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CoCDaR and mCoCDaR : new approach for measurement of systemic risk contributions
Ding, Rui; Uryasev, Stan - In: Journal of risk and financial management : JRFM 13 (2020) 11/270, pp. 1-18
Systemic risk is the risk that the distress of one or more institutions trigger a collapse of the entire financial system. We extend CoVaR (value-at-risk conditioned on an institution) and CoCVaR (conditional value-at-risk conditioned on an institution) systemic risk contribution measures and...
Persistent link: https://www.econbiz.de/10012389811
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Eavesdropping and jamming communication networks
Commander, Clayton W.; Pardalos, Panos M.; Ryabchenko, … - In: Cooperative networks : control and optimization ; [6th …, (pp. 101-112). 2008
Persistent link: https://www.econbiz.de/10003740827
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Risk tuning with generalized linear regression
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Mathematics of operations research 33 (2008) 3, pp. 712-729
Persistent link: https://www.econbiz.de/10003766321
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Risk-return optimization with different risk-aggregation strategies
Uryasev, Stan; Theiler, Ursula A.; Serraino, Gaia - In: Journal of risk finance : the convergence of financial … 11 (2010) 2, pp. 129-146
Persistent link: https://www.econbiz.de/10003953347
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Classification using optimization : application to credit ratings of bonds
Bugera, Vladimir; Uryasev, Stan; Zrazhevsky, Grigory - In: Computational methods in financial engineering : essays …, (pp. 211-237). 2008
Persistent link: https://www.econbiz.de/10003669645
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Special issue on risk management and quantitative approaches in finance
AitSahlia, Farid (contributor); Uryasev, Stan (contributor) - 2007
Persistent link: https://www.econbiz.de/10003577304
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Equilibrium with investors using a diversity of deviation measures
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Journal of banking & finance 31 (2007) 11, pp. 3251-3268
Persistent link: https://www.econbiz.de/10003577312
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Financial prediction with constrained tail risk
Trindade, A. Alexandre; Uryasev, Stan; Shapiro, Alexander; … - In: Journal of banking & finance 31 (2007) 11, pp. 3524-3538
Persistent link: https://www.econbiz.de/10003577519
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Efficient execution in the secondary mortgage market : a stochastic optimization model using CVaR constraints
Wang, Chung-Jui; Uryasev, Stan - In: Journal of risk 10 (2007/08) 1, pp. 41-66
Persistent link: https://www.econbiz.de/10003572494
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Pricing energy derivatives by linear programming : tolling agreement contracts
Ryabchenko, Valeriy; Uryasev, Stan - In: The journal of computational finance 14 (2010/11) 3, pp. 73-126
Persistent link: https://www.econbiz.de/10008989930