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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Asset liability management and interest rate risk in Solvency II : an empirical study
Herold, Wolfgang; Wirth, Martin - In: Asset-liability management with ultra-low interest …, (pp. 71-85). 2015
Persistent link: https://www.econbiz.de/10011302884
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Capacity expansion and forward contracting in a duopolistic power sector
Chin, Dorea; Siddiqui, Afzal S. - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 57-86
Persistent link: https://www.econbiz.de/10010251210
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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A simulation of the insurance industry : the problem of risk model homogeneity
Heinrich, Torsten; Sabuco, Juan; Farmer, J. Doyne - In: Journal of economic interaction and coordination 17 (2022) 2, pp. 535-576
Persistent link: https://www.econbiz.de/10013271950
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Knowns and unknowns : risk management in a context of increasing uncertainty
Gabbi, Giampaolo; Galai, Dan; Wiener, Zvi - In: The Quarterly Journal of Finance : QJF 12 (2022) 1, pp. 2202001-1-2202001-6
Persistent link: https://www.econbiz.de/10013174940
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Effect of the time to maturity on the risk of the covered call strategy
Dziawgo, Ewa - In: Eurasian economic perspectives : proceedings of the …, (pp. 67-75). 2020
This chapter illustrates the selected issues connected with the covered call strategy: the strategy design, the impact of certain variables (the price of the underlying asset and time to expiration (maturity) on the performance of the values of the ratios delta, gamma, vega, theta, and rho....
Persistent link: https://www.econbiz.de/10012793374
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Sooner or later : timing of monetary policy with heterogeneous risk-taking
Choi, Dong Beom; Eisenbach, Thomas M.; Yorulmazer, Tanju - In: The American economic review 106 (2016) 5, pp. 490-495
Persistent link: https://www.econbiz.de/10011700168
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Mean-risk optimal decision of a steel company under emission control
Zapletal, František; Šmíd, Martin - In: Central European journal of operations research : CEJOR … 24 (2016) 2, pp. 435-454
Persistent link: https://www.econbiz.de/10011666119
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Development of risk-based control charts considering measurement uncertainty
Hegedüs, Csaba; Kosztyán, Zsolt Tibor - In: Research in the decision sciences for global business : …, (pp. 239-248). 2015
Persistent link: https://www.econbiz.de/10011896850