Conditional Value at Risk as a risk measure. Exploiting the fact that portfolios whose constituents follow an mGH distribution are … univariate GH distributed, we prove some results relating to measurement and decomposition of portfolio risk, and show how to …, using Worst Case Conditional Value at Risk as a risk measure …

their calibration, we will elaborate on the application of the NIG-model for risk management purposes, and highlight the …

Analysis (LDA) on operational risk data. We compare the performance of four severity distribution estimators, three well known … and one relatively new and assess their suitability for quantitative operational risk analysis. We start with a simulation … then evaluated on a real operational loss dataset where we focus on the risk measures Value at Risk (VaR) and Tail Value at …

In risk management it is desirable to grasp the essential statistical features of a time series representing a risk … features of risk factors describing different asset classes or behaviors. This paper does not aim at being exhaustive, but … also use these models as building blocks to build more complex models, although for a number of risk management …

Real option theory has remained a fringe field; practitioners believe it is not practically applicable in complex real … world environments. We show that this view is mistaken. We apply real option theory to a highly complex energy problem with … unhedgeable risk, time varying volatilities and endogenous exercise dates (non-European options). Investment decisions in the …