideas and perceptions in financial markets are the driving force of the research but they do not necessarily rely on innovation in the underlying risk models. Together, they are state-of-the-art, expert-led, up-to-date contributions, demonstrating what Risks is and what Risks has to offer: articles that focus on the central aspects of insurance and financial risk management, that detail progress and paths of further development in understanding and dealing with...risks. Asking the same type of questions (which risk allocation and mitigation should be provided, and why?) creates value from three different perspectives: the normative perspective of market regulator; the existential perspective of the financial institution; the phenomenological perspective of the individual consumer or policy holder

Fiancial Innovation, Structuring and Risk Transfer

These lecture notes are about financial innovations. We ask why are there some innovation and how is an innovative idea realized. This forces us to consider practical and structural aspects (regulations, taxation, markets) as key drivers of innovations and also basic formal aspects in valuation. Contents: Overview: Taxes and Regulation, Technology, Who Innovates, Life Cycle, Pricing and Hedging Discount Factors and No Arbitrage Investment: Rule Bases, Alpha, Beta, View and Trade, Fund Industry, Portfolio Theory Swaps and Financial Markets: IRS, TRS, ALM, ISDA Retail Structured Products Real Estate Asset Class, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricin

Robust Risk Management in the Context of Solvency II Regulations

We start by defining the general notions of “risk” and “uncertainty” and by discussing the risk management process, in particular in a financial and insurance context. We see that robustness can be derived as a necessary property of risk management procedures from these definitions. In practice, however, regulatory requirements are of highest importance to insurance companies. Therefore, we discuss the upcoming Solvency II regulations for the European insurance industry. Again, we focus on their implications for the use of robust quantitative methods in financial risk management. Next, we consider the ingredients that we need for a robust quantitative risk management process. The first element are probability distances. We discuss definitions, properties, and examples, the main one being the Wasserstein metric. Probability distances are a prerequisite for obtaining many of the results in robust statistics. Before applying the robustness results, we discuss axiomatic approaches for risk measures, on probability spaces as well as on data. Finally, we combine all ingredients into the risk management procedure. Additionally, we discuss several—in particular simulation-based—approaches for the computation of the Solvency II capital requirement and set up a mathematical framework for the introduction of a new algorithm. We conduct an empirical study of its performance

Influencia de las características individuales del liderazgo franquiciador sobre las decisiones organizativas de Responsabilidad Social Corporativa (RSC) y riesgo de las cadenas de franquicias españolas

[ES] Esta tesis está compuesta por tres estudios empíricos que tratan sobre el impacto de las decisiones del liderazgo franquiciador en las estrategias organizativas de las cadenas de franquicias españolas relacionadas con la Responsabilidad Social Corporativa (RSC) y el riesgo organizacional. La tesis contribuye al campo de management en franquicia al construirse sobre el marco de la gestión de la cadena de suministro y encuadrarse en el área de estudio de la relación estratégica. Se emplean varios enfoques teóricos para la construcción conceptual de los marcos de cada investigación, que incluyen, literatura sobre franquicia, género, sectores B2B-B2C, generación y RSC, enfoques de stewardship, teoría de la identidad social, teoría de la categorización social, teoría de la escasez de recursos y teoría de la agencia. Como resultado, esta tesis contribuye de forma específica, al campo del business ethics, negocios y sociedad, liderazgo responsable, management, strategic management, franquicia, género y economía organizativa. El Capítulo I presenta un Meta Estudio de la Franquicia que permite justificar la importancia del análisis de este modelo de negocio, construir un marco teórico en base a las concepciones teóricas y empíricas previamente establecidas y diseñar el plan de investigación teórico y metodológico correspondiente a los objetivos y propósitos de investigación. El Capítulo II explora las diferencias en las prácticas de RSC en función del género del líder y el sector de la industria. El Capítulo III analiza las diferencias en las prácticas de RSC en función del género del líder y la generación de liderazgo. El Capítulo IV estudia las diferencias de género en las elecciones reales de riesgo representadas por la tasa de descontinuación de las franquicias y explora los entornos organizativos en los que estas diferencias de género no ocurren. Al final de los capítulos se presentan las principales conclusiones derivadas de los tres estudios empíricos. Finalmente, en los apéndices se muestra toda la información y datos de interés relacionados con el contexto de la franquicia y citados en la parte inicial del Meta Estudio de la Franquicia. [EN] This thesis is made up of three empirical studies that deal with the impact of franchisor leadership decisions on the organizational strategies of Spanish franchise chains related to Corporate Social Responsibility (CSR) and organizational risk. The thesis is built contributes to the field of franchise management by building on the framework of supply chain management and fitting into the area of study of the strategic relationship. Various theoretical approaches are used for the conceptual construction of the frameworks of each research, including, literature on franchise, gender, B2B-B2C sectors, generation and CSR, stewardship approaches, social identity theory, social categorization theory, resource scarcity theory and agency theory. As a result, this thesis contributes specifically to the field of business ethics, business and society, responsible leadership, management, strategic management, franchising, gender and organizational economics. Chapter I presents a Meta-Study of the Franchise that allows justifying the importance of the analysis of this business model, building a theoretical framework based on previously established theoretical and empirical conceptions, and designing the theoretical and methodological research plan corresponding to the objectives. and research purposes. Chapter II explores the differences in CSR practices based on the gender of the leader and the industry sector. Chapter III analyses the differences in CSR practices based on the gender of the leader and the generation of leadership. Chapter IV studies gender differences in actual risk choices represented by the franchise churn rate and explores organizational settings in which these gender differences do not occur. At the end of the chapters, the main conclusions derived from the three empirical studies are presented. Finally, the appendices show all the information and data of interest related to the context of the franchise and cited in the initial part of the Franchise Meta Study

