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Predicting the impact of multiple risks on project performance : a scenario-based approach

Bañuls, Victor A.; López, Cristina; Turoff, Murray; … - In: Project management journal : PMJ 48 (2017) 5, pp. 95-114

Persistent link: https://www.econbiz.de/10011756024

Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

Konstantinides, Dimitrios G.; Li, Jinzhu - In: Insurance / Mathematics & economics 69 (2016), pp. 38-44

Persistent link: https://www.econbiz.de/10011530921

Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios

Hernandez, Jose Arreola; Janabi, Mazin A. M. al; … - In: The journal of asset management 16 (2015) 7, pp. 467-483

Persistent link: https://www.econbiz.de/10011455734

The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

Sun, Ying; Wei, Li - In: Insurance / Mathematics & economics 59 (2014), pp. 178-183

Persistent link: https://www.econbiz.de/10010469138

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

induces a positive dependence among the components, it is typically possible to improve the unconstrained lower bound. Finally …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …

Persistent link: https://www.econbiz.de/10011402861

Risks and vulnerabilities in the U.S. bond mutual fund industry

Bouveret, Antoine; Yu, Jie - 2021

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...