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Generalized quantiles as risk measures
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance / Mathematics & economics 54 (2014), pp. 41-48
Persistent link: https://www.econbiz.de/10010259683
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On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles
Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of …
Persistent link: https://www.econbiz.de/10011867427
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Multivariate geometric expectiles
Herrmann, Klaus J.; Hofert, Marius; Mailhot, Mélina - In: Scandinavian actuarial journal (2018) 7, pp. 629-659
Persistent link: https://www.econbiz.de/10011939715
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Dependence uncertainty bounds for the expectile of a portfolio
Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …
Persistent link: https://www.econbiz.de/10011402861
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Risk measures with the CxLS property
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453
Persistent link: https://www.econbiz.de/10011471250
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Expected shortfall or median shortfall
Kou, Steven; Peng, Xianhua - In: Journal of financial engineering 1 (2014) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10010508103
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On the measurement of economic tail risk
Kou, Steven; Peng, Xianhua - In: Operations research 64 (2016) 5, pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
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Minimal representation of insurance prices
Pichler, Alois; Shapiro, Alexander - In: Insurance / Mathematics & economics 62 (2015), pp. 184-193
Persistent link: https://www.econbiz.de/10011312072
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An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Ahmadi-Javid, Amir; Pichler, Alois - In: Mathematics and financial economics 11 (2017) 4, pp. 527-550
Persistent link: https://www.econbiz.de/10011900598
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Backtesting expected shortfall and beyond
Deng, Kaihua; Qiu, Jie - In: Quantitative finance 21 (2021) 7, pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022