This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further … eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques … contributes to a more comprehensive firm-level idiosyncratic risk that is crucial in both portfolio diversification and alpha …

analysis of the economic value shows that risk-averse investors will be willing to pay a high performance fee to switch from a …

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios … especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR) and …

designed following the Global Macro Anima (GMA) strategy, solving a risk-parity optimisation problem using a specifically …

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk … “distribution-adjusted” joint marginals. The empirical results show that global market risk sentiment comoves with sovereign CDS … second biggest risk factor correlated with CDS spreads for Brazil and South Africa, while exchange rate risk exhibits very …

distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least … degrees of freedom. As such, the resulting economic impact in financial risk management applications could be significant. We …

that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be …

entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …

profit, variance and expected shortfall of the insurer’s risk. The aggregate claim amounts are assumed to be distributed as … the expected shortfall of the insurer’s risk. In the decision making process, we concentrate on multi-attribute decision …