In the last few decades, risk managers have truly experienced a revolution. The rapid increase in the usage of risk management techniques has spread well beyond derivatives and is totally changing the way institutions approach their financial risk. In response to the financial disasters of the early 1990s a new method called VaR (Value at Risk) was developed as a simple method to quantify marke...

This paper analyzes the problem faced by a risk-averse firm considering how much to invest in a risky project. The firm receives a signal about the value of the project. We derive necessary and sufficient conditions on the signal distribution such that (i) the agent’s investment is nondecreasing in the realization of the signal, and (ii) different signals can be ranked according to their ex ant...

We consider the problem of selecting an appropriate distortion function and associated parameters to account for rare but catastrophic events that may result from a shortfall of military or security capabilities. Additionally, we describe the means by which a decision maker may allocate resources, subject to a finite budget constraint, while considering the impact of the risk of such shortfalls...

The authors present an alternative representation of risk measures originally defined in terms of expectations with respect to distorted probabilities. They also show that the right-tail, left-tail, and two-sided deviations/indices suggested by Wang (1998) can be represented in this alternative form. Empirical estimators for these quantities are proposed and their properties explored.

This paper studies comparative risk aversion between risk averse agents in the presence of a background risk. Although the literature covers this question extensively, our contribution differs from most of the literature in two respects. First, background risk does not need to be additive or multiplicative. Second, the two risks are not necessary mean independent, and may be conditional expecta...

In the last two decades, the failure of multiple engineering projects has highlighted the importance of adopting risk management practices. While risk identification and risk assessment have been widely studied in the literature, only few authors have proposed formal tools for helping project managers to evaluate the effectiveness of their risk response plan. While some risk response measures m...

Privacy risk assessments aim to analyze and quantify the privacy risks associated with new systems. As such, they are critically important in ensuring that adequate privacy protections for individual users are built in. However, current methods to quantify privacy risk rely heavily on experienced analysts who pick the"correct"risk level on a five-point scale. In this paper, we argue that a more...

Abstract: The prospect of China’s wind power industry is bright, but from the angle of investment, investment amount, operation and maintenance costs of wind power project are relatively high, at the same time, it is facing high policy risk and environment risk. Therefore, we should consider all kinds of risk factors to make appropriate risk management and control plan. Based on this, the paper...