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Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

Robustness in the optimization of risk measures

Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110

Persistent link: https://www.econbiz.de/10012820643

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - In: Operations research 66 (2018) 4, pp. 936-949

Persistent link: https://www.econbiz.de/10011916624

Backtesting marginal expected shortfall and related systemic risk measures

Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754

Persistent link: https://www.econbiz.de/10012650157

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 (VaR)-aggregation of risks. In this article, we...

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

Modeling operational risk depending on covariates : an empirical investigation

Embrechts, Paul; Mizgier, Kamil J.; Chen, Xian - In: The journal of operational risk 13 (2018) 3, pp. 17-46

Persistent link: https://www.econbiz.de/10011962172

A Darwinian view on internal models

Embrechts, Paul - In: Journal of risk 20 (2017/2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011847418

Spanning tests for Markowitz stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of econometrics 217 (2020) 2, pp. 291-311

Persistent link: https://www.econbiz.de/10012482763

Asset allocation implications of illiquid assets

Berrada, Tony; Scaillet, Olivier; Zhang, Zhicheng - In: The journal of investing : JOI 31 (2022) 5, pp. 71-86

Persistent link: https://www.econbiz.de/10014231445

Is it alpha or beta? : decomposing hedge fund returns when models are misspecified

Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - In: Journal of financial economics 154 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015072088