In this paper we provide an axiomatic foundation to Orlicz risk measures in terms of properties of their acceptance … sets, by exploiting their natural correspondence with shortfall risk measures, thus paralleling the characterization in … Weber (2006). From a financial point of view, Orlicz risk measures assess the stochastic nature of returns, in contrast to …

This paper studies a basket of risk statistics that are widely used to measure investment performance. Those risk … statistics were used to rank the performance of the assets. The dependent information was removed from the set of risk measures … that were used in the test. The risk statistics were standardized and linearly transformed into a new set of factors where …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between … choices of risk function (e.g. VaR vs CVaR); choice of return distribution (power law tail vs Gaussian) and choice of event … frequency, for risk assessment. We exploit this to provide a simple method for portfolio optimization when the asset returns …

In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could … influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure …, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity …

can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a …