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Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In … the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …
Persistent link: https://www.econbiz.de/10013124424
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …
Persistent link: https://www.econbiz.de/10013015516
We suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk …
Persistent link: https://www.econbiz.de/10013153847
Risk assessments often encounter extreme settings with very few or no occurrences in reality. Inferences about risk … levels of risk in the context of simultaneous monitoring of multiple risk indicators. The proposed threshold system is well … threshold system assigns different risk levels to observed airline performance measures. In particular, it divides the sample …
Persistent link: https://www.econbiz.de/10012731377
stockholders' consumption risk has strong predictive power for market returns with 39% in-sample and 19% out-of-sample R …' consumption risk explains 40% of the cross-sectional average returns. Stockholders' consumption risk also partially explains the …' consumption risk reverses the findings in the literature using aggregate consumption risk: stockholders' consumption risk varies …
Persistent link: https://www.econbiz.de/10012890965
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …
Persistent link: https://www.econbiz.de/10012871525
The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that...
Persistent link: https://www.econbiz.de/10013006101
Persistent link: https://www.econbiz.de/10013050012
evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …
Persistent link: https://www.econbiz.de/10013183970
Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability … to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted …) consequences. The revised ISO Risk advances beyond a static world guided by prediction and pre-determination based on historical …
Persistent link: https://www.econbiz.de/10014256748