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Risky risk measures : a note on underestimating financial risk under the normal assumption

Goodfellow, Christiane; Salm, Christian - In: Copernican Journal of Finance & Accounting : CJF&A 5 (2016) 2, pp. 85-108

Persistent link: https://www.econbiz.de/10012216155

Maximum drawdown and risk tolerances

Tavakoli Baghdadabad, Mohammad Reza - In: Review of Pacific Basin financial markets and policies 18 (2015) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011286060

Typology for flight-to-quality episodes and downside risk measurement

Gubareva, Mariya; Borges, Maria Rosa - In: Applied economics 48 (2016) 10/12, pp. 835-853

Persistent link: https://www.econbiz.de/10011432728

Average drawdown risk reduction and risk tolerances

Tavakoli Baghdadabad, Mohammad Reza - In: Research in economics : an international review of economics 68 (2014) 3, pp. 264-276

Persistent link: https://www.econbiz.de/10010510336

A novel downside risk measure and expected returns

Liu, Jinjing - 2019

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel measure of downside risk, the ES-implied beta, to...

Persistent link: https://www.econbiz.de/10012113746

Pooling risk games

Alon, Tzvi; Haviv, Moshe - In: International game theory review 22 (2020) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10012582722

An axiomatic foundation for the expected shortfall

Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429

Persistent link: https://www.econbiz.de/10012505987

Stochastic orders and multivariate measures of risk contagion

Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A. - In: Insurance / Mathematics & economics 96 (2021), pp. 199-207

Persistent link: https://www.econbiz.de/10012482851

Risk quantization by magnitude and propensity

Faugeras, Olivier; Pagès, Gilles - 2021

Persistent link: https://www.econbiz.de/10012542714

External risk measures and Basel accords

Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417

Persistent link: https://www.econbiz.de/10009787381

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