This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting. For ...

The "full information" approach to risk measurement imposes only time stationarity assumptions on covariance matrix estimators and can result in sample matrices of full rank. Hilliard and Jordan (1989 ...

We compute similarity measures of risk factor disclosures in 10-K and 10-Q filings. We use these to estimate the covariance matrix of stock returns via regressions. Our estimators outperform purely ...

It is argued that the traditional approach based on a risk matrix is suitable only for single failure modes/scenarios. In the case of multiple failure modes (scenarios), the individual risks should be ...

Table 3. The 5x5 Risk Matrix Practical Application Example Consider the paint spray booth hazard from Table 1: Probability Assessment: Frequency of painting operations: Daily Historical incidents ...

"The new Bribery Risk Typology presents practical context helpful for interpreting TRACE Matrix scores," Wrage said. "For example, fragile states with autocratic regimes can be expected to present ...

Applying these translations to the risk matrix allows the explanation of observations of risk point placement biases. Industry-generated risk matrix data reveals evidence of biases in the judgment of ...