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Fixed-income portfolio management in crisis period : expected tail loss (ETL) approach

Mili, Mehdi - 2012

The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...

Persistent link: https://www.econbiz.de/10009564251

Optimal asset allocation under quadratic loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2012

We study the asset allocation of a quadratic loss-averse (QLA) investor and derive conditions under which the QLA problem is equivalent to the mean-variance (MV) and conditional value-at-risk (CVaR) problems. Then we solve analytically the two-asset problem of the QLA investor for a risk-free...

Persistent link: https://www.econbiz.de/10009684025

How investors face financial risk loss aversion and wealth allocation with two-dimensional individual utility : a VaR application

Rengifo, Erick W.; Trifan, Emanuela - In: The VaR implementation handbook, (pp. 485-512). 2009

Persistent link: https://www.econbiz.de/10003827118

VaR in high dimensional systems : a conditional correlation approach

Herwartz, Helmut; Pedrinha, Bruno - In: Applied quantitative finance, (pp. 83-102). 2009

Persistent link: https://www.econbiz.de/10003745954

The impact of downward rating momentum on credit portfolio risk

Güttler, André (contributor); Raupach, Peter (contributor) - 2008

Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this 'downward momentum' on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitive to previous...