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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa; Hurlin, Christophe; Leymarie, … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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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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A toolkit for robust risk assessment using F-divergences
Kruse, Thomas; Schneider, Judith Christiane; Schweizer, … - In: Management science : journal of the Institute for … 67 (2021) 10, pp. 6529-6552
Persistent link: https://www.econbiz.de/10012666706
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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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Decomposing dynamic risks into risk components
Schilling, Katja; Bauer, Daniel - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5738-5756
Persistent link: https://www.econbiz.de/10012391415
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Managing weather risk with a neural network-based index insurance
Chen, Zhanhui; Lu, Yang; Zhang, Jinggong; Zhu, Wenjun - In: Management science : journal of the Institute for … 70 (2024) 7, pp. 4306-4327
Persistent link: https://www.econbiz.de/10015045875
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An axiomatic approach to systemic risk
Chen, Chen; Iyengar, Garud; Moallemi, Ciamac C. - In: Management science : journal of the Institute for … 59 (2013) 6, pp. 1373-1388
Persistent link: https://www.econbiz.de/10009777035
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Bank interest rate risk management
Vuillemey, Guillaume - In: Management science : journal of the Institute for … 65 (2019) 12, pp. 5933-5956
Persistent link: https://www.econbiz.de/10012146909
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Submodular risk allocation
Ghamami, Samim; Glasserman, Paul - In: Management science : journal of the Institute for … 65 (2019) 10, pp. 4656-4675
Persistent link: https://www.econbiz.de/10012118107
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Strategic selection of risk models and bank capital regulation
Colliard, Jean-Edouard - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2591-2606
Persistent link: https://www.econbiz.de/10012039818