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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014

Persistent link: https://www.econbiz.de/10011632160

Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279

Stochastic ordering of systemic risk in commodity markets

Morelli, Giacomo - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014437140

Volatility versus downside risk : performance protection in dynamic portfolio strategies

Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479

Persistent link: https://www.econbiz.de/10012053148

Risk management under time varying volatility and Pareto-stable distributions

Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael; … - In: Applied economics letters 27 (2020) 3, pp. 161-167

Persistent link: https://www.econbiz.de/10012205404

Risk Managing Smile Risk with SABR Model

Moni, Claudio - 2015

computation of smile Value At Risk using SABR model, and at the risk management implications of the inaccuracy of SABR formula …

Persistent link: https://www.econbiz.de/10013031800

Risk Managing Long-Dated Smile Risk with SABR Formula

Moni, Claudio - 2014

In this paper, we show that the sensitivities to the SABR parameters can be materially wrong then the SABR formula is used, in particular for long expiries and in high volatility environments. For example, we obtain positive sensitivities to the spot-vol correlation parameter for low strike...

Persistent link: https://www.econbiz.de/10013062318

An investigation of model risk in a market with jumps and stochastic volatility

Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658

Persistent link: https://www.econbiz.de/10011493990

Market risk of investment in us subprime crisis : comparison of a pure diffusion and a pure jump model

Mozumder, Sharif; Rahman, Arafatur - In: Annals of financial economics 11 (2016) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011685729

Calibration risk : illustrating the impact of calibration risk under the Heston model

Guillaume, Florence; Schoutens, Wim - In: Review of derivatives research 15 (2012) 1, pp. 57-79

Persistent link: https://www.econbiz.de/10009627433