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Capital for concentrated credit portfolios

Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322

Persistent link: https://www.econbiz.de/10011531169

Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets

Karagiannidis, Iordanis; Wilford, D. S. - In: Review of financial economics : RFE 25 (2015), pp. 19-26

Persistent link: https://www.econbiz.de/10011498207

Asymmetric jump beta estimation with implications for portfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - In: International review of economics & finance : IREF 62 (2019), pp. 20-40

Persistent link: https://www.econbiz.de/10012205461

Tail dependence risk exposure and diversification potential of Islamic and conventional banks

Hernandez, Jose Arreola; Al-Yahyaee, Khamis Hamed; … - In: Applied economics 51 (2019) 44, pp. 4856-4869

Persistent link: https://www.econbiz.de/10012197121

Managing meteorological risk through expected shortfall

Stefani, Silvana; Kutrolli, Gleda; Moretto, Enrico; … - In: Risks : open access journal 8 (2020) 4/118, pp. 1-23

This paper focuses on weather derivatives as efficient risk management instruments and proposes a more advanced approach for their pricing. An "hybrid" contract is introduced, combining insurance properties, specifically tailored for the region under study and introducing Value-at-Risk (VaR) and...

Persistent link: https://www.econbiz.de/10012390452