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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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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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Risk measurement
Litterman, Bob - In: Modern investment management : an equilibrium approach, (pp. 24-35). 2003
Persistent link: https://www.econbiz.de/10002111959
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Financial risk measurement and management
Diebold, Francis X. (contributor) - 2012
Persistent link: https://www.econbiz.de/10009773251
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On Haezendonck risk measures
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994
Persistent link: https://www.econbiz.de/10003733781
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Appropriate risk measures, time horizon and valuation principles in economic capital models
Siegelaer, Gaston; Wanders, Henrico - In: Economic capital modelling : concepts, measurement and …, (pp. 59-78). 2006
Persistent link: https://www.econbiz.de/10003537459
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Some systemic risk indicators
El Qalli, Yassine; Said, Khalil - In: Risk and decision analysis 9 (2023) 2/4, pp. 39-56
Persistent link: https://www.econbiz.de/10014473406
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Measuring Operational Risk Using a Mean Scaled Individual Risk Model
Hürlimann, Werner - 2018
Building on a new theory of parametric risk models initiated in Hürlimann(1998), it is shown how mean scaled individual … risk models can be constructed. The approximate computation of their distributions and related quantities can be done in … of models. The method is applied to the construction of a mean scaled operational risk model …
Persistent link: https://www.econbiz.de/10012922348
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Measuring Risks to UK Financial Stability
Varadi, Alexandra - 2018
apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …
Persistent link: https://www.econbiz.de/10012914383
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A refined measure of conditional maximum drawdown
Rossello, Damiano; LoCascio, Silvestro - In: Risk management : an international journal 23 (2021) 4, pp. 301-321
Persistent link: https://www.econbiz.de/10012792822