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Intrinsic prices of risk
Le, Truc - In: Journal of mathematical finance 4 (2014) 5, pp. 318-327
Persistent link: https://www.econbiz.de/10011312410
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Effect of volatility clustering on indifference pricing of options by convex risk measures
Kumar, Rohini - In: Applied mathematical finance 22 (2015) 1/2, pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
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Measuring risk information
Smith, Kevin; So, Eric - In: Journal of accounting research 60 (2022) 2, pp. 375-426
Persistent link: https://www.econbiz.de/10013190954
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Implicit expectiles and measures of implied volatility
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit - In: Quantitative finance 18 (2018) 11, pp. 1851-1864
Persistent link: https://www.econbiz.de/10012262851
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Volatility risk measures and banks' leverage
Anselmi, Giulio - 2024
Persistent link: https://www.econbiz.de/10015046722
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Vulnerability in a stochastic dynamic model
Elbers, Chris; Gunning, Jan Willem - 2003 - Rev.
Most measures of vulnerability are a-theoretic and essentially static. In this paper we use a stochastic Ramsey model to find a household's optimal welfare and we measure vulnerability as the shortfall from the welfare attained if the household consumed permanently at the poverty line. The...
Persistent link: https://www.econbiz.de/10011334363
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Approving the ISDWIR method of risk measurement in making risk management decision
Strelnik, Mikhail - In: Revista de métodos cuantitativos para la economía y … 17 (2014), pp. 42-59
This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … method is based on dynamic enterprise risk matri- ces. The matrix describes the changes of corporate risk values over the …
Persistent link: https://www.econbiz.de/10010385650
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Fixing risk neutral risk measures
Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011523810
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On measuring uncertainty : snakes and ladders
Junankar, Pramod N. - 2016
although risk can be measured, uncertainty cannot be measured. Even though risk can be measured, a simple symmetric measure … attempt at "measuring" risk or (fundamental) uncertainty is flawed. …
Persistent link: https://www.econbiz.de/10011543578
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An industry ontology for risk data aggregation reporting
Bennett, Mike - In: Journal of securities operations & custody 8 (2015/2016) 2, pp. 132-145
Persistent link: https://www.econbiz.de/10011486224