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Shortfall deviation risk : an alternative for risk measurement
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116
Persistent link: https://www.econbiz.de/10013177086
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Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
Deaton, Brian D. - In: Journal of risk 19 (2016) 1, pp. 43-61
Persistent link: https://www.econbiz.de/10011579769
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Nonnegative risk components
Staum, Jeremy - In: Journal of risk 18 (2015/2016) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10011438960
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What is the best risk measure in practice? : a comparsion of standard measures
Emmer, Susanne; Kratz, Marie; Tasche, Dirk - In: Journal of risk 18 (2015/2016) 2, pp. 31-60
Persistent link: https://www.econbiz.de/10011438976
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A numerical approach to the risk capital allocation problem
Gzyl, Henryk; Mayoral, Silvia - In: Journal of risk 23 (2021) 5, pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
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From log-optimal portfolio theory to risk measures : logarithmic expected shortfall
Arici, G.; Dalai, M.; Leonardi, Roberto - In: Journal of risk 22 (2019) 2, pp. 37-58
Persistent link: https://www.econbiz.de/10013177108
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Portfolio risk forecasting
Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
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Modified expected shortfall : a new robust coherent risk measure
Jadhav, Deepak; Ramanathan, T. V.; Naik-Nimbalkar, Uttara - In: Journal of risk 16 (2013/2014) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10013262918
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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The temporal dimension of risk
Mahmoud, Ola - In: Journal of risk 19 (2016/2017) 3, pp. 57-83
Persistent link: https://www.econbiz.de/10011689723