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The gradient allocation principle based on the higher moment risk measure

Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013530990

Hazard stocks and expected returns

DeLisle, R. Jared; Ferguson, Michael F.; Kassa, Haimanot; … - In: Journal of banking & finance 125 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012819764

Is idiosyncratic volatility related to returns?evidence from a subset of firms with quality idiosyncratic volatility estimates

Bergbrant, Mikael; Kassa, Haimanot - In: Journal of banking & finance 127 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012821006

Gambling preferences and stock price crash risk : Evidence from China

Ji, Qiong; Quan, Xiaofeng; Yin, Hongying; Yuan, Qingbo - In: Journal of banking & finance 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012821652

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs …). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk …

Persistent link: https://www.econbiz.de/10010338097

Publishing risks

Steffensen, Mogens - In: Risks : open access journal 2 (2014) 1, pp. 1-2

"What is complicated is not necessarily insightful and what is insightful is not necessarily complicated: Risks welcomes simple manuscripts that contribute with insight, outlook, understanding and overview"-a quote from the first editorial of this journal [1]. Good articles are not characterized...

Persistent link: https://www.econbiz.de/10010338107

Ruin time and severity for a Lévy subordinator claim process : a simple approach

Lefevre, Claude; Picard, Philippe - In: Risks : open access journal 1 (2013) 3, pp. 192-212

This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process …. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a …

Persistent link: https://www.econbiz.de/10010338318

Impact of climate change on heat wave risk

Biard, Romain; Blanchet-Scalliet, Christophette; … - In: Risks : open access journal 1 (2013) 3, pp. 176-191

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk … useful for measuring the potential impact of climate change on heat wave risk. Numerical illustrations are given. …

Persistent link: https://www.econbiz.de/10010338320

A risk model with an observer in a Markov environment

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Risks : open access journal 1 (2013) 3, pp. 148-161

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment …

Persistent link: https://www.econbiz.de/10010338338

Optimal deterministic investment strategies for insurers

Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to … with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …

Persistent link: https://www.econbiz.de/10010199019