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Optimization under supplier portfolio risk considering breach of contract and market risks

Wu, Qi; Sak, Halis; Seshadri, Sridhar; Haksoz, Cagri - In: Risk and decision analysis 7 (2018) 3/4, pp. 77-89

Persistent link: https://www.econbiz.de/10012174430

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Klüppelberg, Claudia; Seifert, Miriam - Sonderforschungsbereich Statistical Modelling of … - 2019

Persistent link: https://www.econbiz.de/10012035248

Model risk in risk models : quantifying statistical uncertainty in active risk

Khang, Kevin - In: The journal of portfolio management : JPM 47 (2021) 3, pp. 51-65

Persistent link: https://www.econbiz.de/10012423057

Turning tail risks into tailwinds

Gava, Jérôme; Guevara, Francisco; Turc, Julien - In: The journal of portfolio management : JPM 47 (2021) 4, pp. 41-70

Persistent link: https://www.econbiz.de/10012486042

Mutual funds herding behavior, sentiment, and market volatility

Kholdy, Shady; Miller, John; Sun, Libo - In: The journal of wealth management : JWM 24 (2021) 2, pp. 92-107

Persistent link: https://www.econbiz.de/10012613519

Long- and short-run dynamics between South African hedge funds and the equity market

Santangelo, Michele; Botha, Ilse; Strydom, Nicolaas - In: The journal of wealth management : JWM 24 (2021) 2, pp. 129-151

Persistent link: https://www.econbiz.de/10012613525

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

Spatial risk measures and rate of spatial diversification

Koch, Erwan - In: Risks : open access journal 7 (2019) 2/52, pp. 1-26

An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities … and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a … corresponding set of axioms which are well suited to analyze the risk due to events having a spatial extent, precisely such as …

Persistent link: https://www.econbiz.de/10012019126

Market risk, value-at-risk and exponential weighting

Broll, Udo; Förster, Andreas - In: Economics and business review 8/22 (2022) 2, pp. 80-91

Persistent link: https://www.econbiz.de/10013369763

Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy

Nakajima, Tadahiro; Hamori, Shigeyuki - 2022

Introduction -- Arbitrage Trading in Energy Market and Risk Measurement -- Fuel Markets Connectedness and Fuel … Portfolio Risk -- Hedging Strategy with Futures Contracts -- Investing in a portfolio consisting of energies and related … and practices of energy trading and risk management. This book reveals the characteristics of energy markets using …

Persistent link: https://www.econbiz.de/10013431279