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A non-Gaussian approach to risk measures
Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; … - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 532-542
to different methodologies, by employing a bootstrap technique. …
Persistent link: https://www.econbiz.de/10010591258
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Terminal wealth problem under uncertainty: how to choose the right asset mix in case of dependent random payments
Ahcan, Ales; Darkiewicz-Moniuszko, Grzegorz; … - In: International Journal of Sustainable Economy 3 (2011) 3, pp. 294-311
We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and value at risk (VaR) defined investor preferences. As the results of our numerical calculations indicate our approximate approach provides greater accuracy and reduces...
Persistent link: https://www.econbiz.de/10009352660
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Stochastic simulations on the Romanian macroeconomic model
Dobrescu, Emilian; Pauna, Bianca - Volkswirtschaftliche Fakultät, … - 2007
values of key economic indicators, with no information regarding the associated uncertainty. Our assessment is that policy …, presented in this paper quantifies the uncertainty of the coefficients of the behavioural equations, on a reduced version of the … incorporating the uncertainty into the decisional mechanism, have additional information which would help them in efficiently …
Persistent link: https://www.econbiz.de/10009401315
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Satisficing Measures for Analysis of Risky Positions
Brown, David B.; Sim, Melvyn - In: Management Science 55 (2009) 1, pp. 71-84
In this work we introduce a class of measures for evaluating the quality of financial positions based on their ability to achieve desired financial goals. In the spirit of Simon (Simon, H. A. 1959. Theories of decision-making in economics and behavioral science. Amer. Econom. Rev. 49(3)...
Persistent link: https://www.econbiz.de/10009204244
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MaxVaR for non-normal and heteroskedastic returns
Bhattacharyya, Malay; Misra, Nityanand; Kodase, Bharat - In: Quantitative Finance 9 (2009) 8, pp. 925-935
In this work we propose Monte Carlo simulation models for dynamically computing MaxVaR for a financial return series. This dynamic MaxVaR takes into account the time-varying volatility as well as non-normality of returns or innovations. We apply this methodology to five stock market indices. To...
Persistent link: https://www.econbiz.de/10008609623
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Risk measures for skew normal mixtures
Bernardi, Mauro - In: Statistics & Probability Letters 83 (2013) 8, pp. 1819-1824
In this paper we show that linear combinations of multivariate skew normal mixtures can be represented as finite mixtures of univariate skew normals. Based on this result we provide an analytical formula for some well known risk measures.
Persistent link: https://www.econbiz.de/10010678732
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Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors
Bernardi, Mauro; Petrella, Lea - In: Journal of Risk and Financial Management 8 (2015) 2, pp. 198-226
This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...
Persistent link: https://www.econbiz.de/10011241666
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АНАЛИЗ ВЗАИМНОГО ВЛИЯНИЯ ЭКОНОМИЧЕСКИХ СУБЪЕКТОВ С ИСПОЛЬЗОВАНИЕМ МЕРЫ РИСКА COVAR НА ПРИМЕРЕ РОССИЙСКИХ КОМПАНИЙ...
БАРАБАШ В.А.; СИДОРОВ С.П. - In: Корпоративные финансы Journal of … (2014) 3, pp. 72-82
Недостаточная идентификация связей между экономическими институтами (отраслями, секторами, компаниями и т.п.) и их взаимного влияния друг на друга приводит к...
Persistent link: https://www.econbiz.de/10011246856
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The Foster-Hart measure of riskiness for general gambles
Hellmann, Tobias; Riedel, Frank - In: Theoretical Economics 10 (2015) 1
Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equation has no solution for many common continuous distributions. We show how to extend consistently the definition of riskiness to continuous random variables. For many continuous random variables, the...
Persistent link: https://www.econbiz.de/10011145589
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General dual measures of riskiness
Schulze, Klaas - In: Theory and Decision 78 (2015) 2, pp. 289-304
Aumann and Serrano (J Political Econ 116(5):810–836, <CitationRef CitationID="CR3">2008</CitationRef>) introduce the axiom of duality, which ensures that risk measures respect comparative risk aversion. This paper characterizes all dual risk measures by a simple equivalent condition. This equivalence provides a decomposition result and...</citationref>
Persistent link: https://www.econbiz.de/10011154897