risk. After a proper re-scaling taking care of the heavy tails induced by the contagion dynamics, we provide a normal …

considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the …

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in … the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not … ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is …

We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for … the relative risk is minimized in the case that the radius is known only to belong to some interval [pr, l'/p] " The … effect of increasing parameter dimension is studied for these models. The minimax increase of relative risk in ease p = 0 …

(NIG) variates of potential use in risk management. Among others we treat in some detail the calibration of bivariate NIG … consistent with marginal NIG. -- risk management ; Normal Inverse Gaussian distribution …

generated by a Lévy process and agents exhibit constant relative risk aversion, closed-form solutions are derived. Depending on …

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … preferences, in the way many coherent risk measures are somewhat generic. -- coherent risk rneasures ; valuation bounds …