functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the … implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

maximising Shannon's entropy subject to a set of moment constraints, which in turn yields the value-at-risk and expected …

We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system …

This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The … Hidden Markov Model. (ii) We use tail risk measures, namely conditional value-at-risk (CVaR) and conditional drawdown-at-risk …

In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected … Value at Risk, Average Value at Risk and Limited Expected Loss are derived. We solve the problem of minimizing risk measures … applied to portfolios. Moreover, the portfolio’s expected return is maximized subject to the aforementioned risk measures. We …

The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it … should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with … variance-covariance based risk analysis. Considering the Solvency II Standard Formula from the viewpoint of linear geometry, we …

Food safety is a major risk for agribusiness firms. According to the Centers for Disease Control and Prevention (CDC …/HACCP) in 1996 and the Food Modernization Act in 2010, to reduce food-safety risk, retail meat facilities continue to experience … evaluate the effectiveness for three strategies that are used by retail meat facilities. Copula value-at-risk (CVaR) was …

Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial … system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an … institution) systemic risk contribution measures and propose a new CoCDaR (conditional drawdown-at-risk conditioned on an …

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk …, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio … risk measures are vulnerable to larger skewness and kurtosis of the asset returns. Moreover, the traditional assumption of …