It has been a stressful time for ultra-high-net-worth families since the beginning of the new
millennium. In addition to recent widespread vilification of the wealthy, they, like other investors…

The new BIS 1998 capital requirements for market risks allows banks to use internal models
to assess regulatory capital related to both general market risk and credit risk for their …

… We also observe that the shares of high G-‐score companies outperform … G-‐score portfolios.
… We find that the high-‐score portfolios for ESG, S and G perform consistently better than …

This paper examines hedging behavior in an incomplete market in which there exists an
unhedgeable and uninsurable independent background risk. In the case of a basis risk that …

… Financial support was received from CNRS by Michel Crouhy, and from the Krueger Center
… liquidity ratio /I, the lower is a for a given g, or the lower is g for a given a. It is clear that when …

… We refer to G as the economic capital of the firm. To finance the investment, the firm raises
IG À g in cash by issuing zerocoupon debt and additional equity. After undertaking the …

This paper develops a general model for equity volatility when the firm is financed by equity,
debt and any other financial instruments like warrants and convertible bonds. The stochastic …

We propose a general framework to model equity volatility for a firm financed by equity and
additional non-equity sources of funds. The stochastic nature of equity volatility is …

Encompassing a very broad family of ARCH-GARCH models, we show that the AT-GARCH (1,1)
model, where volatility rises more in response to bad newsthan to good news, and …

Asian options are path-dependent options whose payoff is based on an average. In some
cases, the underlying asset of the option is an average; in others, the strike price itself is …