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Risk or regulatory capital? : bringing distributions back in the foreground
Guégan, Dominique; Hassani, Bertrand - 2015
Persistent link: https://www.econbiz.de/10011635443
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A new inequality measure that is sensitive to extreme values and asymmetries
McAleer, Michael; Ryu, Hang-keun; Slottje, Daniel Jonathan - 2017
There is a vast literature on the selection of an appropriate index of income inequality and on what desirable properties such a measure (or index) should contain. The Gini index is, of course, the most popular. There is a concurrent literature on the use of hypothetical statistical...
Persistent link: https://www.econbiz.de/10011773015
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Ansätze zur Validierung von Marktrisikomodellen : Systematisierung, Anwendungsmöglichkeiten und Grenzen der Verfahren
Wehn, Carsten - 2005
Persistent link: https://www.econbiz.de/10003280464
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What kind of systemic risks do we face in the European banking sector? : the approach of CoVaR measure
Karkowska, Renata - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 114-139
Persistent link: https://www.econbiz.de/10011419194
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A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389
Persistent link: https://www.econbiz.de/10011433225
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Incorporating risk measures in closed-loop supply chain network design
Soleiman, Hamed; Seyyed-Esfahani, Mirmehdi; Kannan, Govindan - In: International journal of production research 52 (2014) 6, pp. 1843-1867
Persistent link: https://www.econbiz.de/10010257281
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Value at risk measuring and extreme value theory : evidence from Montenegro
Cerovic Smolovic, Julija - In: Facta Universitatis / Series economics and organization … 11 (2014) 2, pp. 175-189
Persistent link: https://www.econbiz.de/10011508680
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Comparison of market risk models with respect to suggested changes of Basel accord
Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274
Persistent link: https://www.econbiz.de/10010474360
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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
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Risk measures on P(R) and value at risk with probability/loss function
Frittelli, Marco; Maggis, Marco; Peri, Ilaria - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 442-463
Persistent link: https://www.econbiz.de/10010484275