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Efficient option risk measurement with reduced model risk
Mitra, Sovan - In: Insurance / Mathematics & economics 72 (2017), pp. 163-174
Persistent link: https://www.econbiz.de/10011694422
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Asymptotics of multivariate conditional risk measures for Gaussian risks
Ling, Chengxiu - In: Insurance / Mathematics & economics 86 (2019), pp. 205-215
Persistent link: https://www.econbiz.de/10012058863
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On the c-property and w*-representations of risk measures
Gao, Niushan; Xanthos, Foivos - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 748-754
Persistent link: https://www.econbiz.de/10011969087
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Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia; Seifert, Miriam - In: Finance and stochastics 23 (2019) 4, pp. 795-826
Persistent link: https://www.econbiz.de/10012114659
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Capital allocation à la Aumann-Shapley for non-differentiable risk measures
Centrone, Francesca; Rosazza Gianin, Emanuela - In: European journal of operational research : EJOR 267 (2018) 2, pp. 667-675
Persistent link: https://www.econbiz.de/10011812548
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Measuring risks in the tail: the extreme VaR and its confidence interval
Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Risk and decision analysis 6 (2017) 3, pp. 213-224
Persistent link: https://www.econbiz.de/10011925077
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Risk : an R package for financial risk measures
Chan, Stephen; Nadarajah, Saralees - In: Computational economics 53 (2019) 4, pp. 1337-1351
Persistent link: https://www.econbiz.de/10012135135
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Measuring Cross-Gamma Risk
Chicot, Harold - 2020
We take a look at some non-hedgeable risks, some of which may be independent of the trading strategy. After a brief review of second order greeks and of a formula for short-term (daily) P&L, we first give examples of residual delta risks due to system valuation/booking procedures. We then focus...
Persistent link: https://www.econbiz.de/10012846194
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A Worst-Case Risk Measure by G-VaR
Pei, Ziting - 2020
A kind of worst-case value-at-risk, GVaR, is defined to measure risk incorporating model uncertainty. Compared with … optimal allocations under market ambiguity. Empirical analysis demonstrates that GVaR is a reliably robust risk measure …
Persistent link: https://www.econbiz.de/10012849174
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A multivariate CVaR risk measure from the perspective of portfolio risk management
Cai, Jun; Jia, Huameng; Mao, Tiantian - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 189-215
Persistent link: https://www.econbiz.de/10013370495