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Quantifying systemic risk in Morocco's banking system using Euler indicators and extreme dependence
Said, Khalil; El Qalli, Yassine; Fadlallah, Abdellali - In: Cogent business & management 10 (2023) 3, pp. 1-19
Populaire as the most systemic banks in Morocco, carrying the potential to trigger systemic crises. …
Persistent link: https://www.econbiz.de/10014505870
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Extreme observations and risk assessment in the equity markets of MENA region : tail measures and Value-at-Risk
Assaf, Ata - In: International review of financial analysis 18 (2009) 3, pp. 109-116
Persistent link: https://www.econbiz.de/10003880019
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Case analysis of the Moroccan stock market : a financial risk management approach
Al Janabi, Mazin A. M. - In: Business excellence and competitiveness in the Middle …, (pp. 253-264). 2008
Persistent link: https://www.econbiz.de/10003896053
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Mean variance portfolio selection subject to value-at-risk constraints applied to real stock market data
Hamza, F.; El Kharrim, Mohamed; El Hachloufi, Mostafa - In: Computational techniques for banking and risk management, (pp. 61-72). 2013
Persistent link: https://www.econbiz.de/10010199040
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Trading risk management : practical applications to emerging-markets
Janabi, Mazin A. M. al - In: Economic & financial modelling : a journal of the … 11 (2004) 4, pp. 153-198
Persistent link: https://www.econbiz.de/10002531687
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Value-at-risk in frontier markets : adapted models and evidences from two North-African stock exchanges
El-Aroui, Mhamed-Ali; Snoussi, Wafa - In: African finance journal 22 (2020) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10012316628
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Optimal reinsurance : a risk sharing approach
Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56
This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them all. Numerical examples are given in order to...
Persistent link: https://www.econbiz.de/10010199029
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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
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Quantile-based risk sharing
Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - In: Operations research 66 (2018) 4, pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
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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