We propose that integrated management of construction risk and stakeholder is feasible and
can promote the effectiveness of both risk management (RM) and stakeholder management …

For years, bank management has relied on mathematical, statistical and financial models,
which increasingly expose banks to model risk. The latter is also extended by the …

This paper evaluates the model risk of models used for forecasting systemic and market risk.
Model risk, which is the potential for different models to provide inconsistent outcomes, is …

The experience from the global financial crisis has raised serious concerns about the
accuracy of standard risk measures as tools for the quantification of extreme downward …

We propose a new family of risk measures, called GlueVaR, within the class of distortion risk
measures. Analytical closed‐form expressions are shown for the most frequently used …

Abstract Model risk has a huge impact on any risk measurement procedure and its
quantification is therefore a crucial step. In this paper, we introduce three quantitative …

In global supply chains, high uncertainty coming from liner shipping forces manufacturers
who commit to on-time delivery to face great losses from tardiness or earliness. To find a …

A central problem for regulators and risk managers concerns the risk assessment of an
aggregate portfolio defined as the sum of d individual dependent risks X i. This problem is …

The Basel III post-crisis reforms target the application of internal credit risk models for the
estimation of the risk weighted assets of banks due to concerns about model risk. We use a …

This paper analyzes the robustness of standard risk analysis techniques, with a special
emphasis on the specifications in Basel III. We focus on the difference between Value–at …