time upside and downside risks. This paper offers a comparative analysis of concept risk measures, we focus on quantile … based risk measure (ES and VaR), spectral risk measure and distortion risk measure. After introducing each measure, we … investigate their interest and limit. Knowing that quantile based risk measure cannot capture correctly the risk aversion of risk …

This article evaluates supervisory approaches to the measurement and capital treatment of the price risk of options … positions. The authors find that approximate value-at-risk rules tend to provide better estimates of potential losses than … simple strategy-based rules. The value-at-risk rules are particularly effective when they adjust for nonlinear changes in …

an individual’s consumption, savings and wealth. The risk of losing the job is shown to be a pertinent consideration when … household members make consumption and labour supply decisions. This work sheds light on how unemployment risk may affect the …

Consider a risk-averse decision maker in the setting of a single-leg dynamic revenue management problem with revenue … maker has the main objective of minimizing the risk of failing to achieve a given target revenue. Interpreting the revenue … management problem in the framework of finite Markov decision processes, we augment the state space of the risk-neutral problem …

variables of the investment decision process. We also account for the risk and uncertainty inherent in volatile energy prices …