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Risk measures : a generalization from the univariate to the matrix-variate
Arias-Sema, María A.; Caro-Lopera, Francisco J.; … - In: Journal of risk 23 (2021) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10012593431
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Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis
Pesenti, Silvana M.; Bettini, Alberto; Millossovich, Pietro - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 2, pp. 458-483
Persistent link: https://www.econbiz.de/10012593589
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Multi-utility representations of incomplete preferences induced by set-valued risk measures
Munari, Cosimo-Andrea - In: Finance and stochastics 25 (2021) 1, pp. 77-99
Persistent link: https://www.econbiz.de/10012433513
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Dual representations for systemic risk measures based on acceptance sets
Arduca, Maria; Koch Medina, Pablo; Munari, Cosimo-Andrea - In: Mathematics and financial economics 15 (2021) 1, pp. 155-184
Persistent link: https://www.econbiz.de/10012433636
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Using the extremal index for value-at-risk backtesting
Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - In: Journal of financial econometrics 18 (2020) 3, pp. 556-584
Persistent link: https://www.econbiz.de/10012316700
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Surplus-invariant risk measures
Gao, Niushan; Munari, Cosimo-Andrea - In: Mathematics of operations research 45 (2020) 4, pp. 1342-1370
Persistent link: https://www.econbiz.de/10012320322
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
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Comparing the riskiness of dependent portfolios via nested L-statistics
Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236
Persistent link: https://www.econbiz.de/10011820567
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Measuring model risk in the European Energy Exchange
Gianfreda, Angelica; Scandolo, Giacomo - In: Handbook of recent advances in commodity and financial …, (pp. 89-110). 2018
Persistent link: https://www.econbiz.de/10011898620
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
Persistent link: https://www.econbiz.de/10011900226