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Generalized quantiles as risk measures
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance / Mathematics & economics 54 (2014), pp. 41-48
Persistent link: https://www.econbiz.de/10010259683
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What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013
desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and …
Persistent link: https://www.econbiz.de/10010821003
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On exactitude in financial regulation: Value-at-risk, expected shortfall, and expectiles
Chen, James Ming - In: Risks 6 (2018) 2, pp. 1-28
reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of …
Persistent link: https://www.econbiz.de/10011996619
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On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles
Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of …
Persistent link: https://www.econbiz.de/10011867427
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Multivariate geometric expectiles
Herrmann, Klaus J.; Hofert, Marius; Mailhot, Mélina - In: Scandinavian actuarial journal (2018) 7, pp. 629-659
Persistent link: https://www.econbiz.de/10011939715
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Dependence uncertainty bounds for the expectile of a portfolio
Jakobsons, Edgars; Vanduffel, Steven - In: Risks 3 (2015) 4, pp. 599-623
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …
Persistent link: https://www.econbiz.de/10011709542
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Dependence uncertainty bounds for the expectile of a portfolio
Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623
We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …
Persistent link: https://www.econbiz.de/10011402861
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Risk measures with the CxLS property
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453
Persistent link: https://www.econbiz.de/10011471250
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On the measurement of economic tail risk
Kou, Steven; Peng, Xianhua - In: Operations research 64 (2016) 5, pp. 1056-1072
Persistent link: https://www.econbiz.de/10011594638
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Expected shortfall or median shortfall
Kou, Steven; Peng, Xianhua - In: Journal of financial engineering 1 (2014) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10010508103