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A non-Gaussian approach to risk measures
Bormetti, Giacomo; Cisana, Enrica; Montagna, Guido; … - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 532-542
to different methodologies, by employing a bootstrap technique. …
Persistent link: https://www.econbiz.de/10010591258
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Terminal wealth problem under uncertainty: how to choose the right asset mix in case of dependent random payments
Ahcan, Ales; Darkiewicz-Moniuszko, Grzegorz; … - In: International Journal of Sustainable Economy 3 (2011) 3, pp. 294-311
We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and value at risk (VaR) defined investor preferences. As the results of our numerical calculations indicate our approximate approach provides greater accuracy and reduces...
Persistent link: https://www.econbiz.de/10009352660
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Model uncertainty and its impact on the pricing of derivative instruments
Cont, Rama - HAL - 2006
Model uncertainty, in the context of derivative pricing, can be defined as the uncertainty on the value of a contingent … quantitative framework for defining model uncertainty in option pricing models. After discussing some properties which a … quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk measurement and …
Persistent link: https://www.econbiz.de/10008792846
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Stochastic simulations on the Romanian macroeconomic model
Dobrescu, Emilian; Pauna, Bianca - Volkswirtschaftliche Fakultät, … - 2007
values of key economic indicators, with no information regarding the associated uncertainty. Our assessment is that policy …, presented in this paper quantifies the uncertainty of the coefficients of the behavioural equations, on a reduced version of the … incorporating the uncertainty into the decisional mechanism, have additional information which would help them in efficiently …
Persistent link: https://www.econbiz.de/10009401315
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Aspirational Preferences and Their Representation by Risk Measures
Brown, David B.; Giorgi, Enrico De; Sim, Melvyn - In: Management Science 58 (2012) 11, pp. 2095-2113
We consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models...
Persistent link: https://www.econbiz.de/10010990489
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Evolution of Equity Market Risk During the Crisis: Europe, Americas and Asia
Stucchi, Patrizia; Dominese, Giorgio - In: Transition Studies Review 19 (2012) 2, pp. 163-178
A set of regional and country’s equity indices have been evaluated and analysed in their Value at Risk (VaR) and Conditional Value at Risk (CVaR) in this paper, using computational methods based on the Johnson systems. Comparing the main statistics and the values of the two cited measures of...
Persistent link: https://www.econbiz.de/10010994555
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Beyond cash-additive risk measures: when changing the numéraire fails
Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo - In: Finance and Stochastics 18 (2014) 1, pp. 145-173
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...
Persistent link: https://www.econbiz.de/10010997040
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The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing
Annalisa, Di Clemente - In: STUDI ECONOMICI LXVI (2011) 104, pp. 5-28
This study explores the role of the credit securitisation process in managing the credit risk amount of the banking loan portfolio, when the bank originator retains a residual equitylike class as illiquid first loss position (FLP). An Importance Sampling Monte Carlo simulation model has been...
Persistent link: https://www.econbiz.de/10010876340
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A Representation of Risk Measures
AMARANTE, Massimiliano - Centre Interuniversitaire de Recherche en Économie … - 2013
We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition,...
Persistent link: https://www.econbiz.de/10010883524
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Modelling yield risk measures of major crop plants
Kobus, Pawel - European Association of Agricultural Economists - EAAE - 2012
The paper deals with the problem of modelling yield risk measures for major crop plants in Poland. Hence, in some cases the gamma distribution offers a better fit to the data than normal distribution, and in addition to linear models, generalized linear models were also used. The research was...
Persistent link: https://www.econbiz.de/10010910890