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Simulating risk contributions of credit portfolios
Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121
Persistent link: https://www.econbiz.de/10010519509
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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …
Persistent link: https://www.econbiz.de/10010490408
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Efficient risk simulations for linear asset portfolios in the t-copula model
Sak, Halis; Hörmann, Wolfgang; Leydold, Josef - In: European journal of operational research : EJOR 202 (2010) 3, pp. 802-809
Persistent link: https://www.econbiz.de/10003981022
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Comparing simulation models for market risk stress testing
Basu, Sanjay - In: European journal of operational research : EJOR 213 (2011) 1, pp. 329-339
Persistent link: https://www.econbiz.de/10009159261
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Efficient simulation of value at risk with heavy-tailed risk factors
Fuh, Cheng-der; Hu, Inchi; Hsu, Ya-hui; Wang, Ren-her - In: Operations research 59 (2011) 6, pp. 1395-1406
Persistent link: https://www.econbiz.de/10009487167
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FX volatility adjustment for risk factors simulation
Kondratyev, Alexei - In: Journal / The Capco Institute : journal of financial … 37 (2013), pp. 111-116
Persistent link: https://www.econbiz.de/10010341539
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Fair risk allocation in illiquid markets
Csóka, Péter - 2015
performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to … divisions, then as an incentive its allocated risk capital should not increase. Analyzing the simulation results we conclude … risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the …
Persistent link: https://www.econbiz.de/10010481803
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Analyse des Risikos bei "Emerging markets": Investments durch Simulation des Portfolio Management-Prozesses
Poddig, Thorsten; Dichtl, Hubert - In: Datamining und computational finance : Ergebnisse des …, (pp. 171-202). 2000
Persistent link: https://www.econbiz.de/10001484309
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Scenario simulation: theory and methodology
Jamshidian, Farshid - In: Finance and stochastics 1 (1997) 1, pp. 43-67
Persistent link: https://www.econbiz.de/10001215730