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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
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Efficient option risk measurement with reduced model risk
Mitra, Sovan - In: Insurance / Mathematics & economics 72 (2017), pp. 163-174
Persistent link: https://www.econbiz.de/10011694422
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Option-implied objective measures of market risk
Leiss, Matthias; Nax, Heinrich H. - In: Journal of banking & finance 88 (2018), pp. 225-240
Persistent link: https://www.econbiz.de/10011962908
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S&P 500 index, an option-implied risk analysis
Barone-Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo - 2018
The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures … classical risk measures for the S&P500 Index. Delivering good results both at short and long time horizons, the proposed option …-implied risk metrics emerge as a convenient alternative to the existing risk measures …
Persistent link: https://www.econbiz.de/10011899623
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Systemic risk : conditional distortion risk measures
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying - In: Insurance / Mathematics & economics 102 (2022), pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
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Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
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Ruin-based risk measures in discrete-time risk models
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; … - In: Insurance / Mathematics & economics 93 (2020), pp. 246-261
Persistent link: https://www.econbiz.de/10012294129
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Multidimensional dynamic risk measure via conditional g-expectation
Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673
Persistent link: https://www.econbiz.de/10011583787