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Forecasting tail risks : presented at CESifo Area Conference on Macro, Money and International Finance, February 2015

De Nicolò, Gianni; Lucchetta, Marcella - 2015

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

Persistent link: https://www.econbiz.de/10010498601

Value at Risk

Katsuki, Yuta; Matsumoto, Koichi - In: Applied mathematical finance 21 (2014) 3/4, pp. 270-297

Persistent link: https://www.econbiz.de/10010499702

Semiparametric estimation of multi-asset portfolio tail risk

Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408

Persistent link: https://www.econbiz.de/10010508674

A duality result for the generalized Erlang risk model

Ji, Lanpeng; Zhang, Chunsheng - In: Risks : open access journal 2 (2014) 4, pp. 456-466

In this article, we consider the generalized Erlang risk model and its dual model. By using a conditional measure …

Persistent link: https://www.econbiz.de/10010489066

Measuring risk when expected losses are unbounded

Balbás de la Corte, Alejandro; Blanco, Iván; Garrido, … - In: Risks : open access journal 2 (2014) 4, pp. 411-424

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …

Persistent link: https://www.econbiz.de/10010489103

Tail risk in pension funds : an analysis using ARCH models and bilinear processes

Owadally, Iqbal - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 301-331

Persistent link: https://www.econbiz.de/10010490407

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …

Persistent link: https://www.econbiz.de/10010490408

Optimal resource distribution between protection and redundancy considering the time and uncertainties of attacks

Mo, Huadong; Xie, Min; Levitin, Gregory - In: European journal of operational research : EJOR 243 (2015) 1, pp. 200-210

Persistent link: https://www.econbiz.de/10010492973

Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : transactions in operations research 22 (2014) 3, pp. 875-891

Persistent link: https://www.econbiz.de/10010437113

Second order risk aggregation with the Bernstein copula

Coqueret, Guillaume - In: Insurance / Mathematics & economics 58 (2014), pp. 150-158

Persistent link: https://www.econbiz.de/10010437578

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