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Computational dynamic market risk measures in discrete time setting

Seck, Babacar; Elliott, Robert J.; Gueyie, Jean-Pierre - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 334-354

Persistent link: https://www.econbiz.de/10010476909

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors

Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226

This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...

Persistent link: https://www.econbiz.de/10011545172

Rectangular sets of probability measures

Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541

Persistent link: https://www.econbiz.de/10011485624

Risk measures and their application to staffing nonstationary service systems

Pender, Jamol - In: European journal of operational research : EJOR 254 (2016) 1, pp. 113-126

Persistent link: https://www.econbiz.de/10011503223

Time consistent multi-period robust risk measures and portfolio selection models with regime-switching

Liu, Jia; Chen, Zhiping - In: European journal of operational research : EJOR 268 (2018) 1, pp. 373-385

Persistent link: https://www.econbiz.de/10011813114

On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics

Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund...

Persistent link: https://www.econbiz.de/10011890772

Risk measurement and risk-averse control of partially observable discrete-time Markov systems

Fan, Jingnan; Ruszcy´nski, Andrzej - In: Mathematical methods of operations research 88 (2018) 2, pp. 161-184

Persistent link: https://www.econbiz.de/10011935391

Multiple risk measures for multivariate dynamic heavy-tailed models

Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32

Persistent link: https://www.econbiz.de/10011817885

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334

Persistent link: https://www.econbiz.de/10014232647

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