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Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions

Andrieu, Laetitia; Lara, Michel De; Seck, Babacar - HAL - 2008

We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show that if the decision maker (DM) maximizes the expectation...

Persistent link: https://www.econbiz.de/10008794385

Determinants of the choice leasing vs Bank Loan: evidence from the french sme by Kacm

Deghaye-Filareto, Marie Christine; Severin, Eric - HAL - 2007

The question of leasing credit as a substitute or complement of a banking loan has still not been resolved in the … characteristics of firms using leasing credit and on the other hand, to better understand the relationship between leasing and credit … rationing. Firstly, our results suggest that SME use leasing all the more the leasing so when they are young, leveraged, less …

Persistent link: https://www.econbiz.de/10010750928

LE CREDIT-BAIL TRANSFRONTALIER, RISQUES ET OPPORTUNITES FISCALES

Chapellier, Edouard - HAL - 2000

Le crédit-bail transfrontalier est un instrument complexe à mettre en oeuvre à cause de la grande diversité des législations fiscales en la matière. Ces différences de qualification peuvent faire risquer aux entreprises de sévères doubles impositions, mais, elles peuvent également leur...

Persistent link: https://www.econbiz.de/10009004245

Viewing Risk Measures as information

Guegan, Dominique; Tarrant, Wayne - HAL - 2012

Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We...

Persistent link: https://www.econbiz.de/10010930200

Loss-Based Risk Measures

Cont, Rama; Deguest, Romain; He, Xuedong - HAL - 2011

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem...

Persistent link: https://www.econbiz.de/10009328156

On the necessity of five risk measures

Guegan, Dominique; Tarrant, Wayne - HAL - 2010

The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk measure plays an important role in computing this...

Persistent link: https://www.econbiz.de/10010549093

On the Necessity of Five Risk Measures

Guegan, Dominique; Tarrant, Wayne - HAL - 2012

Persistent link: https://www.econbiz.de/10010610166

What Is the Best Risk Measure in Practice? A Comparison of Standard Measures

Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...

Persistent link: https://www.econbiz.de/10010821003

Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation

Biard, Romain; Loisel, Stéphane; Macci, Claudio; … - HAL - 2010

In the renewal risk model, we study the asymptotic behavior of the expected time-integrated negative part of the process. This risk measure has been introduced by Loisel (2005). Both heavy-tailed and light-tailed claim amount distributions are investigated. The time horizon may be finite or...

Persistent link: https://www.econbiz.de/10008790369

Correction du biais d'estimation sur les mesures de risque en finance

Héam, Jean-Cyprien - HAL - 2009

Dans le cadre des procédures de backtesting de la Value-at-Risk (VaR), nous proposons une étude de la qualité de la correction de l'effet d'estimation du test de Kupiec (Journal of Derivatives, 1995) fondée sur les travaux de Escansiano et Olmo (2008). Cette étude conduit à apporter une...

Persistent link: https://www.econbiz.de/10008791173