order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in dfferent locations and showed that neither … accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. -- Weather …

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the … parameters over the 100 largest US publicly traded financial institutions. We demonstrate the suitability of this risk measure by … comparing the proposed FRM to other measures for systemic risk, such as VIX, SRISK and Google Trends. We find that mutual …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

The Financial Risk Meter (FRM) is an established mechanism that, based on conditional Value at Risk (VaR) ideas, yields … insight into the dynamics of network risk. Originally, the FRM has been composed via Lasso based quantile regression, but we … coherent and multivariate tail risk indicator conditional expectile-based VaR (CoEVaR) can be derived, which is sensitive to …

. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …

Risiko verbinden ließe, wenn man nur die Finanzprodukte entsprechend gestaltete, hat sich diese Wahnvorstellung … Risikos angesprochen. -- pricing kernels ; risk aversion ; risk neutral density …

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … dynamic semiparametric factor model (DSFM). -- correlation risk ; dimension reduction ; dispersion strategy ; dynamic factor …