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Asset risk management of participating contracts

Bernard, Carole; Le Courtois, Olivier - In: Asia-Pacific journal of risk and insurance : APJRI 6 (2012) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10010126513

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

Persistent link: https://www.econbiz.de/10010258580

A new approach to assessing model risk in high dimensions

Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178

Persistent link: https://www.econbiz.de/10011543968

Risk spillover between the GIPSI economies and Egypt, Saudi Arabia, and Turkey

Kumar, Dilip - In: Emerging markets finance & trade : a journal of the … 51 (2015) 6, pp. 1193-1208

Persistent link: https://www.econbiz.de/10011561247

Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator

Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48

Persistent link: https://www.econbiz.de/10012667394

Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator

Kumar, Dilip - In: Journal of quantitative economics 18 (2020) 3, pp. 587-610

Persistent link: https://www.econbiz.de/10012418856

Range value-at-risk bounds for unimodal distributions under partial information

Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24

Persistent link: https://www.econbiz.de/10012419085

Optimal risk-sharing across a network of insurance companies

Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; … - In: Insurance / Mathematics & economics 95 (2020), pp. 39-47

Persistent link: https://www.econbiz.de/10012419227

Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

Kumar, Dilip; Maheswaran, Srinivasan - In: Studies in economics and finance 34 (2017) 4, pp. 506-526

Persistent link: https://www.econbiz.de/10011961097

Risk bounds for factor models

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659

Persistent link: https://www.econbiz.de/10011944414