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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

Risk management with weighted VaR

Wei, Pengyu - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1020-1060

Persistent link: https://www.econbiz.de/10011969073

Shortfall risk through Fenchel duality

Cui, Zhenyu; Deng, Jun - In: International journal of financial engineering 5 (2018) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10011923010

An axiomatic foundation for the expected shortfall

Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429

Persistent link: https://www.econbiz.de/10012505987

FRM Financial Risk Meter

Althof, Michael - 2022

Persistent link: https://www.econbiz.de/10013390868

Period value at risk and its estimation by Monte Carlo simulation

Huo, Yanli; Xu, Chunhui; Shiina, Takayuki - In: Applied economics letters 29 (2022) 18, pp. 1675-1679

Persistent link: https://www.econbiz.de/10013412280

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

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …

Persistent link: https://www.econbiz.de/10010399734

Single-commodity versus joint hedging in cattle feeding cycle : Is Joint hedging always essential?

Fei, Chengcheng J.; Vedenov, Dmitry V.; Stevens, Reid B.; … - In: Journal of agricultural and resource economics : JARE ; … 46 (2021) 3, pp. 464-478

Persistent link: https://www.econbiz.de/10012672289

Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation

Pradhan, Ashis Kumar; Mittal, Ishan; Tiwari, Aviral Kumar - In: Macroeconomics and finance in emerging market economies 14 (2021) 3, pp. 291-307

Persistent link: https://www.econbiz.de/10012649582

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