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Estimation of the Risk Attitude of the Representative UK Pension Fund Investor
Satchell, Stephen; Xia, Wei - Birkbeck, Department of Economics, Mathematics & Statistics - 2005
The purpose of this paper is to use UK pension funds asset allocation information to model the risk attitude of the representative UK pension fund investor. Unlike the previous literature on loss aversion, we find that UK pension funds display risk aversion with respect to gains and to losses....
Persistent link: https://www.econbiz.de/10005509621
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Analytic models of the ROC curve : applications to credit rating model validation
Satchell, Stephen; Xia, Wei - In: The analytics of risk model validation, (pp. 113-133). 2008
Persistent link: https://www.econbiz.de/10003868691
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Analytic models of the ROC curve : applications to credit rating model validation
Satchell, Stephen; Xia, Wei - 2006
Persistent link: https://www.econbiz.de/10003374001
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Analytic models of the receiver operating characteristic curve : applications to credit rating model validation
Satchell, Stephen; Xia, Wei - In: Journal of risk management in financial institutions 1 (2007/08) 1, pp. 90-106
Persistent link: https://www.econbiz.de/10003696403
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Estimation of the risk attitude of the representative UK pension fund investor
Satchell, Stephen (contributor); Xia, Wei (contributor) - 2005
Persistent link: https://www.econbiz.de/10003002156