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Approving the ISDWIR method of risk measurement in making risk management decision
Strelnik, Mikhail - In: Revista de métodos cuantitativos para la economía y … 17 (2014), pp. 42-59
This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … is also compared with other risk measurement methods. …
Persistent link: https://www.econbiz.de/10010385650
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - 2015
Persistent link: https://www.econbiz.de/10010532092
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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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Selection and application of appropriate analytical methods needed to assess the risks reducing the security of the protected system
Reits̆pís, Josef; Mas̆ĺan, Martin; Britchenko, Igor - In: Baltic Journal of Economic Studies 7 (2021) 3, pp. 1-8
Persistent link: https://www.econbiz.de/10012615944
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Shortfall deviation risk : an alternative for risk measurement
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116
Persistent link: https://www.econbiz.de/10013177086
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Turning tail risks into tailwinds
Gava, Jérôme; Guevara, Francisco; Turc, Julien - In: The journal of portfolio management : JPM 47 (2021) 4, pp. 41-70
Persistent link: https://www.econbiz.de/10012486042
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Managing portfolio volatility
Stamos, Michael Zisis; Zimmerer, Thomas - In: The journal of portfolio management : JPM 47 (2021) 4, pp. 99-109
Persistent link: https://www.econbiz.de/10012486045
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Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation
Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20
In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …
Persistent link: https://www.econbiz.de/10012127555
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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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Spatial risk measures and rate of spatial diversification
Koch, Erwan - In: Risks : open access journal 7 (2019) 2/52, pp. 1-26
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities … and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a … corresponding set of axioms which are well suited to analyze the risk due to events having a spatial extent, precisely such as …
Persistent link: https://www.econbiz.de/10012019126