Similar Search Results

Measuring risk when expected losses are unbounded

Balbás de la Corte, Alejandro; Blanco, Iván; Garrido, … - In: Risks : open access journal 2 (2014) 4, pp. 411-424

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

Persistent link: https://www.econbiz.de/10010489103

Desirable portfolios in fixed income markets : application to credit risk premiums

Garrido, José; Okhrati, Ramin - In: Risks : open access journal 6 (2018) 1, pp. 1-21

“desirable portfolio” delivering cash flows with negative risk at zero cost. Although these are not completely risk …-free investments and subject to the risk measure used, they can provide attractive investment opportunities for investors. We …

Persistent link: https://www.econbiz.de/10011811620

Editorial : special issue on risk management techniques for catastrophic and heavy-tailed risks

Balbás de la Corte, Alejandro; Garrido, José - In: Risks : open access journal 2 (2014) 4, pp. 467-468

The publication of several special issues was part of the initiatives taken in 2013 to launch Risks as a new online journal. It seemed natural to devote one to this important, concrete and complex problem of managing catastrophic and heavy tailed risks. We received an enthusiastic response last...

Persistent link: https://www.econbiz.de/10010489110