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Risk measure inference
Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512
Persistent link: https://www.econbiz.de/10011893687
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A non-Gaussian approach to risk measures
Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; … - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 532-542
to different methodologies, by employing a bootstrap technique. …
Persistent link: https://www.econbiz.de/10010591258
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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
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Time-consistent decisions and temporal decomposition of coherent risk functionals
Pflug, Georg; Pichler, Alois - In: Mathematics of operations research 41 (2016) 2, pp. 682-699
Persistent link: https://www.econbiz.de/10011520518
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A representation of risk measures
Amarante, Massimiliano - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 95-103
Persistent link: https://www.econbiz.de/10011451666
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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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Risk and resilience-based optimal post-disruption restoration for critical infrastructures under uncertainty
Alkhaleel, Basem A.; Liao, Haitao; Sullivan, Kelly M. - In: European journal of operational research : EJOR 296 (2022) 1, pp. 174-202
Persistent link: https://www.econbiz.de/10012820155
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Quantification of risk in classical models of finance
Pichler, Alois; Schlotter, Ruben - In: Quantitative finance 22 (2022) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
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Dynamic hedging in incomplete markets using risk measures
Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10012798787
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Inverse optimization of convex risk functions
Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 67 (2021) 11, pp. 7113-7141
Persistent link: https://www.econbiz.de/10012703797