Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with … copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss … how these three essential components can be combined together in a Monte Carlo based framework for risk estimation and …

a stochastic growth and discount factors in determining risk-adjusted values. These methods are supported by …-based implications for the term structure of risk prices. As an illustration of the methods, I re-examine some recent preference based …

the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral … observational implications of risk adjustments and investor beliefs as reflected in asset market data; ii) catalog alternative forms … of misspecification of parametric valuation models; and iii) characterize how long-term components of growth-rate risk …

the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral … observational implications of risk adjustments and investor beliefs as reflected in asset market data; ii) catalog alternative forms … of misspecification of parametric valuation models; and iii) characterize how long-term components of growth-rate risk …

a stochastic growth and discount factors in determining risk-adjusted values. These methods are supported by …-based implications for the term structure of risk prices. As an illustration of the methods, I re-examine some recent preference based …

Risikomanagement umsetzen können. Die einfache Darstellung der Grundbegriffe und Methoden der Stochastik, ergänzt um Beispiele und … und auch für das Risikomanagement wichtigen Inferenzstatistik. Anschließend geben sie einen Einblick in erforderliche … Effizienzbewertung von Risiko-Abmilderungsmaßnahmen. Diese Einführung wird begleitet durch konkrete Fallbeispiele, die in der …