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The multi-layer network nature of systemic risk and its implications for the costs of financial crises

Poledna, Sebastian; Molina-Borboa, José Luis; … - In: Journal of financial stability 20 (2015), pp. 70-81

Persistent link: https://www.econbiz.de/10011574285

Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach

Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013472796

Linking Risk Management Practices and Strategies to Performance. Case Study: Ceramic and Tiles Industry

Charkhab, Hamideh Khanzadeh; Eslami, Mohammad Reza; … - In: International Journal of Academic Research in … 4 (2014) 2, pp. 413-424

chain strategies (agility and robustness) so effect of these strategies on the supply chain's customer value and on business … structural equation modeling so Lisrel software. Finally, result show that all hypotheses, except, the effect of robustness on …

Persistent link: https://www.econbiz.de/10010789994

Swiss coherent mortality model as a basis for developing longevity de-risking solutions for Swiss pension funds : a practical approach

Wan, Cheng; Bertschi, Ljudmila - In: Insurance / Mathematics & economics 63 (2015), pp. 66-75

Persistent link: https://www.econbiz.de/10011349851

Robust measurement of (heavy-tailed) risks : theory and implementation

Schneider, Judith Christiane; Schweizer, Nikolaus - In: Journal of economic dynamics & control 61 (2015), pp. 152-182

Persistent link: https://www.econbiz.de/10011589518

Retail supply chain network design under operational and disruption risks

Sadghiani, N. Salehi; Torabi, S. A.; Sahebjamnia, N. - In: Transportation research / E : an international journal 75 (2015), pp. 95-114

Persistent link: https://www.econbiz.de/10010509978

Assessing the financial performance of European banks under stress testing scenarios : a multicriteria approach

Doumpos, Michael; Zopounidis, Constantin; Fragiadakis, … - In: Operational research : an international journal 16 (2016) 2, pp. 197-209

Persistent link: https://www.econbiz.de/10011723864

A note on the statistical robustness of risk measures

Zhelonkin, Mikhail; Chavez-Demoulin, Valérie - In: The journal of operational risk 12 (2017) 2, pp. 47-68

Persistent link: https://www.econbiz.de/10011775516

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - 2017 - This version: October 24, 2017

We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing...

Persistent link: https://www.econbiz.de/10011874813

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...

Persistent link: https://www.econbiz.de/10011900226