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Selected papers on risk measurment presented at the 2012 IRM conference on global standards for risk measurement, management and regulation
International Risk Management Conference <5, 2012, Rom> - 2013
Persistent link: https://www.econbiz.de/10009759167
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Decision making with conditional value-at-risk and spectral risk measures : the problem of comparative risk aversion ; conference paper
Brandtner, Mario; Kürsten, Wolfgang - 2014
We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …
Persistent link: https://www.econbiz.de/10010491150
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The Foster-Hart measure of riskiness for general gambles : conference paper
Riedel, Frank; Hellmann, Tobias - 2013
riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …
Persistent link: https://www.econbiz.de/10010342818
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Risk measurement, econometrics and neural networks : selected articles of the 6th Econometric-Workshop in Karlsruhe, Germany
Bol, Georg (ed.); Abberger, Klaus (ed.);  … - Karlsruher Ökonometrie-Workshop <6, 1997, Karlsruhe> - 1998
Persistent link: https://www.econbiz.de/10014013337
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Special issue: Asset management and international capital markets 29th - 30th May 2008, Frankfurt am Main
Bessler, Wolfgang (contributor) - 2009
Persistent link: https://www.econbiz.de/10003886414
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Recent advances in financial engineering 2009 : proceedings of the KIER-TMU International Workshop on Financial Engineering 2009
Kijima, Masaaki (contributor) - 2010
Persistent link: https://www.econbiz.de/10003981989
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Cyclical asset returns in the consumption and investment goods sector : conference paper
Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10010482490
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Consumption-based asset pricing with rare disaster risk : a simulated method of moments approach ; conference paper
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensations for unlikely but calamitous risks that they happened not to incur. While convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010491152
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Crises and Uncertainty in the Economy
Ben Ameur, Hachmi (ed.); Ftiti, Zied (ed.);  … - 2022
the Literature -- 12. How Accurate Are Risk Models During COVID-19 Pandemic Period? -- 13. What Does Matter The Climate … Change Risk On Agriculture Adaptation: Evidence From Southern Mediterranean Country. … and raised economic uncertainty. This book asserts that markets integration have boosted contagion and risk spillovers …
Persistent link: https://www.econbiz.de/10013503483
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Advances in efficiency and productivity
Aparicio, Juan (ed.); Lovell, C. A. Knox (ed.);  … - 2016
Persistent link: https://www.econbiz.de/10011580779