Manager’s and citizen’s perspective of positive and negative risks for small probabilities

So far „risk‟ has been mostly defined as the expected value of a loss, mathematically PL, being P the probability of an adverse event and L the loss incurred as a consequence of the event. The so called risk matrix is based on this definition. Also for favorable events one usually refers to the expected gain PG, being G the gain incurred as a consequence of the positive event. These “measures” are generally violated in practice. The case of insurances (on the side of losses, negative risk) and the case of lotteries (on the side of gains, positive risk) are the most obvious. In these cases a single person is available to pay a higher price than that stated by the mathematical expected value, according to (more or less theoretically justified) measures. The higher the risk, the higher the unfair accepted price. The definition of risk as expected value is justified in a long term “manager‟s” perspective, in which it is conceivable to distribute the effects of an adverse event on a large number of subjects or a large number of recurrences. In other words, this definition is mostly justified on frequentist terms. Moreover, according to this definition, in two extreme situations (high-probability/low-consequence and low-probability/high-consequence), the estimated risk is low. This logic is against the principles of sustainability and continuous improvement, which should impose instead both a continuous search for lower probabilities of adverse events (higher and higher reliability) and a continuous search for lower impact of adverse events (in accordance with the fail-safe principle). In this work a different definition of risk is proposed, which stems from the idea of safeguard: (1Risk)=(1P)(1L). According to this definition, the risk levels can be considered low only when both the probability of the adverse event and the loss are small. Such perspective, in which the calculation of safeguard is privileged to the calculation of risk, would possibly avoid exposing the Society to catastrophic consequences, sometimes due to wrong or oversimplified use of probabilistic models. Therefore, it can be seen as the citizen‟s perspective to the definition of risk

Can we break the addiction to fossil energy? : Proceedings of the 7th Biennial International Workshop Advances in Energy Studies

Sponsored by Obra Social "la Caixa", Norwegian Ministry of Petroleum and Energy, Universitat Autònoma de Barcelona and LIPHE4 Scientific Association, Generalitat de Catalunya.From 1998 onwards, every other two years, the Biennial International Workshop "Advances in Energy Studies" (BIWAES) gathers experts in what can be called energy analysis to present and discuss advances, innovations and visions in energy and energy-related environmental and socioeconomic issues and models. Renowned energy experts and ecologists, such as H.T. Odum, James Kay, Charles Hall, Tim Allen, Vaclav Smil, Robert Herendeen, Jan Szargut, Joseph Tainter and Robert Ulanowicz among others, have discussed at the BIWAES the importance of energy in our society and ecosystems and the ways to better analyze and model their complex relationships. Previous editions of BIWAES have focused on energy flows in ecology and economy; analysis of the supply side; the ecological consequences of energy sources exploitation; and the role of renewable energy sources and new energy carriers. The present Book of Proceedings refers to the seventh Edition, which took place in the month of October 2010 in Barcelona and addressed society's addiction to fossil energy