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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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Dynamically consistent investment under model uncertainty : the robust forward criteria
Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918
Persistent link: https://www.econbiz.de/10011946570
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173
Persistent link: https://www.econbiz.de/10010235455
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International Banking and Liquidity Risk Transmission : Lessons from Across Countries
Buch, Claudia M.; Goldberg, Linda S. - 2021
studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …
Persistent link: https://www.econbiz.de/10013312517
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Hedging under multiple risk constraints
Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter - In: Finance and stochastics 21 (2017) 2, pp. 361-396
Persistent link: https://www.econbiz.de/10011944382
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia; Seifert, Miriam - In: Finance and stochastics 23 (2019) 4, pp. 795-826
Persistent link: https://www.econbiz.de/10012114659
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Risk sharing for capital requirements with multidimensional security markets
Liebrich, Felix-Benedikt; Svindland, Gregor - In: Finance and stochastics 23 (2019) 4, pp. 925-973
Persistent link: https://www.econbiz.de/10012114664