Showing 1 - 10 of 122
The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed...
Persistent link: https://www.econbiz.de/10010899719
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results enable to quantify the impact of fire sales on the covariance structure of asset returns and provide a quantitative explanation for...
Persistent link: https://www.econbiz.de/10010548433
small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation …
Persistent link: https://www.econbiz.de/10010618170
the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston … are analyzed in practice but not in theory. The resulting approximations allow a study of the parameters influence and can …
Persistent link: https://www.econbiz.de/10008793719
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …
Persistent link: https://www.econbiz.de/10010821003
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …
Persistent link: https://www.econbiz.de/10010899196
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from … available observations and computing a ``risk measure" which summarizes the risk of the portfolio. We define the notion of … ``risk measurement procedure", which includes both of these steps and introduce a rigorous framework for studying the …
Persistent link: https://www.econbiz.de/10008793218
managers, one of the categories of stakeholders given less consideration by public authorities in their quest for consensus …
Persistent link: https://www.econbiz.de/10010820887
consensus which is robust to some extensions of the ordinal framework. This paper also shows that there exists a limit for …
Persistent link: https://www.econbiz.de/10010821487
for the consensus problems, in particular in the case of the aggregation of linear orders. First we consider the medians …
Persistent link: https://www.econbiz.de/10010738443