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Millossovich, Pietro; Tsanakas, Andreas; Wang, Ruodu - In: European journal of operational research : EJOR 318 (2024) 3, pp. 851-866

Persistent link: https://www.econbiz.de/10015048176

Is mortality or interest rate the most important risk in annuity models? : a comparison of sensitivity analysis methods

Rabitti, Giovanni; Borgonovo, Emanuele - In: Insurance / Mathematics & economics 95 (2020), pp. 48-58

Persistent link: https://www.econbiz.de/10012419238

Reverse sensitivity testing : what does it take to break the model?

Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas - In: European journal of operational research : EJOR 274 (2019) 2, pp. 654-670

Persistent link: https://www.econbiz.de/10011990176

Stability advances in robust portfolio optimization under parallelepiped uncertainty

Kara, Güray; Özmen, Ayşe; Weber, Gerhard-Wilhelm - In: Central European journal of operations research : CEJOR … 27 (2019) 1, pp. 241-261

Persistent link: https://www.econbiz.de/10011965635

Theoretical sensitivity analysis for quantitative operational risk management

Kato, Takashi - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-23

Persistent link: https://www.econbiz.de/10011733962

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

Banking firm, equity and value at risk

Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...

Persistent link: https://www.econbiz.de/10009768157

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

Assessing Risk Assessment : Towards Alternative Risk Measures for Complex Financial Systems

Hoffmann, Christian Hugo - 2017

theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new … theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new …

Persistent link: https://www.econbiz.de/10012397671

Assessing risk assessment : towards alternative risk measures for complex financial systems

Hoffmann, Christian Hugo - 2017

Persistent link: https://www.econbiz.de/10011736979

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