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Period value at risk and its estimation by Monte Carlo simulation

Huo, Yanli; Xu, Chunhui; Shiina, Takayuki - In: Applied economics letters 29 (2022) 18, pp. 1675-1679

Persistent link: https://www.econbiz.de/10013412280

Risk excess measures induced by hemi-metrics

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Persistent link: https://www.econbiz.de/10013488890

Risk concentration based on Expectiles for extreme risks under FGM copula

Mao, Tiantian; Yang, Fan - In: Insurance / Mathematics & economics 64 (2015), pp. 429-439

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Reducing model risk via positive and negative dependence assumptions

Bignozzi, Valeria; Puccetti, Giovanni; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 61 (2015), pp. 17-26

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Selection of the right risk measures for portfolio allocation

Nguyen, Thanh - In: International journal of monetary economics and finance 7 (2014) 2, pp. 135-156

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Risk measures and capital requirements : a critique of the Solvency II approach

Floreani, Alberto - In: The Geneva papers on risk and insurance - issues and … 38 (2013) 2, pp. 189-212

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Markets liquidity risk under extremal dependence : analysis with VaRs methods

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Generalized route planning model for hazardous material transportation with VaR and equity considerations

Kang, Yingying; Batta, Rajan; Kwon, Changhyun - In: Computers & operations research : and their … 43 (2014), pp. 237-247

Persistent link: https://www.econbiz.de/10010241949

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

Persistent link: https://www.econbiz.de/10010258580

Proposing model based risk tolerance level for value-at-risk : is it a better alternative to BASEL's rule based strategy

Majunder, Debasish - In: Journal of contemporary management : JMC 5 (2016) 3, pp. 62-76

Persistent link: https://www.econbiz.de/10011531176