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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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A note on a new weighted idiosyncratic risk measure
Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198
Persistent link: https://www.econbiz.de/10010458525
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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An axiomatic foundation for the expected shortfall
Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
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Minimizing risk exposure when the choice of a risk measure is ambiguous
Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344
Persistent link: https://www.econbiz.de/10011819577
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FRM Financial Risk Meter
Althof, Michael - 2022
Persistent link: https://www.econbiz.de/10013390868
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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
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Remarks on a copula-based conditional value at risk for the portfolio problem
Molina Barreto, Andres Mauricio; Ishimura, Naoyuki - In: Intelligent systems in accounting, finance & management 30 (2023) 3, pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
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Measurement of extreme market risk : insights from a comprehensive literature review
Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24
evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … expected shortfall (ES) as the principal measures of extreme market risk. The deficiencies in the standard modelling approaches …
Persistent link: https://www.econbiz.de/10013183970
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Mean-p portfolio selection and p-arbitrage for coherent risk measures
Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272
Persistent link: https://www.econbiz.de/10012815955