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Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures
Mastrogiacomo, Elisa - 2014
Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance prices have been studied widely in the literature. In particular, Pareto optimal allocations have been characterized by applying inf-convolution of risk measures and convex...
Persistent link: https://www.econbiz.de/10013060083
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A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures
Herdegen, Martin - 2020
portfolios exist. We call this situation regulatory arbitrage, and prove that it cannot be excluded – unless ρ is as conservative … measures, and give a necessary and sufficient characterization for regulatory arbitrage. We show that the presence or absence … of regulatory arbitrage for ρ is intimately linked to the interplay between the set of equivalent martingale measures …
Persistent link: https://www.econbiz.de/10012823360
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A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall
Herdegen, Martin - 2019
arbitrage and show that the presence or absence of regulatory arbitrage for ES is intimately linked to the fine structure of … regulatory arbitrage for ES at confidence level α if and only if there exists an EMM Q ≈ P such that ll dQ/dP ll<sub>∞</sub> < 1 …
Persistent link: https://www.econbiz.de/10012888963
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Black swans, dragon kings, and Bayesian risk management
Haas, Armin; Onischka, Mathias; Fucik, Markus - 2013
In the past decades, risk management in the financial community has been dominated by data-intensive statistical methods which rely on short historical time series to estimate future risk. Many observers consider this approach as a contributor to the current financial crisis, as a long period of...
Persistent link: https://www.econbiz.de/10009702258
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Periodic Value at Risk
Khokhlov, Valentyn - 2011
Many practitioners annualize VaR just like the standard deviation. We show that this approach is incorrect, and a more sophisticated formula should be used for deriving a periodic VaR from parameters of the daily returns distribution. Another problem addressed here is the distribution of daily...
Persistent link: https://www.econbiz.de/10013117236
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Il Value at Risk Per Imprese Non Finanziarie : Il Caso Dell'Industria Della Raffinazione (Value-at-Risk for Non-Financial Companies: The Oil Refining Industry)
Mauro, Alessandro - 2012
This paper discusses the way Value-at-Risk (VaR) measurement can be applied to oil refining, a fully liberalized industry which is largely exposed to price risk. After a description of the industry, the calculation of a single asset VaR, such for a crude oil purchase, it is introduced....
Persistent link: https://www.econbiz.de/10013112466
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Measuring Exposure to Dependence Risk with Random Bernstein Copula Scenarios
Tavin, Bertrand - 2019
This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios within a divergence restricted region. The set of...
Persistent link: https://www.econbiz.de/10012902575
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Tail Risk Management for Multi-Asset Multi-Factor Strategies
Chambers, David - 2019
Multi-asset multi-factor portfolio allocation is typically centred around a risk-based allocation paradigm, often striving for maintaining equal volatility risk budgets. Given that the common factor ingredients can be highly skewed, we specifically incorporate the notion of tail risk management...
Persistent link: https://www.econbiz.de/10012893446
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Extremes for Coherent Risk Measures
Asimit, Alexandru Vali - 2017
Various concepts appeared in the existing literature to evaluate the risk exposure of a financial or insurance firm/subsidiary/line of business due to the occurrence of some extreme scenarios. Many of those concepts, such as Marginal Expected Shortfall or Tail Conditional Expectation, are simply...
Persistent link: https://www.econbiz.de/10012968905
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Stress Testing for Cyber Risks : Cyber Risk Insurance Modeling beyond Value-at-Risk (VaR): Risk, Uncertainty, and, Profit for the Cyber Era
Malhotra, Yogesh - 2017
To avert the impending global Cyber-Finance Insurance Crisis based upon large-scale commercial reliance upon quantitative models with inherent model risks, tail risks, and systemic risks in current form, this post-doctoral thesis makes the following key contributions: Develops the first known...
Persistent link: https://www.econbiz.de/10012972233