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Compositional methods applied to capital allocation problems
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Journal of risk 19 (2016) 2, pp. 15-30
Persistent link: https://www.econbiz.de/10013177074
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An examination of the tail contribution to distortion risk measures
Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
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What attitudes to risk underlie distortion risk measure choices?
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Insurance / Mathematics & economics 68 (2016), pp. 101-109
Persistent link: https://www.econbiz.de/10011492606
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Forecasting compositional risk allocations
Boonen, Tim J.; Guillén, Montserrat; Santolino, Miguel - In: Insurance / Mathematics & economics 84 (2019), pp. 79-86
Persistent link: https://www.econbiz.de/10011990442
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Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat; Sarabia Alzaga, José Maria; … - In: The journal of operational risk 13 (2018) 2, pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
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Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
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Continuing risks
Constantinescu, Corina; Guillén, Montserrat; … - In: Risks : open access journal 11 (2023) 1, pp. 1-2
Persistent link: https://www.econbiz.de/10014232583