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A robust approach based on conditional value-at-risk measure to statistical learning problems
Takeda, Akiko; Kanamori, Takafumi - In: European journal of operational research : EJOR 198 (2009) 1, pp. 287-296
Persistent link: https://www.econbiz.de/10003853605
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A VaR too far? : the pricing of operational risk
Coleman, Rodney - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 123-129
Persistent link: https://www.econbiz.de/10008937098
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A dynamic binormal expansion technique for credit risk measurement : a Bayesian filtering approach
Woo, Wing Hoe; Siu, Tak Kuen - In: Applied mathematical finance 11 (2004) 2, pp. 165-186
Persistent link: https://www.econbiz.de/10002085494
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Konzeptionelle und statistische Grundlagen der portfolioorientierten Kreditrisikomessung
Huschens, Stefan; Locarek-Junge, Hermann - 2000
Persistent link: https://www.econbiz.de/10001467735
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Statistical Assessments of Systemic Risk Measures
Bernard, Carole - 2012
In this paper we review existing statistical measures for systemic risk and discuss their strengths and weaknesses. Among them we discuss the Conditional Value-at-Risk (CoVaR) introduced by Adrian and Brunnermeier (2010) and the Systemic Expected Shortfall (SES) of Acharya, Pedersen, Philippon...
Persistent link: https://www.econbiz.de/10013106671
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Quantitative statistical robustness for tail-dependent law invariant risk measures
Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685
Persistent link: https://www.econbiz.de/10012653706
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Mutual funds herding behavior, sentiment, and market volatility
Kholdy, Shady; Miller, John; Sun, Libo - In: The journal of wealth management : JWM 24 (2021) 2, pp. 92-107
Persistent link: https://www.econbiz.de/10012613519
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Long- and short-run dynamics between South African hedge funds and the equity market
Santangelo, Michele; Botha, Ilse; Strydom, Nicolaas - In: The journal of wealth management : JWM 24 (2021) 2, pp. 129-151
Persistent link: https://www.econbiz.de/10012613525
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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
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f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui - In: Quantitative finance 23 (2023) 10, pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172