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Chapter 17. Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2013
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …
Persistent link: https://www.econbiz.de/10014025361
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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FRM Financial Risk Meter
Althof, Michael - 2022
Persistent link: https://www.econbiz.de/10013390868
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Shortfall deviation risk : an alternative for risk measurement
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116
Persistent link: https://www.econbiz.de/10013177086
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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On the use of long-term risk measures as an approach to communicating risks
Ren, Jiandong - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 45-55
Persistent link: https://www.econbiz.de/10011410501
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Systemic risk : conditional distortion risk measures
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying - In: Insurance / Mathematics & economics 102 (2022), pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
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Ruin-based risk measures in discrete-time risk models
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; … - In: Insurance / Mathematics & economics 93 (2020), pp. 246-261
Persistent link: https://www.econbiz.de/10012294129
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From duration analysis to GARCH models : an approach to systematization of quantitative methods in risk measurement
Jajuga, Krzysztof - In: Economics and business review 2 (2016) 3, pp. 7-19
Persistent link: https://www.econbiz.de/10011634951
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Efficient option risk measurement with reduced model risk
Mitra, Sovan - In: Insurance / Mathematics & economics 72 (2017), pp. 163-174
Persistent link: https://www.econbiz.de/10011694422