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Modelling random vectors of dependent risks with different elliptical components

Landsman, Zinoviy; Shushi, Tomer - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 1, pp. 6-24

Persistent link: https://www.econbiz.de/10013187281

Multifactor granularity adjustments for market and counterparty risks

Fermanian, Jean-David; Florentin, Clément - In: Journal of risk 20 (2017/2018) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10011962402

A multivariate tail covariance measure for elliptical distributions

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Insurance / Mathematics & economics 81 (2018), pp. 27-35

Persistent link: https://www.econbiz.de/10011904613

Multi-factor granularity adjustments for market and counterparty risks

Fermanian, Jean-David; Florentin, Clément - 2016

Persistent link: https://www.econbiz.de/10012196291

Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors

Dobrev, Dobrislav; Nesmith, Travis D.; Oh, Dong Hwan - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-14

We provide an accurate closed-form expression for the expected shortfall of linear portfolios with elliptically distributed risk factors. Our results aim to correct inaccuracies that originate in Kamdem (2005) and are present also in at least thirty other papers referencing it, including the...

Persistent link: https://www.econbiz.de/10011619035

Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk

Kroon, Erik; Hacini, Mehdi-Vincent; Somefun, Koye - In: Quantitative finance 24 (2024) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10014551942