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Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Mo...
Crousillat, Cesar - 2017
Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …
Persistent link: https://www.econbiz.de/10012962743
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Stress testing correlation matrices for risk management
So, Mike Ka-pui; Wong, Jerry; Asai, Manabu - In: The North American journal of economics and finance : a … 26 (2013), pp. 310-322
Persistent link: https://www.econbiz.de/10010365763
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Portfolio construction based on implied correlation information and value at risk
Rogel-Salazar, Jesús; Tella, Roberto - In: EconoQuantum : Revista de Economía y Negocios 12 (2015) 1, pp. 125-144
Persistent link: https://www.econbiz.de/10011558686
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Tail risk measurement in crypto-asset markets
Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - In: International review of financial analysis 73 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012803601
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Risk measures in finance : congruent or contrasting?
Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180
Persistent link: https://www.econbiz.de/10012391033
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Center-outward quantiles and the measurement of multivariate risk
Beirlant, Jan; Buitendag, S.; Barrio, Eustasio del; … - In: Insurance / Mathematics & economics 95 (2020), pp. 79-100
Persistent link: https://www.econbiz.de/10012419249
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Tail risk measurement In crypto-asset markets
Ahelegbey, Daniel Felix; Giudici, Paolo; Mojtahedi, Fatemeh - 2020
Persistent link: https://www.econbiz.de/10012321939
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Portfolio risk and the quantum majorization of correlation matrices
Fontanari, Andrea; Eliazar, Iddo; Cirillo, Pasquale; … - In: IMA journal of management mathematics 32 (2021) 3, pp. 257-282
Persistent link: https://www.econbiz.de/10012503883
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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
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Optimizing portfolio risk of cryptocurrencies using data-driven risk measures
Bowala, Sulalitha; Singh, Japjeet - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-16
Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio risk measures are vulnerable to larger skewness...
Persistent link: https://www.econbiz.de/10013471488