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Risk-based loan pricing : portfolio optimization approach with marginal risk contribution
Chun, So Yeon; Lejeune, Miguel A. - In: Management science : journal of the Institute for … 66 (2020) 8, pp. 3735-3753
Persistent link: https://www.econbiz.de/10012289204
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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An axiomatic foundation for the expected shortfall
Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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A view inside corporate risk management
Bodnar, Gordon M.; Giambona, Erasmo; Graham, John R.; … - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5001-5026
Persistent link: https://www.econbiz.de/10012125860
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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Tail risk concerns everywhere
Gao, George P.; Lu, Xiaomeng; Song, Zhaogang - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3111-3130
Persistent link: https://www.econbiz.de/10012039979
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Credit risk spillovers among financial institutions around the global credit crisis : firm-level evidence
Yang, Jian; Zhou, Yinggang - In: Management science : journal of the Institute for … 59 (2013) 10, pp. 2343-2359
Persistent link: https://www.econbiz.de/10010202770
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Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
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"Dice"-sion–making under uncertainty : when can a random decision reduce risk?
Delage, Erick; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3282-3301
Persistent link: https://www.econbiz.de/10012039992