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Mean-variance approximations to expected utility

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Systematic tail risk

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Managing market risk with VaR (Value at Risk)

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Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. Value at Risk has become the standard measure that financial analysts use to quantify market risk. For estimating risk, the issue is that different ways to estimate volatility can lead to very...

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Average drawdown risk and capital asset pricing

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New risk measure and idiosyncratic risk in Taiwan stock market

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FX volatility adjustment for risk factors simulation

Kondratyev, Alexei - In: Journal / The Capco Institute : journal of financial … 37 (2013), pp. 111-116

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Factor high-frequency based volatility (HEAVY) models

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Is there a low-risk anomaly across countries?

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Riding with the four horsemen and the multivariate normal tempered stable model

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